Abstract
Like stocks and bonds, derivatives investments have a measurable environmental, social, and governance (ESG) impact. This paper provides a rationale and a simple framework for applying ESG screens to portfolios that include derivatives, with a particular application to commodity futures. Commodities are ranked based on their top-down ESG scores, and we evaluate the impact of two hypothetical ESG screens for a diversified commodity futures portfolio. © 2024 CFA Institute. All rights reserved.
| Original language | English |
|---|---|
| Pages (from-to) | 5-16 |
| Journal | Financial Analysts Journal |
| Volume | 80 |
| Issue number | 3 |
| Online published | 1 Jul 2024 |
| DOIs | |
| Publication status | Published - 2024 |
Funding
Rouwenhorst acknowledges financial support from the Yale School of Management. Qiao acknowledges financial support from the Research Grants Council of the Hong Kong SAR, China (No. CityU 21500422 and CityU 11500823). The authors alone are responsible for the content and writing of the paper. SummerHaven Investment Management invests in, among other things, commodity futures. The views expressed in this paper are those of the authors and not necessarily those of SummerHaven Investment Management.
Research Keywords
- 0.75
- commodities
- derivatives
- ESG
- futures
- hedging
- sustainable investing
RGC Funding Information
- RGC-funded
Fingerprint
Dive into the research topics of 'ESG and Derivatives'. Together they form a unique fingerprint.Projects
- 2 Active
-
GRF: Time-Varying Risks in Commodity Markets
QIAO, X. (Principal Investigator / Project Coordinator) & FENG, G. G. (Co-Investigator)
1/12/23 → …
Project: Research
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ECS: Understanding Commodity Markets via Return Predictability
QIAO, X. (Principal Investigator / Project Coordinator)
1/09/22 → …
Project: Research
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