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Warning: SRI Need Not Kill Your Sharpe and Information Ratios—Forecasting of Earnings and Efficient SRI and ESG Portfolios

Christopher C. Geczy, John B. Guerard and Mikhail Samonov
The Journal of Investing ESG Special Issue 2020, 29 (2) 110-127; DOI: https://doi.org/10.3905/joi.2020.1.115
Christopher C. Geczy
is an adjunct professor of finance; He is academic director in the Wharton Wealth Management Initiative and the Jacobs Levy Equity Management Center for Quantitative Financial Research at the Wharton School of the University of Pennsylvania in Philadelphia, PA
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John B. Guerard Jr,
is director of quantitative research at McKinley Capital Management in Anchorage, AK
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Mikhail Samonov
is a portfolio manager at Two Centuries Investments in Princeton, NJ
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Article Information

vol. 29 no. 2 110-127
DOI 
https://doi.org/10.3905/joi.2020.1.115

Published By 
Pageant Media Ltd
Print ISSN 
1068-0896
Online ISSN 
2168-8613
History 
  • Published online January 31, 2020.

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  • Latest version (January 13, 2020 - 04:33).
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© 2020 Pageant Media Ltd

Author Information

  1. Christopher C. Geczy
    1. is an adjunct professor of finance; He is academic director in the Wharton Wealth Management Initiative and the Jacobs Levy Equity Management Center for Quantitative Financial Research at the Wharton School of the University of Pennsylvania in Philadelphia, PA. (geczy{at}wharton.upenn.edu)
  2. John B. Guerard Jr,
    1. is director of quantitative research at McKinley Capital Management in Anchorage, AK. (jguerard{at}mckinleycapital.com)
  3. Mikhail Samonov
    1. is a portfolio manager at Two Centuries Investments in Princeton, NJ. (mikhail{at}twocenturies.com)
  1. To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
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The Journal of Investing: 29 (2)
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Vol. 29, Issue 2
ESG Special Issue 2020
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Warning: SRI Need Not Kill Your Sharpe and Information Ratios—Forecasting of Earnings and Efficient SRI and ESG Portfolios
Christopher C. Geczy, John B. Guerard, Mikhail Samonov
The Journal of Investing Jan 2020, 29 (2) 110-127; DOI: 10.3905/joi.2020.1.115

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Warning: SRI Need Not Kill Your Sharpe and Information Ratios—Forecasting of Earnings and Efficient SRI and ESG Portfolios
Christopher C. Geczy, John B. Guerard, Mikhail Samonov
The Journal of Investing Jan 2020, 29 (2) 110-127; DOI: 10.3905/joi.2020.1.115
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  • Article
    • Abstract
    • ON THE IMPORTANCE OF NORMALIZED ESG SCORES
    • FROM RAW TO NORMALIZED SCORE DEFINITIONS
    • SIMPLY WEIGHTED PORTFOLIOS
    • OPTIMIZED PORTFOLIO SETTINGS
    • EXPECTED RETURNS
    • CONSTRUCTING MEAN–VARIANCE-EFFICIENT PORTFOLIOS
    • AN INITIAL REPLICATION OF THE EARLY NO-COST SRI STUDIES
    • CTEF MVTAR WITH NORMALIZED KLD CRITERIA
    • SUMMARY AND CONCLUSIONS
    • ADDITIONAL READING
    • ACKNOWLEDGMENTS
    • APPENDIX
    • ESG RATINGS DEFINITIONS
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
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