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The impact of screening strategies on the performance of ESG indices

Author

Listed:
  • Amélie Charles

    (Audencia Business School)

  • Olivier Darné

    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - IEMN-IAE Nantes - Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes - UN - Université de Nantes)

  • Jessica Fouilloux

    (CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper analyzes the effect of screening strategies on the performance of ESG indices. We use 17 ESG indices that are actively managed, representing different index providers and ESG rating agencies, different ESG screening strategies, two types of weights for the construction of the ESG indices, and covering different investment regions (World, Europe and the US). The performance comparison between ESG and non-ESG indices and within ESG indices is examined from different risk-adjusted performance measures based on standard and tail risk measures. We show that the ESG screens for equities neither lead to a significant out-performance nor an under-performance compared to the benchmarks. For the ESG indices we find that no index provider displays the highest (or lowest) performances in each region of interest. We also find that the selection criteria lead to higher concentration in some sectors or countries, implying effects on the risk-adjusted performance of between ESG and non-ESG indices and also within ESG indices. Finally, the results on the ESG indices suggest that the weights used to construct these indices (sustainability-score weights vs market cap-weights) seem to have an impact on their risk and their performance.

Suggested Citation

  • Amélie Charles & Olivier Darné & Jessica Fouilloux, 2016. "The impact of screening strategies on the performance of ESG indices," Working Papers hal-01344699, HAL.
    • Handle: RePEc:hal:wpaper:hal-01344699
    Note: View the original document on HAL open archive server: https://hal.science/hal-01344699
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    References listed on IDEAS

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    Cited by:

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