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By George Serafeim
It is possible to unlock significant positive alpha using a combination of big data and traditional ESG ratings.
By combining big data and analyst-driven ESG information, investors can identify value opportunities in ESG and construct a strategy that delivers alpha while investing in companies with superior ESG performance scores. The combination yields significant positive alpha of about 4-5 per cent annually.
Harvard Business School Professor George Serafeim’s paper “Public sentiment and the price of corporate sustainability” analyses data for the years 2009-18 provided by MSCI and Truvalue Labs, the pioneer in artificial intelligence-driven ESG data.