Using data on 1,312 active US equity mutual funds with $3.9 trillion in assets under management, we analyzed the link between funds’ bottom-up, holdings-based environmental, social, and governance (ESG) scores and funds’ active returns, style factor loadings, and alphas. We found that funds with high ESG scores have profiles of factor loadings that are different from those of low-scoring ESG funds. In particular, funds with high environmental scores tend to have high quality and momentum factor loadings. In partitioning the ESG scores into components that are related to factors and idiosyncratic components, we found strong positive relationships between fund alphas and factor ESG scores. Disclosure: The authors report no conflicts of interest. The views expressed here are ours alone. This material is not intended to be relied upon as a forecast, research, or investment advice and is not a recommendation, offer, or solicitation to buy or sell any securities or to adopt any investment strategy. The authors have not received any outside funding for this research. Editor’s Note Submitted 1 June 2020 Accepted 18 August 2020 by Stephen J. Brown This article was externally reviewed using our double-blind peer-review process. When the article was accepted for publication, the authors thanked the reviewers in their acknowledgments. Keith H. Black, CFA, and one anonymous reviewer were the reviewers for this article.

中文翻译：

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迈向 ESG Alpha：通过因子视角分析 ESG 风险

我们使用管理资产达 3.9 万亿美元的 1,312 只活跃美国股票共同基金的数据，分析了基金自下而上、基于持股的环境、社会和治理 (ESG) 分数与基金的积极回报、风格因子负载之间的联系，和阿尔法。我们发现 ESG 得分高的基金的因子载荷特征与 ESG 得分低的基金不同。特别是，环境得分高的基金往往具有高质量和动量因子负载。在将 ESG 分数划分为与因素相关的部分和特质部分时，我们发现基金 alpha 和因素 ESG 分数之间存在很强的正相关关系。披露：作者报告没有利益冲突。此处表达的观点仅代表我们的观点。本材料不应被用作预测，研究或投资建议，并不是购买或出售任何证券或采用任何投资策略的推荐、要约或招揽。作者没有为这项研究获得任何外部资金。编者按 2020 年 6 月 1 日提交 2020 年 8 月 18 日已被 Stephen J. Brown 接受 本文使用我们的双盲同行评审流程进行了外部评审。当文章被接受发表时，作者在致谢中感谢审稿人。Keith H. Black、CFA 和一位匿名审稿人是本文的审稿人。编者按 2020 年 6 月 1 日提交 2020 年 8 月 18 日已被 Stephen J. Brown 接受 本文使用我们的双盲同行评审流程进行了外部评审。当文章被接受发表时，作者在致谢中感谢审稿人。Keith H. Black、CFA 和一位匿名审稿人是本文的审稿人。编者按 2020 年 6 月 1 日提交 2020 年 8 月 18 日已被 Stephen J. Brown 接受 本文使用我们的双盲同行评审流程进行了外部评审。当文章被接受发表时，作者在致谢中感谢审稿人。Keith H. Black、CFA 和一位匿名审稿人是本文的审稿人。