Download This PaperLow volatility and ESG investing combined: Invesco’s holistic approach
6 Pages Posted: 2 Aug 2021
Date Written: June 22, 2021
Abstract
The low volatility factor in conjunction with the style factors Quality, Value and Momentum, has empirically proven to be able to moderate market risks and improve a portfolio’s overall risk-return profile. By integrating ESG into such a factor portfolio, future risks may be mitigated. We present a proprietary approach to managing ESG risks that can maximize sensitivities to the desired multi-factor characteristics, and we calculate Climate VaR under different global warming scenarios.
Keywords: equity, factor, climate, ESG, low volatility
JEL Classification: G11, G12, M14, Q01, Q5
Suggested Citation: Suggested Citation
von Ditfurth, Manuel and Paarmann, Thorsten and Radatz, Erhard, Low volatility and ESG investing combined: Invesco’s holistic approach (June 22, 2021). Available at SSRN: https://ssrn.com/abstract=3894904 or http://dx.doi.org/10.2139/ssrn.3894904
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