Over the past two decades, sustainability-focused investment strategies, particularly those that incorporate Environmental, Social, and Governance (ESG) criteria, have gained popu-larity. This thesis compares the performance of ESG-focused portfolios to Traditional portfolios across major European markets, focusing on periods of global crises. The analysis examines a sample of the largest companies selected by market capitaliza-tion from France, Germany, Italy, the Netherlands, and Spain between 2018 to 2023, using data sourced from Refinitiv. Portfolios are constructed utilizing three strategies: Traditional, Best-in-Class, and Negative Screening, and they are evaluated throughout different time periods, includ-ing the pre-COVID-19 era, the COVID-19 pandemic, and the Russia-Ukraine conflict. Key performance indicators such as return, risk, and the Sharpe ratio (SR) are employed to evaluate portfolio outcomes. The results reveal that Traditional portfolios generally outperformed the ESG strategies, with some notable exceptions. For example, the Best-in-Class approach in Germany excelled during the COVID-19 period, whereas the Negative Screening strategy delivered stronger re-sults in France and Spain over the course of the Ukraine conflict. Nonetheless, ESG portfolios struggled to consistently outperform Traditional strategies over the entire period. Despite these findings, constraints on diversification – particularly in Negative Screening portfolios – limit the ability to produce strong performance of ESG strategies. While ESG strategies can achieve competitive performance under specific conditions, Traditional portfolios generally provide more consistent and reliable results. The study acknowl-edges limitations, such as reliance on Refinitiv as the sole ESG data provider, limited data avail-ability for 2023, and the focus on large-cap companies in developed markets. This research highlights the need for standardized ESG metrics to improve transparency and consistency in sustainable investing. Although ESG portfolios demonstrated resilience in certain crises, their inconsistent performance underscores the necessity for further refinement in ESG reporting and integration practices.
Negli ultimi due decenni, le strategie di investimento incentrate sulla sostenibilità, in par-ticolare quelle che incorporano criteri ESG, hanno guadagnato popolarità. Questa tesi confronta la performance dei portafogli incentrati sui criteri ESG con quella dei portafogli tradizionali nei principali mercati europei, concentrandosi sui periodi di crisi globale. La ricerca analizza un campione delle maggiori società selezionate per capitalizzazione di mercato in Francia, Germania, Italia, Paesi Bassi e Spagna tra il 2018 e il 2023, utilizzando i dati di Refinitiv. I portafogli sono costruiti utilizzando tre strategie: Tradizionale, Best-in-Class e Negative Screening, e sono valutati in diversi periodi temporali, tra cui l'era pre-COVID-19, la pandemia COVID-19 e il conflitto Russia-Ucraina. Per valutare i risultati del portafoglio vengo-no utilizzati indicatori di performance chiave come il rendimento, il rischio e lo SR. I risultati rivelano che i portafogli Tradizionali hanno generalmente sovraperformato le strategie ESG, con alcune eccezioni di rilievo. Ad esempio, l'approccio Best-in-Class in Germa-nia ha primeggiato per tutto il periodo COVID-19 mentre la strategia Negative Screening ha ottenuto risultati migliori in Francia e Spagna durante il conflitto in Ucraina. Ciononostante, i portafogli ESG hanno faticato a sovraperformare in modo consistente le strategie tradizionali durante l'intero periodo. Al di là di questi risultati, i vincoli di diversificazione - in particolare nei portafogli con screening negativo - limitano la capacità di produrre forti prestazioni delle strate-gie ESG. Sebbene le strategie ESG possano ottenere performance competitive in condizioni speci-fiche, i portafogli tradizionali forniscono generalmente risultati più coerenti e affidabili. Lo stu-dio riconosce i limiti, come la dipendenza da Refinitiv quale unico fornitore di dati ESG, la di-sponibilità limitata di dati per il 2023 e la particolare attenzione sulle società a grande capitalizza-zione nei mercati sviluppati. Questa ricerca evidenzia la necessità di metriche ESG standardizzate per migliorare la trasparenza e la coerenza negli investimenti sostenibili. Sebbene i portafogli ESG abbiano dimostrato resilienza in talune crisi, la loro performance incoerente sottolinea la necessità di perfezionare ulteriormente le pratiche di rendicontazione e integrazione ESG.
"ESG and Portfolio Returns Across the EU: A Post-Crisis Analysis"
Eltschkner, Annika Sophie
2023/2024
Abstract
Over the past two decades, sustainability-focused investment strategies, particularly those that incorporate Environmental, Social, and Governance (ESG) criteria, have gained popu-larity. This thesis compares the performance of ESG-focused portfolios to Traditional portfolios across major European markets, focusing on periods of global crises. The analysis examines a sample of the largest companies selected by market capitaliza-tion from France, Germany, Italy, the Netherlands, and Spain between 2018 to 2023, using data sourced from Refinitiv. Portfolios are constructed utilizing three strategies: Traditional, Best-in-Class, and Negative Screening, and they are evaluated throughout different time periods, includ-ing the pre-COVID-19 era, the COVID-19 pandemic, and the Russia-Ukraine conflict. Key performance indicators such as return, risk, and the Sharpe ratio (SR) are employed to evaluate portfolio outcomes. The results reveal that Traditional portfolios generally outperformed the ESG strategies, with some notable exceptions. For example, the Best-in-Class approach in Germany excelled during the COVID-19 period, whereas the Negative Screening strategy delivered stronger re-sults in France and Spain over the course of the Ukraine conflict. Nonetheless, ESG portfolios struggled to consistently outperform Traditional strategies over the entire period. Despite these findings, constraints on diversification – particularly in Negative Screening portfolios – limit the ability to produce strong performance of ESG strategies. While ESG strategies can achieve competitive performance under specific conditions, Traditional portfolios generally provide more consistent and reliable results. The study acknowl-edges limitations, such as reliance on Refinitiv as the sole ESG data provider, limited data avail-ability for 2023, and the focus on large-cap companies in developed markets. This research highlights the need for standardized ESG metrics to improve transparency and consistency in sustainable investing. Although ESG portfolios demonstrated resilience in certain crises, their inconsistent performance underscores the necessity for further refinement in ESG reporting and integration practices.| File | Dimensione | Formato | |
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https://hdl.handle.net/20.500.14239/26709