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Working Paper
Working Paper ESG Bonds Credit Risk
12.11.2021

ESG Improvers in Credit Investing

Published 

12 November, 2021

> 10 minutes
12.11.2021
ESG Improvers in Credit Investing
Published 

12 November, 2021

> 10 minutes

ABSTRACT

The objective of this article is to explore the impact of ESG Improvers on the corporate bond market. We study passive and active strategies respectively on a broad portfolio and a concentrated portfolio. In particular, we examine how the ESG Improvers strategy behaves if we constrain the optimised portfolio to match the benchmark risk metrics. Some constraints are then relaxed to build a concentrated portfolio. We analyse three investment universes: euro-denominated investment-grade, dollar-denominated investment-grade, and global high-yield. Results not only show that the ESG Improvers strategy is a driver of performance, but also it tends to create portfolios with higher ESG weighted scores than their related benchmarks.

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