ESG investment performance evaluation: an integrated approach
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Authors
Horan, S
Dimson, E
Emery, C
Blay, K
Publication Date
2022-12Journal Title
Journal of Investment Management
ISSN
1545-9144
Type
Article
This Version
AM
Metadata
Show full item recordCitation
Horan, S., Dimson, E., Emery, C., & Blay, K. (2022). ESG investment performance evaluation: an integrated approach. Journal of Investment Management https://doi.org/10.17863/CAM.84119
Abstract
ESG investment strategies have experienced a massive inflow of capital over the past decade despite investors having few methods to evaluate their performance and communicate their ESG values, objectives, and references to investment managers. This paper develops a three dimensional performance evaluation metric that incorporates return, risk, and ESG outcomes. It is predicated on an investor’s willingness to trade off financial gain for non-financial gain and can accommodate any traditional risk-adjusted performance measure. Without such frameworks, investors can neither determine whether outcomes match their expectations nor compare performance across managers and allocate capital accordingly.
Embargo Lift Date
2100-01-01
Identifiers
This record's DOI: https://doi.org/10.17863/CAM.84119
This record's URL: https://www.repository.cam.ac.uk/handle/1810/336696
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