Er virksomheder med gode ESG-scores lig med en sikker investering?

Abstract

This study aims to investigate the correlation between ESG-scores and alpha of companies in the S&P 500 index from 2016 to 2023. There is conducted annual analyses for the entire portfolio, for companies with the top 5% ESG-scores, and further by dividing the portfolio into industries to uncover potential correlations. Additionally, this study examines whether events like COVID-19 or the enactment of the Inflation Reduction Act could have influenced the relationship between ESG- scores and alpha. Statistically significant correlations were found for some of the years and rating agencies examined, but no clear pattern or trend emerges from the results. The alpha-creation observed during the period is likely linked to factors other than ESG-scores. Despite weak correlation values in the investigation, it was found that an ESG-portfolio, PESG, from the utilized index, generated the best return for this period after accounting for risk adjustments compared to a portfolio composed of low beta values, PBETA. The better risk adjusted return of PESG may be coincidental or linked to factors other than ESG-scores, since there were no strong correlations to find. The uncertainty of this lack of correlation may derive from the lack of uniformity in ESG- reporting and ESG-ratings, suggesting more rating agencies would arrive at similar results in terms of ESG-scores. Generally, it is advised not to base investment decisions solely on good ESG- performance but to use it as a tool in the overall analysis before making an investment decision and constructing a portfolio.