Bonds with Benefits: Impact Investing in Corporate Debt
研究了可持续投资在主动管理信用组合中的影响，发现碳排放、可持续发展目标和绿色债券与系统性因子相关性低，可持续性与超额收益呈凹形关系，为不同投资者提供了实现可持续组合的路径。
The regulatory focus on quantifiable sustainable investing shifts investors’ demand toward impact products, which creates challenges in achieving their primary target of outperformance. This study demonstrates the implications of sustainable investment in actively managed credit portfolios using carbon emissions, Sustainable Development Goals (SDGs), and green bonds. All three measures exhibit a low correlation with systematic factors, such as value and momentum, providing an opportunity for a sustainable alpha. Furthermore, we demonstrate a concave relationship between outperformance and sustainability. Therefore, systematic investors achieve a sustainable portfolio at a low cost, whereas sustainability-oriented investors harness factor returns and meet their initial targets.