Scientific Beta

Financial Standard: "2020 saw large outperformance over the market (+4.2% in relative returns and CAPM alpha), and there is continuing interest from the market. However, new research finds that when fund manager skill is discounted from the equation, sustainable investing portfolios performed at 0.2% lower than the proxy for the US market, and 0.1% lower when accounting for portfolio market risk exposure."

Financial Standard 05/10/2023

"(...) 2020 saw large outperformance over the market (+4.2% in relative returns and CAPM alpha), and there is continuing interest from the market. However, new research finds that when fund manager skill is discounted from the equation, sustainable investing portfolios performed at 0.2% lower than the proxy for the US market, and 0.1% lower when accounting for portfolio market risk exposure. In addition, more than 50% of the positive alpha in 2020 is explained by industry exposure factors, leaving investors with a loss of 0.7% compared with the benchmark of industry exposure. Periods of outperformance, such as in 2020, can be explained by industry effects including a tilt towards technology stocks. The study from Scientific Beta, Sustainability Alpha in the Real World: Evidence from Exchange-Traded Funds, assesses the performance of sustainable investing from a value-weighted portfolio of ETFs that follow systematic ESG investing strategies in the US equity market. The study concluded that sustainable investing did not deliver higher returns than standard index funds. (...)"