ESG and Derivatives

Rajkumar Janardanan, Xiao Qiao and K. Geert Rouwenhorst

Financial Analysts Journal, 2024, vol. 80, issue 3, 5-16

Abstract: Like stocks and bonds, derivatives investments have a measurable environmental, social, and governance (ESG) impact. This paper provides a rationale and a simple framework for applying ESG screens to portfolios that include derivatives, with a particular application to commodity futures. Commodities are ranked based on their top-down ESG scores, and we evaluate the impact of two hypothetical ESG screens for a diversified commodity futures portfolio.

Date: 2024
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DOI: 10.1080/0015198X.2024.2359902

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