Quotation Amon, Julian, Rammerstorfer, Margarethe, Weinmayer, Karl. 2021. Passive ESG Portfolio Management—The Benchmark Strategy for Socially Responsible Investors. Sustainability. 13 (16)




In this article, we investigate the notion of doing well while doing good from the perspective of passive portfolio strategies. We analyze a number of asset allocation strategies based on ESG-weighting and compare their financial and ESG performance for the US and Europe. We find no significant difference in the financial performance but superior ESG performance of ESG-based strategies. It can be concluded that, compared to a naive strategy, socially responsible investors are willing to pay a small premium for the impact of the portfolio via transaction costs when rebalancing the portfolio according to their preferences for social responsibility. In addition, when comparing the ESG-based strategies to a value-weighted strategy, we observe no significant difference in ESG performance but a high degree of significance in the superior financial performance of the ESG-based strategy. We also analyze the strategies with regards to the factor loadings given by the Fama–French five-factor model and a sixth factor denoted GMB (Good minus Bad) and find significant differences across the regions and strategies. Overall, the results show strong support of ESG-based strategies being preferred by socially responsible investors but also suggest that such strategies might be preferred by conventional investors looking for a passively managed alternative compared to a value-weighted index. Furthermore, it seems that such a strategy might be a more adequate benchmark for active SRI funds.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Sustainability
Citation Index SSCI
WU-Journal-Rating new STRAT-C
Language English
Title Passive ESG Portfolio Management—The Benchmark Strategy for Socially Responsible Investors
Volume 13
Number 16
Year 2021
Reviewed? Y
URL https://www.mdpi.com/2071-1050/13/16/9388
DOI http://dx.doi.org/10.3390/su13169388
Open Access Y
Open Access Link https://www.mdpi.com/2071-1050/13/16/9388
JEL G11; G12; G15


Amon, Julian (Details)
Rammerstorfer, Margarethe (Details)
Weinmayer, Karl (Details)
Institute for Statistics and Mathematics IN (Details)
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