Scientific Beta

Top 1000 Funds: "Popular papers document positive alpha for equity strategies that favour ESG leaders, and asset managers readily adopt the idea of positive ESG alpha, viewing “ESG as a source of alpha that could lead to positive portfolio performance over time. […].” In recent research conducted by Scientific Beta, we construct ESG strategies that have been shown to outperform in popular papers."

Top 1000 Funds 11/05/2021

Article by Felix Goltz, PhD, Research Director, Scientific Beta.

"(...) Popular papers document positive alpha for equity strategies that favour ESG leaders, and asset managers readily adopt the idea of positive ESG alpha, viewing “ESG as a source of alpha that could lead to positive portfolio performance over time. […].” In recent research conducted by Scientific Beta, we construct ESG strategies that have been shown to outperform in popular papers. We construct six different strategies in US equity markets and in developed markets outside the US. Each strategy goes long ESG leaders and short ESG laggards, using a different type of ESG score. The scores we use are the aggregate ESG rating, each of the three component ratings, the rating trend, and finally, a combination of ESG rating level and trend. Our contribution is that we conduct a thorough risk adjustment when analysing the performance of these strategies. (...)"