Exploring the Risk/Return Trade-offs of ESG Investing

Does ESG investing have a negative impact on a portfolio’s performance? For years, this has been one of the chief questions about sustainable investing. This quantitative study compares portfolios exposed to different levels of ESG risk to evaluate if there is a significant difference in returns.

In this report, you will learn:
  • A detailed analysis of the performance of portfolios with different levels of ESG risk
  • How the ESG factor correlates with the Fama-French model’s factors
  • The impact of incorporating the ESG factor into the Morningstar Global Risk Model
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