Publicação
Integrating ESG in factor-based investing in sovereign bond markets: a low-volatility approach
| Resumo: | The group report analyses the joint impact of Momentum, Value, Size, and Low-Volatility in factor-based investing in sovereign bond emerging and developed markets, develops an ESG factor and assesses its effect across all strategies. This paper focuses on a low-volatility strategy, with volatility being measured as the standard deviation of the yield-to-maturity, and finds that controlling for credit risk and interest rate risk is fundamental to apply it. Results show that the integration of the ESG factor complements the low-volatility strategy and produces higher risk-adjusted returns. |
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| Autores principais: | Costa, Luís Sampaio |
| Assunto: | Finance Financial markets Financial or data analysis Sovereign bond markets Esg integration Factor-based investing |
| Ano: | 2022 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | The group report analyses the joint impact of Momentum, Value, Size, and Low-Volatility in factor-based investing in sovereign bond emerging and developed markets, develops an ESG factor and assesses its effect across all strategies. This paper focuses on a low-volatility strategy, with volatility being measured as the standard deviation of the yield-to-maturity, and finds that controlling for credit risk and interest rate risk is fundamental to apply it. Results show that the integration of the ESG factor complements the low-volatility strategy and produces higher risk-adjusted returns. |
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