Options
Analyzing the Performance of ESG Factors in a Mixed Asset setting
Author(s)
Date Issued
2018-10-02
Date Available
2019-05-22T09:49:56Z
Abstract
Analyzing ESG factor impacts is commonplace for equity portfolios but much less common in fixed income. This article describes the results of research done using financial data science analysis, which integrates environmental, social, and governance (ESG) issues into a mixed asset universe in which equity and fixed-income securities are examined in one analytical setting. I differentiate “mixed assets” from “multi-asset,” because the latter builds asset class portfolios and then integrates them during the asset allocation process, whereas the former analyzes securities or various asset classes in one (mixed) analytical setting. In other words, multi-asset approaches usually involve at least three steps: a security selection process in the first asset class, another security selection process in the second asset class, and an asset allocation process between asset classes. Mixed assets, in contrast, combine security selection and asset allocation in one step, which implies that they require more statistical expertise to design but are more resource efficient to implement once developed.
Type of Material
Book Chapter
Publisher
CFA Institute Research Foundation
Series
Research Foundation Books 25 October 2018 Volume 4 Issue 7
Copyright (Published Version)
2018 The CFA Institute Research Foundation
Language
English
Status of Item
Not peer reviewed
Part of
Greis, M.J. (ed.). Mainstreaming Sustainable Investing
ISBN
978-1-944960-63-6
This item is made available under a Creative Commons License
File(s)
No Thumbnail Available
Name
Hoepner (2018) Analyzing the Performance of ESG Factors in a Mixed Asset Setting.pdf
Size
145.55 KB
Format
Owning collection
Views
865
Last Month
2
2
Acquisition Date
Apr 18, 2024
Apr 18, 2024
Downloads
355
Last Week
4
4
Last Month
15
15
Acquisition Date
Apr 18, 2024
Apr 18, 2024