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• W3208116593 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." @default.
• W3208116593 created "2021-11-08" @default.
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• W3208116593 date "2021-10-25" @default.
• W3208116593 modified "2023-10-16" @default.
• W3208116593 title "Tuning Trend-Following Strategies with Macro ESG Data" @default.
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• W3208116593 doi "https://doi.org/10.3905/jesg.2021.1.032" @default.
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