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Tuning Trend-Following Strategies with Macro ESG Data

Author

Listed:
  • Christian Morgenstern
  • Guillaume Coqueret

    (EM - EMLyon Business School)

  • James N. Kelly

Abstract

This article seeks to tilt traditional macro trend-following strategies toward countries with high Environmental, Social, and Governance (ESG) scores. The integration incorporates both ESG levels and changes (improvements or deteriorations in sustainability). Notably, the authors find that the international ESG exposure of the macro portfolios can be substantially increased without any cost in performance for both long-only and long–short portfolios. In some cases, transaction cost–adjusted Sharpe ratios can even benefit from a minor shift toward more ESG exposure.

Suggested Citation

  • Christian Morgenstern & Guillaume Coqueret & James N. Kelly, 2021. "Tuning Trend-Following Strategies with Macro ESG Data," Post-Print hal-05721857, HAL.
    • Handle: RePEc:hal:journl:hal-05721857
    DOI: 10.3905/jesg.2021.1.032
    as

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