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Archive » January 2024 » Assessing Performance Resilience of Esg-Integrated Portfolios under Regulatory Compliance

Assessing Performance Resilience of Esg-Integrated Portfolios under Regulatory Compliance

Michele Patanè, Paolo Ceccherini, Michele Anelli, Alessia D’Imperio
January 2024 - n. 1
Keywords: Sfdr, Esg Integrated Portfolios, Oil and Gas Shock
Jel codes: Q01, M14, K20

The Sustainable Finance Disclosure Regulation (Sfdr) has imposed concrete disclosure obligations, for financial intermediaries, regarding Esg investments. This study develops over three-time horizons (6 years, 1 year and Year to-Date) and compares, in terms of risk/return/Esg profile, a traditional portfolio (i.e., Art. 6) with four different portfolios with increasing Esg integration according to the Sfdr. Results show that, in the long run (6-years period), the Art. 8 and Art. 9 portfolios overperform the traditional one. During the 2022's Oil and Gas shock due to the Ukraine-Russia conflict (1-year period), the traditional portfolio shows better risk/return profile than the Esg integrated portfolios. In the first four months of 2023, with the generalized financial markets recovery, the Art. 8 and 9 portfolios outperform the Art. 6 portfolio, restabilising the long-run trend.

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