Publication: A Factor-Tilt Approach to ESG Investing
A Factor-Tilt Approach to ESG Investing
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Iwata, T., & Weibel, M. (2023). A Factor-Tilt Approach to ESG Investing (No. 4456943; SSRN). https://doi.org/10.2139/ssrn.4456943
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This research examines the incorporation of Environmental, Social, and Governance (ESG) factors into portfolio construction, focusing on identifying companies with strong ESG practices and their relationship with financial performance. Drawing on a US sample of companies and timely ESG data provided by RepRisk, the research proposes a relative approach for constructing a portfolio with a desired exposure to traditional risk premia while tilting the final portfolio towards a quantitative ESG objective. The methodology combines bottom-u
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Iwata, T., & Weibel, M. (2023). A Factor-Tilt Approach to ESG Investing (No. 4456943; SSRN). https://doi.org/10.2139/ssrn.4456943
