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Evaluating the Effectiveness of the Momentum Strategy for Responsible Investment in the Russian Stock Market

SHS Web of Conferences, 2021, Vol.93, p.2020 [Peer Reviewed Journal]

2021. This work is licensed under https://creativecommons.org/licenses/by/4.0/ (the “License”). Notwithstanding the ProQuest Terms and conditions, you may use this content in accordance with the terms of the License. ;ISSN: 2261-2424 ;ISSN: 2416-5182 ;EISSN: 2261-2424 ;DOI: 10.1051/shsconf/20219302020

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  • Title:
    Evaluating the Effectiveness of the Momentum Strategy for Responsible Investment in the Russian Stock Market
  • Author: Ovechkin, Danila ; Reshetnikova, Liudmila ; Boldyreva, Natalia
  • Dvoryadkina, E.B. ; Animitsa, E.G.
  • Subjects: Stock exchanges
  • Is Part Of: SHS Web of Conferences, 2021, Vol.93, p.2020
  • Description: In modern conditions, the integration of ESG-criteria into investment decisions of asset managers is considered as a key factor in sustainable economic development. We examine the effectiveness of the Momentum-ESG strategy based on the Responsibility and Openness Index in comparison with the Momentum strategy, which is based on the Moscow Exchange Broad Market Index, since December 2011 to December 2020. We propose an algorithm for integrating ESG criteria into momentum strategy. We select "winners" and "losers" stocks based on their monthly return. The Momentum-ESG strategy has a high Sharpe ratio for a time horizon of 12 months, the Momentum strategy - for a time horizon of 6 months. The testing of the Momentum-ESG strategy shows its greater efficiency in terms of the Sharpe ratio compared to the Momentum strategy, which does not take into account the ESG-factors, in the investing period.
  • Publisher: Les Ulis: EDP Sciences
  • Language: English
  • Identifier: ISSN: 2261-2424
    ISSN: 2416-5182
    EISSN: 2261-2424
    DOI: 10.1051/shsconf/20219302020
  • Source: EDP Open
    ROAD: Directory of Open Access Scholarly Resources
    ProQuest Central
    DOAJ Directory of Open Access Journals
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