CAN VALUE INVESTORS DO GOOD?
- ESG factors underperformed the Value factor and market since 2009
- Integrating ESG in Value investing decreased returns, but increased risk-return ratios
- Residual ESG factors are likely to generate negative returns given the focus on stakeholders, not shareholders
ESG INVESTING: TOO GOOD TO BE TRUE?
- ESG factors generated positive excess returns since 2009
- Show positive exposure to Low Volatility & Quality and negative exposure to Value & Size
- Factor exposure is likely structural and not temporary