On March 24, Responsible Investor reported on a new study of how ESG integration affects portfolio risk and returns. Risklab, a unit of Allianz Global Investors, found “a high probability that companies that don’t manage ESG issues will be more volatile,” in the words of RI’s Hugh Wheelan. The Risklab study, “ESG Risk Factors in a Portfolio Context,” explains the motivation behind its methodology:
“Strategic Asset Allocation (SAA) has been described as the most important factor driving long-term portfolio returns. Estimates conclude it accounts for up to 90% of portfolio risks, outweighing market timing and stock selection in importance. Yet…little has been researched on the link between ESG and the risk/return profile of an entire portfolio.”
The RiskMetrics ESG Analytics team is often asked for studies on performance, and ESG Insight has reviewed a number of them. Here, for reference, are links to some past articles on ESG/SRI research. Where possible, each article includes a link to the research itself.
ESG 'Active Owners,' Like Norway, Have Better Control of Investment Horizons
'Are Ethical Investments Good?' New Research on Impact of FTSE KLD 400
Social Investment Forum Answers Top Ten Questions about SRI/Sustainable Investing
For a broader historical perspective, significant ESG-focused research from 1997-2008 can be found at sristudies.org.
Also see the Mutual Fund Performance Chart and “Performance and Socially Responsible Investments” at the Social Investment Forum site.