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
John B. Guerard Jr,
is director of quantitative research at McKinley Capital Management in Anchorage, AK
Mikhail Samonov
is a portfolio manager at Two Centuries Investments in Princeton, NJ
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In this issue
The Journal of Investing
Vol. 29, Issue 2
ESG Special Issue 2020
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
Jump to section
- 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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