Shelter at Home & ESG Investing ≈ 9% Return

Investing in ESG has been crazy in the past few months. A recent market-neutral backtest showed a 8.73% return (Sharpe of 4.98) for the period of January 1, 2020, to April 22, 2020. The backtest was generated using an ESG dataset that scores every large-cap company optimized for a 5 day holding period. Our simulated $50M portfolio generated a $3,949,172.97 profit (after commissions and fees).

Backtest Methodology

  • Long Positions: Top Quintile of the ESG dataset
  • Short Positions: Bottom Quintile of the ESG dataset
  • Holding period: 5 days
  • Enter Position: Market on Open day 1
  • Close Positions: Market on Close day 5
  • Portfolio Size: $50M

Backtest Results:

  • Return: 8.73%
  • Sharpe: 5.98
  • Max Draw Down: -1.95%
  • Edge per share: $0.0256
  • CALMAR Ratio: 14.03

The following chart shows the return. The left Y Axis shows daily P&L. The Right Y axis shows cumulative P&L for the backtest.

CloudQuant ESG with G&S Quotient 2020 Q1

CloudQuant ESG 2020 Q1

ESG Dataset

For this backtest, we used an NLP generated dataset that uses public information from corporate filings that is optimized for a 5-day return. This dataset distills data points down into a proprietary score that is used to rank the publically listed companies.

Interested in More?

We, like all of you, are busy during these unprecedented times. However, we are offering to send you the daily quintile stock list that has the top quintile and bottom quintiles for this dataset so you can evaluate the trading strategy for your self. We do this with automation (like everything we do at CloudQuant!). The email will arrive around 9:10 EST each trading day. This is a limited time offer. We will only provide this daily email listing for the next few months.

ESG Daily Quintiles Signup Form