TY - JOUR T1 - “Honey, I Shrunk the ESG Alpha”: Risk-Adjusting ESG Portfolio Returns JF - The Journal of Investing DO - 10.3905/joi.2021.1.215 SP - joi.2021.1.215 AU - Giovanni Bruno AU - Mikheil Esakia AU - Felix Goltz Y1 - 2022/01/04 UR - https://pm-research.com/content/early/2022/01/04/joi.2021.1.215.abstract N2 - 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. ER -