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Is ESG an Equity Factor or Just an Investment Guide?

André Breedt, Stefano Ciliberti, Stanislao Gualdi and Philip Seager
The Journal of Investing ESG Special Issue 2019, 28 (2) 32-42; DOI: https://doi.org/10.3905/joi.2019.28.2.032
André Breedt
is a research associate at Capital Fund Management in Paris, France
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Stefano Ciliberti
is head of research of Alternative Beta Strategies at Capital Fund Management in Paris, France
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Stanislao Gualdi
is a research associate at Capital Fund Management in Paris, France
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Philip Seager
is head of alternative beta strategies at Capital Fund Management in Paris, France
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Abstract

Environmental, social, and governance (ESG) information demands attention within the asset management industry since it has become widely accepted that making an allowance for ESG criteria within an equity portfolio enhances returns. The authors test this proposition by incorporating ESG criteria into a worldwide market neutral portfolio using an “off-the-shelf” third-party database of individual security ratings. Our results show that incorporating ESG information into a worldwide equity-market-neutral portfolio yields no additional return because any benefits from tilting toward a better-rated ESG portfolio is already wholly captured by other well-known equity factors. Doing so, however, does not hurt returns. They conclude that ESG should not be considered as a unique equity factor.

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The Journal of Investing: 28 (2)
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ESG Special Issue 2019
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Is ESG an Equity Factor or Just an Investment Guide?
André Breedt, Stefano Ciliberti, Stanislao Gualdi, Philip Seager
The Journal of Investing Jan 2019, 28 (2) 32-42; DOI: 10.3905/joi.2019.28.2.032

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Is ESG an Equity Factor or Just an Investment Guide?
André Breedt, Stefano Ciliberti, Stanislao Gualdi, Philip Seager
The Journal of Investing Jan 2019, 28 (2) 32-42; DOI: 10.3905/joi.2019.28.2.032
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