Establishing ESG as Risk Premia

Julia Pollard, Matthew Sherwood, Ryan Klobus

2018 | Academic | Risk & Performance

According to the results presented, ESG-integration in global equity portfolios provides higher risk-adjusted returns than non-ESG-integrated portfolios selected from the same pool of equities. Using ESG-integration to select investments allows investors to further use factor analysis and risk premia methodologies to yield higher risk-adjusted returns.