"A report by State Street Global Investor′s SPDR Practice Management Team showed that 69 percent of ESG investors said the investments helped them manage volatility. In fact, that was one reason they chose to invest that way—67 percent said lower volatility and 54 percent said lower downside risk were important reasons they incorporated ESG into their investment process. Overall returns haven′t suffered as a result, either."

[COMMENTARY]ESG investors are echoing what the research is finding on ESG oriented portfolios.
More Than Just Doing Good, ESG Investments Help Manage Volatility, by Wealth Management, October 2, 2018, USA.