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Devise a trading strategy with Esg principles
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This study analyzes the effect on performance when incorporating ESG principles into the 130/30 active extension investment strategy. By setting exposure to 130% for the long position of high-ESG-ranking stocks, and a 30% exposure for the short position of low-ESG-ranking stocks, positive and statistically significant abnormal returns of up to 8.532%can be achieved. However, the short position of this strategy generated a negative performance contribution, and the 130/30 strategy is not a statistically significant improvement to the long-only strategy. Nevertheless, it is still possible to slightly improve the information ratio when changing the long-short exposure and cut-off points.
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Esg Financial performance Trading strategy Active extension strategy Portfolio management 130/30 strategy