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Asset allocation with environmental, social, and governance concerns: exploring environmental, social, and governance investment strategies in portfolio management
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Resumo(s)
This research explores different ESG investment strategies in portfolio manage ment, analyzing their performance and risk variances for optimal risk-return out comes. Using MSCI ESG indexes, the study reveals a slight decrease in financial
returns with higher screening intensity. Well-diversified ESG indexes showed no
reduced returns compared to a non-restricted index. Surprisingly, monthly vari ance across indexes remained equal regardless of the screening intensity. Jensen's
alpha estimation found no significant differences in risk-adjusted returns among
the observed ESG indexes. These findings build on previous literature and shed
light on the complexities of ESG strategies within investment landscapes.
Descrição
Palavras-chave
Esg (environmental Social Governance) Investment strategies Investment performance Esg screenings