JRC Capital Management builds ESG portfolio optimization in FAME platform

November 3, 2023

JRC Capital Management has published an article about FAME & Pilot#5 on a professional web portal for the financial sector in Germany.

The article is publicly available in the following link: https://www.finanzen.net/ratgeber/unternehmen/jrc-capital.html

Everyone is talking about sustainable investments and ESG, but have you ever asked yourself,

“How does sustainable portfolio optimization actually work”
“Can I optimize my entire portfolio based on sustainability criteria”

JRC Capital Management is trying to find out just that. As a partner in the EU-funded research project FAME, we are working, together with 30 partners from all over Europe, to create our own ESG score, which not only considers ESG criteria, but also incorporates other factors into the evaluation, so that we can assess environmental, social and corporate governance risks even more accurately. The result is a clear ranking list of investment instruments. From this, in a second step, a portfolio is created with the help of a risk-parity optimization algorithm. In the end, the portfolio optimization is to be configurable by the user by allowing him to incorporate his individual weighting of the environmental, social or governance aspects.

As part of the FAME project, this is one of the pilot applications. FAME is a joint project of leading experts in data management, data technologies, data economics and the digitalization of finance. FAME's main goal is to develop, integrate, validate and offer Europe's first federated, decentralized, trusted and energy-efficient marketplace for data
and embedded finance (EmFi) services as a publicly available platform.

The project takes into account the fact that data has become a common commodity. Data is needed everywhere in business and industry to simulate processes, forecast developments, optimize decisions. Especially in finance, data is of course the basis of all decisions. The goal of the FAME project is to facilitate access to data and data-based services by not only creating a new data marketplace, but also by connecting other, already existing marketplaces in the worldwide network under a common interface. On the FAME data marketplace, different organizations, companies and participants can not only exchange data and services, but also seamlessly integrate them with financial services. A classic example of this ’embedded finance&’ is the ability to offer a financing option directly with the purchase of a product, without the customer having to
visit a separate bank or financial institution website.

This FAME platform will be based on decentralized technologies such as blockchain to ensure security, transparency and interoperability, while enabling the integration of financial services across different industries. This should help democratize access to financial services and encourage innovation in the way financial data is used. Asset managers like JRC Capital need accurate and transparent tools to help them develop effective investment strategies and protect their capital in times of crisis. Like numerous EU-funded research and development projects before it, FAME will help JRC Capital GmbH expand its toolbox and enhance its algorithmic AI models for the assessment and optimization of portfolio risks can further develop trading strategies, in particular.

Thanks to the high-quality partner network and the continuous exchange with academic institutions, the experts always have early access to new insights and methods when developing trading systems, which to this day gives JRC Capital a knowledge edge that the company uses in the interest of its customers. Thus, JRC Capital offers innovative asset management through specially developed quantitative trading strategies in order to trade successfully on the financial markets. JRC Capital Management’s client base primarily includes institutional investors and high net worth individuals.