Wissenschaftliche Publikation

Financial Markets and Portfolio Management: Factor exposures and diversification: are sustainably screened portfolios any different?

We analyze the performance, risk, and diversification characteristics of global screened and best-in-class equity portfolios constructed according to Inrate’s sustainability ratings. The financial performance of sustainably high-rated portfolios is similar to the risk-adjusted market performance in terms of abnormal returns of a five-factor market model. In contrast, low-rated portfolios exhibit negative abnormal returns. Firms with high sustainability ratings show lower idiosyncratic risk and higher exposure toward the high-minus-low and the conservative-minus-aggressive factor.

Gougler, A. & Utz, S. (2020). Factor exposures and diversification: Are sustainably screened portfolios any different?. Financ Mark Portf Manag 34, 221–249.

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