RT Journal Article
SR Electronic
T1 Practical Applications of Can ESG Add Alpha? <em>An Analysis of ESG Tilt and Momentum Strategies</em>
JF Practical Applications
FD Institutional Investor Journals
SP 1
OP 5
DO 10.3905/pa.2016.4.3.205
VO 4
IS 3
A1 Zoltán Nagy
A1 Altaf Kassam
A1 Linda-Eling Lee
A1 Kathryn Saklatvala
YR 2017
UL https://pm-research.com/content/4/3/1.7.abstract
AB Can ESG Add Alpha? An Analysis of ESG Tilt and Momentum Strategies Zoltán Nagy Altaf Kassam Linda-Eling Lee Institutional investors have generally assumed that incorporating ESG into portfolio construction entails a hit to performance, but new research shows that’s not necessarily so.In Can ESG Add Alpha? An Analysis of ESG Tilt and Momentum Strategies , authors Zoltán Nagy ( MSCI ), Altaf Kassam ( State Street Global Advisors ) and Linda-Eling Lee (MSCI), backtest two model portfolios—ESG Tilt and ESG Momentum—and find they outperform the MSCI World Index benchmark.“Over time, approaches [have] developed where you could break even. But there’s still a nagging feeling in the industry that you can’t have your cake and eat it too,” notes Kassam. But they’re confident their more-robust data proves that trade-offs between ESG and performance aren’t inevitable.