Can ESG Add Alpha? An Analysis of ESG Tilt and Momentum Strategies

Zoltán Nagy Altaf Kassam, Linda-Eling Lee

2016 | Practitioner | ESG & Factors, Risk & Performance

The authors analyze two relatively hightracking-error global strategies constructed using ESG data—a tilt strategy and a momentum strategy and find that both model portfolios outperformed the MSCI World Index over the past eight years, while also improving the ESG profile of the portfolios. These backtested model portfolios provide an example of how institutional investors with the tolerance to take some active risk...