Sustainable Systematic Credit
Peter Diep, Lukasz Pomorski and Scott Richardson
The Journal of Fixed Income Summer 2022, jfi.2022.1.136; DOI: https://doi.org/10.3905/jfi.2022.1.136
Peter Diep
is an executive director at AQR Capital Management, LLC
Lukasz Pomorski
is a managing director and Head of ESG Research at AQR Capital Management, LLC
Scott Richardson
is a principal at AQR Capital Management, LLC, and a Professor at London Business School
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In this issue
The Journal of Fixed Income
Vol. 31, Issue 4
Spring 2022
Sustainable Systematic Credit
Peter Diep, Lukasz Pomorski, Scott Richardson
The Journal of Fixed Income Apr 2022, jfi.2022.1.136; DOI: 10.3905/jfi.2022.1.136
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- Article
- Abstract
- DATA
- INITIAL RESULTS
- SUSTAINABILITY AND CREDIT SPREADS
- SUSTAINABILITY AND SYSTEMATIC SIGNALS
- SUSTAINABILITY AND FUTURE CREDIT EXCESS RETURNS
- PORTFOLIO CONSTRUCTION: A SUSTAINABLE SYSTEMATIC CORPORATE BOND PORTFOLIO
- EXCLUSIONS: HOW LARGE AND HOW SIGNIFICANT?
- ESG: SUSTAINABLE ALPHA?
- SUSTAINABILITY ‘TILTING’ AND CARBON REDUCTION
- CALIBRATING ESG DESIGN CHOICES AND THE RESULTING PERFORMANCE
- CHARACTERISTICS: A SUSTAINABLE SYSTEMATIC CORPORATE BOND PORTFOLIO
- GENERAL DISCUSSION
- CONCLUSION
- ACKNOWLEDGMENTS
- ENDNOTES
- REFERENCES
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