ESG Momentum in International equity returns and the SDG content of financial asset portfolios
“An out of sample monthly rebalancing ESG momentum Factor mimicking portfolio (double sorted on market capitalization and ESG momentum) yields an annualized Sharpe ratio equal to 0.7 for the sample period.”
AssetEquities
StrategyMomentum
GeographyGlobal
FrequencyMonthly
Also stated: 2002–2023, Sharpe ratio, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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