Integrating ESG in factor-based investing in sovereign bond markets: a low-volatility approach

Detalhes bibliográficos
Autor(a) principal: Costa, Luís Sampaio
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/142182
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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spelling Integrating ESG in factor-based investing in sovereign bond markets: a low-volatility approachFinanceFinancial marketsFinancial or data analysisSovereign bond marketsEsg integrationFactor-based investingDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe 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.Hirschey, Nicholas H.RUNCosta, Luís Sampaio2022-07-20T13:57:07Z2022-01-102021-12-172022-01-10T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/142182TID:202997537enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:19:40Zoai:run.unl.pt:10362/142182Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:50:11.399445Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Integrating ESG in factor-based investing in sovereign bond markets: a low-volatility approach
title Integrating ESG in factor-based investing in sovereign bond markets: a low-volatility approach
spellingShingle Integrating ESG in factor-based investing in sovereign bond markets: a low-volatility approach
Costa, Luís Sampaio
Finance
Financial markets
Financial or data analysis
Sovereign bond markets
Esg integration
Factor-based investing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Integrating ESG in factor-based investing in sovereign bond markets: a low-volatility approach
title_full Integrating ESG in factor-based investing in sovereign bond markets: a low-volatility approach
title_fullStr Integrating ESG in factor-based investing in sovereign bond markets: a low-volatility approach
title_full_unstemmed Integrating ESG in factor-based investing in sovereign bond markets: a low-volatility approach
title_sort Integrating ESG in factor-based investing in sovereign bond markets: a low-volatility approach
author Costa, Luís Sampaio
author_facet Costa, Luís Sampaio
author_role author
dc.contributor.none.fl_str_mv Hirschey, Nicholas H.
RUN
dc.contributor.author.fl_str_mv Costa, Luís Sampaio
dc.subject.por.fl_str_mv Finance
Financial markets
Financial or data analysis
Sovereign bond markets
Esg integration
Factor-based investing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Finance
Financial markets
Financial or data analysis
Sovereign bond markets
Esg integration
Factor-based investing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description 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.
publishDate 2021
dc.date.none.fl_str_mv 2021-12-17
2022-07-20T13:57:07Z
2022-01-10
2022-01-10T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/142182
TID:202997537
url http://hdl.handle.net/10362/142182
identifier_str_mv TID:202997537
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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