Quantifying the Returns of ESG Investing: An Empirical Analysis with Six ESG Metrics. “We find that aggregating individual ESG ratings improves portfolio performance. In addition, we find that a portfolio based on Treynor-Black weights further improves the performance of ESG portfolios.”

By Florian Berg, Andrew W. Lo, Roberto Rigobon, Manish Singh. All are associated with the Massachusetts Institute of Technology (MIT), and Ruixun Zhang, is affiliated with Peking University. April 8, 2024. MIT Sloan Research Paper No. 6930-23, USA.