How to Improve the ESG Profile of Portfolios While Keeping a Similar Risk-Adjusted Return

Dominic Barber, Antoine Kopp, Remy Cottet, Gabriele Susinno

2021 | Practitioner | Portfolio Construction, Risk & Performance

Using different MSCI benchmarks as reference portfolios, the research shines light on interesting subsector dynamics in the ESG-tilting process. Namely, Banks and Pharmaceuticals are replaced by Insurers and Real Estate Investment Trusts, in addition to Healthcare providers. The paper provides significant findings for investment managers in the context of ever-increasing pressure to ‘do good whilst doing well’.