Robeco is one of the leading asset managers on both quant and sustainability investing. Robeco Quant Fixed Income is integrating Robeco’s in-house sustainability data in the construction of our bond portfolios. In this internship we want to further explore the possibilities of using environmental, social and governance (ESG) factors in our bond models and portfolio construction. Most of the existing academic literature focuses on explaining spread levels with ESG factors. We want to investigate the importance of ESG factors for the return and risk of bond portfolios.
During the internship we will challenge the intern to get new insights and more ideas on this topic.
Badia, Pina and Torres (2019) “Financial performance of government bond portfolios based on environmental, social and governance criteria”, Sustainability, 11(9), 2514.
De Boyrie and Pavlova (2020) “Analysing the link between environmental performance and sovereign credit risk”, Applied Economics.
Duyvesteyn, Martens and Verwijmeren (2016) “Political risk and expected government bond returns”, Journal of Empirical Finance 38(A), 498-512.
Martens, Beekhuizen, Duyvesteyn and Zomerdijk (2019) “Carry investing on the yield curve”, Financial Analysts Journal 75(4), 51-63.