ESG Integration in Multi-Asset Portfolios: The Trade-Off Between Sustainability and Factor Stability
研究了将ESG因素纳入多资产组合是否改善风险调整后收益并减少回撤，发现ESG倾斜组合在风险调整基础上持续跑赢基准，同时保持对传统风格因子的暴露。
This study investigates whether integrating ESG considerations into multi-asset portfolios improves risk-adjusted performance and mitigates drawdowns. Using a factor-tilting approach, we construct ESG-oriented versions of the traditional 60/40 stock/bond portfolio, incorporating data from RepRisk across US and European equity and investment-grade corporate bond indices. Our findings reveal that ESG-tilted portfolios consistently outperform their benchmarks on a risk-adjusted basis, with slightly lower drawdowns and reduced ESG risk. Notably, ESG integration preserves exposure to traditional style factors, ensuring alignment with established portfolio construction principles. We also show that factor-based diversification offers superior risk mitigation compared to geographic diversification alone.