Abstract
Using data on 1,312 active US equity mutual funds with $3.9 trillion in assets under management, we analyzed the link between funds’ bottom-up, holdings-based environmental, social, and governance (ESG) scores and funds’ active returns, style factor loadings, and alphas. We found that funds with high ESG scores have profiles of factor loadings that are different from those of low-scoring ESG funds. In particular, funds with high environmental scores tend to have high quality and momentum factor loadings. In partitioning the ESG scores into components that are related to factors and idiosyncratic components, we found strong positive relationships between fund alphas and factor ESG scores.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
