Jussa, Javed, Miguel-A Alvarez, Sheng Wang, Yin Luo, and Zongye Chen. “SRI Integration using Smart Beta.” Deutsche Bank Markets Research. August 20, 2013.
From the report: "The overwhelming challenge faced by investment managers with an SRI mandate is to determine how best to integrate SRI convictions into an existing portfolio strategy.
"[W]e provide a methodical framework to analyze a multitude of ESG integration strategies from simple screening to SMART beta portfolios. We conduct a thorough analysis of negative exclusionary ESG screening in simple as well as optimized portfolios. We also analyze the effects of SRI compliance with risk parity, minimum variance, and maximum diversification portfolios.
"We find that ESG integration works best within certain smart beta strategies and provide an in-depth analysis to assess the reasons underlying this outperformance."