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Full-Text Articles in Corporate Finance
[Discussions] Vol. 19 Iss. 1
Discussions
This issue of Discussions was published for the Spring 2023 cycle.
U.S. Public Equity Esg Fund Composite And Parnassus Core Equity Fund: Performance And Factor Attribution, Karthik Nemani, Barrett Buhler
U.S. Public Equity Esg Fund Composite And Parnassus Core Equity Fund: Performance And Factor Attribution, Karthik Nemani, Barrett Buhler
Discussions
This is the first paper to examine all U.S. public equity Environmental, Social, and Governance (ESG) funds offered by the Forum for Sustainable and Responsible Investment’s (SIF) institutional member firms from 2005 to 2020. For ease of communication, this will be called the ESG Composite. With a Net Asset Value (NAV) over $150 billion, these funds comprise nearly half of the U.S. public equity ESG investment landscape. The article finds that the ESG Composite maintains performance with the Standard and Poor’s (S&P) 500 total return index on an overall returns basis with lower volatility, indicating greater risk-adjusted returns. Factor analysis …