Educational

25-Jun-17

Smart SRI Investing: Combining ESG criteria with factor investing

Koen Van de Maele, CFA

In this paper, we discuss how investors seeking to match or outperform broad equity markets, but who also want to invest sustainably, can achieve superior risk-adjusted returns by applying a combination of SRI filters and factor investingThe two-step methodology, and its effect on portfolio construction and investment outcomes, is applied to European, Japanese and US equity markets.

25-Jun-17

Smart SRI Corporate Bond Investing: Combining ESG criteria with factor investing in fixed income

Koen Van de Maele, CFA

Factor investing is yet to be widely applied to the corporate bond market, despite emerging evidence it leads to superior risk-adjusted returns. By adapting index weighting to exploit behavioural bias and anomalies in market structure, factor investing can reduce risk and boost yields. Adding SRI filters further enables investors to exploit opportunities and mitigate risks related to sustainability. We demonstrate the impact of this combined approach on portfolio construction and performance, in Euro-denominated and USD corporate bond markets.