Comparing Methodologies for ESG Integration into Equity Factor Construction
比较了排除筛选与纳入优化两种将ESG融入股票因子组合的方法，发现优化方法能更好保持因子风格并提升ESG评分，同时分解了ESG溢价与因子溢价的贡献，为平衡可持续性与系统回报的投资者提供实用见解。
We explore different approaches to incorporate ESG considerations into equity factor portfolio construction, comparing exclusionary screening with inclusionary optimization. We find that portfolio optimization better preserves factor style while enhancing ESG scores. Across the United States, Europe, and Japan, ESG-tilted portfolios benefit from a consistent ESG premium, though at the cost of reduced factor exposure. This article decomposes performance into ESG and factor premium contributions, offering actionable insights for investors balancing sustainability with systematic returns.