The Hunt for Alpha in ESG Fixed Income: Fund Evidence from around the World

Inna Zorina, Lux Corlett-Roy

2022 | Practitioner | Fixed Income, Risk & Performance

Return and risk differences of ESG fixed-income funds appear to be mainly driven by systematic fixed-income factor exposures (primarily term and default). After adjusting for systematic fixed-income factors, ESG fixed-income mutual funds and ETFs in our sample have not consistently delivered statistically significant gross alphas. The majority of alphas are statistically insignificant and therefore indistinguishable from zero.