Socially Responsible Investing and Factor Investing, Is There an Opportunity Cost?
研究了在环境、社会和治理（ESG）筛选下进行因子投资的效果，发现负面筛选（剔除ESG评分差的公司）几乎不损害业绩或增加交易成本，而积极筛选（只选ESG领先的公司）则导致严重风险问题和较高成本。
This article examines factor investing in the presence of an environment, social, and governance (ESG) screening overlay. The authors find that virtually no degradation in performance or turnover costs occur when using a negative-based ESG screen (i.e., removing only companies that have an actively bad ESG score). However, there are severe risk-induced performance issues and high transactions costs involved when the screening process becomes more active and includes only companies that are ESG-forward. The authors find that this is true for individually constructed factor portfolios, a composite benchmark of factor portfolios, and a stock selection model constructed from factor scores. Interestingly, they find that both screening methodologies produce significant improvement in ESG portfolio scores. They find very modest increases in turnover with the ESG screening of bad companies and significant costs with the more aggressive ESG screening techniques. In general, the authors conclude that ESG screening of negative companies is a positive way forward for agents who wish to add ESG to their factor-based investment portfolios and that the method of implementing ESG makes a large difference in outcomes.