Quintiles are created every month based on adjusted scores: Pillar scores are first z-scored by Global Industry Classification Standard (GICS®) sector and region (North America, Europe, Pacific and EM sub-indexes of the MSCI ACWI Index) and then size-adjusted. For industry-adjusted ESG scores, we controlled for size and region bias. The next month’s performance (in local return) of the quintiles is calculated. The graph shows the cumulative difference between the top and bottom quintiles’ performance. Data from Dec. 31, 2012, to Dec. 29, 2023. Source: MSCI ESG Research.