Integrating ESG in factor-based investing in the sovereign bond markets: a momentum approach

Detalhes bibliográficos
Autor(a) principal: Castelo, Miguel Afonso Francisco
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/10362/140475
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 affect across all strategies. This paper explores different Momentum based strategies in sovereign emerging bond markets. Results show that cross-sectional momentum strategies can exhibit meaningful risk-adjusted returns above the market. The alternative market time-series strategy explored in this paper revealed to capture dynamics of asset class preferences. The ESG integration improved the risk-return performances, reducing the presence of outliers from the universe, thus suggesting ESG materiality for fixed income investing.
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spelling Integrating ESG in factor-based investing in the sovereign bond markets: a momentum approachFactor investingEsg investingMomentumEmerging marketsDomínio/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 affect across all strategies. This paper explores different Momentum based strategies in sovereign emerging bond markets. Results show that cross-sectional momentum strategies can exhibit meaningful risk-adjusted returns above the market. The alternative market time-series strategy explored in this paper revealed to capture dynamics of asset class preferences. The ESG integration improved the risk-return performances, reducing the presence of outliers from the universe, thus suggesting ESG materiality for fixed income investing.Hirschey, Nicholas H.RUNCastelo, Miguel Afonso Francisco2022-06-22T09:42:05Z2022-01-102021-12-172022-01-10T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/140475TID:202972844enginfo: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:RCAAP2024-05-22T18:02:40Zoai:run.unl.pt:10362/140475Portal AgregadorONGhttps://www.rcaap.pt/oai/openairemluisa.alvim@gmail.comopendoar:71602024-05-22T18:02:40Repositório 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 the sovereign bond markets: a momentum approach
title Integrating ESG in factor-based investing in the sovereign bond markets: a momentum approach
spellingShingle Integrating ESG in factor-based investing in the sovereign bond markets: a momentum approach
Castelo, Miguel Afonso Francisco
Factor investing
Esg investing
Momentum
Emerging markets
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Integrating ESG in factor-based investing in the sovereign bond markets: a momentum approach
title_full Integrating ESG in factor-based investing in the sovereign bond markets: a momentum approach
title_fullStr Integrating ESG in factor-based investing in the sovereign bond markets: a momentum approach
title_full_unstemmed Integrating ESG in factor-based investing in the sovereign bond markets: a momentum approach
title_sort Integrating ESG in factor-based investing in the sovereign bond markets: a momentum approach
author Castelo, Miguel Afonso Francisco
author_facet Castelo, Miguel Afonso Francisco
author_role author
dc.contributor.none.fl_str_mv Hirschey, Nicholas H.
RUN
dc.contributor.author.fl_str_mv Castelo, Miguel Afonso Francisco
dc.subject.por.fl_str_mv Factor investing
Esg investing
Momentum
Emerging markets
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Factor investing
Esg investing
Momentum
Emerging markets
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 affect across all strategies. This paper explores different Momentum based strategies in sovereign emerging bond markets. Results show that cross-sectional momentum strategies can exhibit meaningful risk-adjusted returns above the market. The alternative market time-series strategy explored in this paper revealed to capture dynamics of asset class preferences. The ESG integration improved the risk-return performances, reducing the presence of outliers from the universe, thus suggesting ESG materiality for fixed income investing.
publishDate 2021
dc.date.none.fl_str_mv 2021-12-17
2022-06-22T09:42:05Z
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/10362/140475
TID:202972844
url http://hdl.handle.net/10362/140475
identifier_str_mv TID:202972844
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 mluisa.alvim@gmail.com
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