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Working Paper

Does ESG Help or Hurt Returns?

Combining several large data sets, we compute the empirical ESG-efficient frontier and show the costs and benefits of responsible investing.

Data Set

Responsible Investing: The ESG-Efficient Frontier – Original Paper Data

This the original data set used in “Responsible Investing: The ESG-Efficient Frontier” (Pedersen, Fitzgibbons and Pomorski). It contains the total returns of the value-weighted and equal-weighted portfolios used in the paper.

Working Paper

Responsible Investing: The ESG-Efficient Frontier

Combining several large data sets, we compute the empirical ESG-efficient frontier and show the costs and benefits of responsible investing.

Trade Publication

Hit 'Em Where It Hurts, ESG Investing 2.0

We suggest a new approach to ESG investing that we believe may be more effective in making negative investor views known to management — while at the same time potentially improving portfolio expected returns.

White Paper

Portfolio Construction Matters: A Simple Example Using Value and Momentum Themes

We compare two portfolio construction approaches, “mix” and “integrate,” and examine some examples to demonstrate how their differences may have important implications for practice.

Journal Article

Assessing Risk through Environmental, Social and Governance Exposures

ESG investing may have a role in portfolios that extends beyond ethical considerations, particularly for investors interested in tilting toward safer stocks, and in a way that complements what is captured by traditional statistical risk models.

Journal Article

Long-Only Style Investing: Don't Just Mix, Integrate

We contrast two common approaches to long-only style investing: the “portfolio mix” and the “integrated portfolio.” Our results suggest that long-only factor or smart beta investors should consider integrating styles in portfolio construction.