Trunow and Lindner (2015)
Trunow, Natalie, and Josh Lindner. Perspectives on ESG Integration in Equity Investing: An opportunity to enhance long-term, risk-adjusted investment performance. Calvert Investments, 2015.
From the authors' abstract: "This paper uses comprehensive historical analysis over various time periods from June 2000 to December 2014 to evaluate different methods for introducing ESG factors into the investment process. We first assess the impact of exclusionary ESG screens on investment performance after accounting for sector and style biases implicit in the screened universe. Next, we examine if ESG factors can add value as stand-alone inputs in stock selection, and whether results are consistent across geographic regions. Our third approach considers whether combining traditional financial factors with ESG information produces better investment performance. We find empirical evidence across each of these approaches that incorporating ESG factors into investment decisions improves the investment selection process and enhances risk-adjusted returns."
LK comment: Includes a multifactor analysis of Calvert Social Index performance from 2000 through 2014.