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• W3041985889 abstract "Both large institutional and individual retail investors are increasingly demanding that the stewards of their savings demonstrate consideration of environmental, social, and governance (ESG) externalities in their decision making. This study asks how different ESG scores are from traditional agency credit ratings. Are E, S, and G scores correlated? Most importantly, can ESG scores enhance the investment process? Can an active, ESG-tilted corporate bond portfolio strategy generate superior performance versus a relevant benchmark that does not explicitly take ESG scores into account? The authors conclude that ESG scores can be used to enhance portfolio outcomes via lower drawdowns, reduced portfolio volatility, and, in some cases, even marginally increased risk-adjusted returns. Their backtesting suggests that E, S, and G scores are not related to one another and that ESG scores are additive to traditional credit ratings; the contingent liabilities related to ESG issues are not necessarily factored into rating agencies’ assigned credit ratings. <b>TOPIC:</b>ESG investing <b>Key Findings</b> • ESG scores can be used to enhance fixed-income portfolio outcomes via lower drawdowns, reduced portfolio volatility, and, in some cases, even marginally increased risk-adjusted returns. • Cross-sectional correlations show that E, S, and G scores are not related to one another. • ESG scores are additive to traditional credit ratings. In other words, the contingent liabilities related to ESG issues are not necessarily factored into the rating agencies’ assigned credit ratings." @default.
• W3041985889 created "2020-07-16" @default.
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• W3041985889 date "2020-07-11" @default.
• W3041985889 modified "2023-10-11" @default.
• W3041985889 title "ESG in Global Corporate Bonds: <i>The Analysis Behind the Hype</i>" @default.
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• W3041985889 doi "https://doi.org/10.3905/jpm.2020.1.171" @default.
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