Scientific Beta

Insurance Asset Risk: "There is no solid evidence that environmental, social and governance (ESG) factors deliver better performance than non-ESG strategies, according to a research paper by Scientific Beta, a provider of a smart beta indices platform. The authors – Giovanni Bruno, Mikheil Esakia, and Felix Goltz – tested 24 different ESG strategies from 2008 and 2020 and found that though there was a 3% outperformance per year, the main driver of the return was “mechanically constructed from balance sheet information”, rather than specific environmental or social factors."

Insurance Asset Risk 07/05/2021

"(...) There is no solid evidence that environmental, social and governance (ESG) factors deliver better performance than non-ESG strategies, according to a research paper by Scientific Beta, a provider of a smart beta indices platform. The authors – Giovanni Bruno, Mikheil Esakia, and Felix Goltz – tested 24 different ESG strategies from 2008 and 2020 and found that though there was a 3% outperformance per year, the main driver of the return was “mechanically constructed from balance sheet information”, rather than specific environmental or social factors. “None of the twelve different strategies we construct to tilt to ESG leaders adds significant outperformance, whether in the US or in developed markets outside the US,” they stated. Furthermore, the report said ESG strategies have significant sector biases, especially towards technology stocks that have delivered huge returns since the global financial crisis, meaning ESG ratings do not add value over information contained in sector classifications and factor attributes. (...)"