27/01/2022

Integrating ESG risk into Trend Following

Share on linkedin
Chalk logo

In Short

Introducing ESG risk parameters into Trend Following

In an environment with low interest rates and low inflation, trend following has delivered mediocre returns over the last decade, with the exception of 2014 where the strategy was able to capitalise on the strong positive oil supply shock in the second half of that year. However, trend following has shown historically that it can deliver strong real returns across inflationary regimes, including the current supply-driven surge in prices. This is achieved by leveraging directional exposures to commodity markets such as energy, metals and agricultural commodity futures that are sensitive to inflation.

 

Given increasing environmental, social and governance (ESG) concerns among investors it is highly important for a systematic investment strategy with large directional exposures to commodities (among the other financial assets) to incorporate ESG information into its investment process. In this paper we present a framework for integrating ESG risk into trend following.

To access this White Paper, please fill in the form to be reviewed by our team.

Your privacy
We use cookies to offer you better experience, analyse site traffic, and serve targeted advertisements. By continuing to use this website, you consent to the use of cookies in accordance with our Cookies and Privacy Policy.
Strictly Necessary – cookies that are necessary for the proper functioning of the website.