Ouaknine et al (2016)
Ouaknine, Yannick, Daniel Fermon, Nimit Agarwal, Carole Crozat, and Niamh Whooley. “SRI Report: CEO Value - A strong 10-year track record confirms Corporate Governance is a catalyst for outperformance.” Society Generale, June 6, 2016.
From the report: "Since inception in April 2006, our CEO Value stock selection portfolio has outperformed its benchmark, the Stoxx 600, by 68.6% (through 15 May 2016), with an absolute performance of +101.8%. Since the last rebalancing (20 November 2015), the portfolio has returned -7.87% vs -10.8% for the Stoxx 600 and -12.5% for the Stoxx 50."
LK comment: This is one of a only a very few published strategies that have outperformed over a long time period while fully integrating ESG factors in the asset selection process. This strategy is also notable for the consistent methodology through time and the clear underlying logic of the approach. No risk adjustment or attribution provided, however.
Link (via Ouaknine blog post at Harvard Law) : https://corpgov.law.harvard.edu/2017/02/03/ceo-value/