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Archive » March 2022 » Traditional and Esg investment styles: a risk/return empirical comparison

Traditional and Esg investment styles: a risk/return empirical comparison

Michele Patané, Paolo Ceccherini, Alessia D’Imperio, Michele Anelli
March 2022 - n. 3
Keywords: Esg integration, sostenibilità, asset allocation
Jel codes: G11, Q56

In a world where environmental and social problems led the institutional push towards a more sustainable and inclusive economy, it becomes appropriate to evaluate the effects on financial universe. The study, developed over two time horizons, 5 years and 1 year respectively, compares, from a risk/return perspective, a traditional asset allocation with asset allocations based on different responsible investment styles to understand whether the introduction of sustainability into investment process leads to a performance sacrifice or not. The results obtained show better performance of sustainable portfolios than traditional ones. In particular, the best returns are achieved by the portfolios linked to the «Sustainable Impact» strategy, in practice the one that assumes the most severe Esg constraints.

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