Strategies · Core
ESG, Price Momentum and Stochastic Optimization
Blend ESG scores with price momentum inside a constrained optimizer — a construction recipe, not a new anomaly.
Definition
Signals: ESG and 12-1 momentum. Weights from a mean-variance or stochastic optimizer with tracking-error and ESG floors. The edge, if any, is still the signals; the optimizer is the risk budget.
Why it matters
It is how a mandate actually ships ‘ESG + momentum.’ Easy to hide overfit in the optimizer.
Case
A TE budget that forces the book back to the index and kills both signals. The optimizer was the product.
How to read it
Write the two signals’ standalone IRs, then the constraints. If the optimizer is the alpha, you are unallocated.
No query has been run yet. Which is tragically normal for most knowledge systems, but we are trying to evolve past decorative databases.