RT Journal Article
SR Electronic
T1 “Honey, I Shrunk the ESG Alpha”: Risk-Adjusting ESG Portfolio Returns
JF The Journal of Investing
FD Institutional Investor Journals
SP joi.2021.1.215
DO 10.3905/joi.2021.1.215
A1 Giovanni Bruno
A1 Mikheil Esakia
A1 Felix Goltz
YR 2021
UL https://pm-research.com/content/early/2021/12/15/joi.2021.1.215.abstract
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.