Tuning Trend Following Strategies with Macro ESG Data

Trend Following (TF) is a well-known and documented strategy which has been employed by practi- tioners since the 1980s. The focus so far has been on the alpha-generating potential of the strategies and in particular on extending the strategy to a broader range of asset markets. In this paper, we describe how to integrate sovereign Environmental, Social and Governance (ESG) information into a macro TF strategy. Notably, we find that the ESG exposure of the macro portfolios can be substantially increased without any cost in performance.