PT  - JOURNAL ARTICLE
AU  - Giovanni Bruno
AU  - Mikheil Esakia
AU  - Felix Goltz
TI  - “Honey, I Shrunk the ESG Alpha”: Risk-Adjusting ESG Portfolio Returns
AID  - 10.3905/joi.2021.1.215
DP  - 2021 Dec 15
TA  - The Journal of Investing
PG  - joi.2021.1.215
4099  - https://pm-research.com/content/early/2021/12/15/joi.2021.1.215.short
4100  - https://pm-research.com/content/early/2021/12/15/joi.2021.1.215.full
AB  - The authors construct ESG strategies that have been shown to outperform in popular articles. They assess performance benefits to investors when accounting for sector and factor exposures. They find that most of the outperformance of these strategies can be explained by their exposure to equity style factors that are mechanically constructed from balance sheet information. This result is robust across different multifactor models. Furthermore, the ESG strategies tested show large sector biases. Removing these biases also removes outperformance. They conclude that claims on ESG outperformance in popular articles are not valid.