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Performance and Risk Analysis of Index-Based ESG Portfolios

Guido Giese, Linda-Eling Lee, Dimitris Melas, Zoltán Nagy and Laura Nishikawa
The Journal of Index Investing Spring 2019, 9 (4) 46-57; DOI: https://doi.org/10.3905/jii.2019.9.4.046
Guido Giese
is an executive director with MSCI Inc. in London, England
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Linda-Eling Lee
is a managing director with MSCI Inc. in New York, NY
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Dimitris Melas
is a managing director with MSCI Inc. in London, England
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Zoltán Nagy
is an executive director with MSCI Inc. in Budapest, Hungary
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Laura Nishikawa
is a managing director with MSCI Inc. in New York, NY
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Abstract

There has been a wide range of research in academia and the asset management industry about the financial benefits of ESG investing. However, the question of how to achieve consistency when integrating ESG has not obtained the same level of attention. As a result, ESG integration currently is often applied inconsistently and incompletely across asset owners’ portfolios. The authors of this article focus on how asset owners can implement ESG integration through index-based allocations to portfolios that seek to replicate ESG indexes. Index-based approaches offer consistency, transparency, and replicability and are generally cost-effective. Over a seven-year study period, global and regional versions of the MSCI ESG Leaders Indexes (as proxies for regional allocations) resulted in significant variations in their respective ESG profiles and performance, but in all instances, there was a clear reduction in all key risk measures.

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The Journal of Index Investing: 9 (4)
The Journal of Index Investing
Vol. 9, Issue 4
Spring 2019
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Performance and Risk Analysis of Index-Based ESG Portfolios
Guido Giese, Linda-Eling Lee, Dimitris Melas, Zoltán Nagy, Laura Nishikawa
The Journal of Index Investing Mar 2019, 9 (4) 46-57; DOI: 10.3905/jii.2019.9.4.046

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Performance and Risk Analysis of Index-Based ESG Portfolios
Guido Giese, Linda-Eling Lee, Dimitris Melas, Zoltán Nagy, Laura Nishikawa
The Journal of Index Investing Mar 2019, 9 (4) 46-57; DOI: 10.3905/jii.2019.9.4.046
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  • Article
    • Abstract
    • INDEX METHODOLOGY FOR USE IN PASSIVE PORTFOLIOS
    • GLOBAL MARKETS ALLOCATION
    • EMERGING MARKETS ALLOCATION
    • WORLD EX USA ALLOCATION
    • US REGIONAL INDEX-BASED ALLOCATION
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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