低波动性和ESG投资相结合:景顺的整体策略

Mutual Funds Pub Date : 2021-06-22 DOI:10.2139/ssrn.3894904

Manuela von Ditfurth, Thorsten Paarmann, Erhard Radatz

{"title":"低波动性和ESG投资相结合:景顺的整体策略","authors":"Manuela von Ditfurth, Thorsten Paarmann, Erhard Radatz","doi":"10.2139/ssrn.3894904","DOIUrl":null,"url":null,"abstract":"The low volatility factor in conjunction with the style factors Quality, Value and Momentum, has empirically proven to be able to moderate market risks and improve a portfolio’s overall risk-return profile. By integrating ESG into such a factor portfolio, future risks may be mitigated. We present a proprietary approach to managing ESG risks that can maximize sensitivities to the desired multi-factor characteristics, and we calculate Climate VaR under different global warming scenarios.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"12 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2021-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Low volatility and ESG investing combined: Invesco’s holistic approach\",\"authors\":\"Manuela von Ditfurth, Thorsten Paarmann, Erhard Radatz\",\"doi\":\"10.2139/ssrn.3894904\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The low volatility factor in conjunction with the style factors Quality, Value and Momentum, has empirically proven to be able to moderate market risks and improve a portfolio’s overall risk-return profile. By integrating ESG into such a factor portfolio, future risks may be mitigated. We present a proprietary approach to managing ESG risks that can maximize sensitivities to the desired multi-factor characteristics, and we calculate Climate VaR under different global warming scenarios.\",\"PeriodicalId\":18891,\"journal\":{\"name\":\"Mutual Funds\",\"volume\":\"12 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-06-22\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Mutual Funds\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3894904\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Mutual Funds","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3894904","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 0

摘要

低波动性因素与风格因素质量、价值和动量相结合，已被经验证明能够缓和市场风险并改善投资组合的整体风险回报状况。通过将ESG整合到这样的因素组合中，可以减轻未来的风险。我们提出了一种管理ESG风险的专有方法，可以最大限度地提高对所需多因素特征的敏感性，并计算了不同全球变暖情景下的气候VaR。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Low volatility and ESG investing combined: Invesco’s holistic approach

The low volatility factor in conjunction with the style factors Quality, Value and Momentum, has empirically proven to be able to moderate market risks and improve a portfolio’s overall risk-return profile. By integrating ESG into such a factor portfolio, future risks may be mitigated. We present a proprietary approach to managing ESG risks that can maximize sensitivities to the desired multi-factor characteristics, and we calculate Climate VaR under different global warming scenarios.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Mutual Funds

自引率

0.00%

发文量