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

doi:10.3905/joi.2020.1.115

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