… They provide details on the effects of individual E, S, and G scores on performance. The …
This suggests that the ESG performance gain is not a consequence of buying pressure and …

… For the sake of simplicity, we assume that unpredictable default is always not liked by
investors, that is, the pricing kernel's ‘percentage jump’ ζ is non-negative. This assumption can be …

… information ratio is reached when the ESP weight is equal to 47% (and the respective EMC
weight is 53%), which is very close to an equal allocation between ESP and EMC portfolios. …

… performance of a single—timed long—short strategy is quite similar to that of a single static
asset position. The primary difference is that the skilled signal gives the timed strategy a bias …

… where ; is the recovery rate at default, which is a fixed historical data input in applications.
CBks defaultable part is assessed under the assumption of Recovery of Face Value at Default (…

… The second section of this article is devoted to systematic … bond’s spread with its peer group
and adjusting for company fundamentals—and on the momentum of the same issuer’s equity…

… of the sample data is known. In our analysis, we use the normal distribution for spread
changes with zero mean and volatility that is not constant over time but rather is a function of the …

… Our core belief at Ostrum AM, is that a robust quantamental approach, yields superior
investment outcomes. Indeed, this book is a valuable read for the savvy investor."—Ibrahima Kobar…

… of the sample data is known. In our analysis we use the normal distribution for spread
changes with zero mean and volatility that is not constant over time but rather is a function of the …

… The authors conducted an analysis to determine whether style factor investing is a suitable
strategy for investors. Because data for credit portfolios managed with systematic styles were …