While both the US and EU integrate ESG considerations into investment decisions, the financial implications of ESG risk vary dramatically between these markets. 

This report builds on our previous research examining how ESG-risk adjusted portfolios in US and EU equity markets responded over a seven-year period covering three major stress phases – the covid 19 pandemic, the early part of the Russia-Ukraine conflict, and the US government’s introduction of tariffs in early 2025. 

The report reveals that ESG risk categories can drive distinct performance outcomes across regions, with companies with low ESG risk consistently outperforming in both markets. However, but the penalties for high and severe ESG risk differ significantly between regions, revealing divergent investor expectations and regulatory frameworks. 

Readers of the report will learn about:

• How regional regulatory frameworks influence ESG risk pricing.
• The different mechanisms behind risk-adjusted returns in each region.  
• How investors can use the ESG Risk Ratings in practice to interpret ESG risk across different regulatory and market regimes.
• How investors can use ESG Risk Ratings to balance sustainability priorities with risk–return goals in a global asset allocation strategy.