ESG Risk Premium

A Further Look at Style,
Industry and Country Factors

Despite continued concern over the economic climate and inflation rates, interest in environmental, social and governance (ESG) factors has not faded. As investors explore ways to better align economic growth with sustainability, there is a greater need for high-quality ESG ratings and a better understanding of the drivers of ESG risk.  

In Volume 3 of the Quantitative Investment Approaches for ESG Risk series created in partnership with Natixis, we expand on the foundational analysis presented in Volumes 1 and 2. This report uses a novel portfolio construction to examine style, industry and country factors and their respective contributions to active ESG risk in the United States, Canada, Europe, and Asia-Pacific.  

Readers of this report will learn: 

  • What pivotal risk factors investors must evaluate when constructing ESG-based portfolios
  • How the primary sources of active risk vary across Europe, the United States, Canada and Asia-Pacific. 
  • Which industry factors influence active risk in Europe, the United States, Canada and Asia-Pacific. 

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