Prado, MelissaZhou, Ying2021-11-062021-11-062021-05-282021-01-04http://hdl.handle.net/10362/127273This 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.engEsgFinancial performanceTrading strategyActive extension strategyPortfolio management130/30 strategymaster thesis202769542