Scientific Beta

Financial Investigator: "Assessing the performance of sustainable investing from a value-weighted portfolio of exchange-traded funds that follow systematic ESG investing strategies in the US equity market, we find that sustainable investing did not deliver higher returns than standard index funds. Widely commented periods of outperformance, such as the year 2020, can be explained in large part by industry effects, such as a tilt towards technology stocks."

Financial Investigator 05/12/2023

By Giovanni Bruno, Senior Quantitative Analyst, and Felix Goltz, Research Director, Scientific Beta

"(...) Assessing the performance of sustainable investing from a value-weighted portfolio of exchange-traded funds that follow systematic ESG investing strategies in the US equity market, we find that sustainable investing did not deliver higher returns than standard index funds. Widely commented periods of outperformance, such as the year 2020, can be explained in large part by industry effects, such as a tilt towards technology stocks. Over the past decade, such periods of outperformance are offset by corresponding periods of underperformance, leaving ESG investors with returns of -0.2% compared with the market index and -0.7% compared with a benchmark with matching industry exposure. (...)".