We analyze the performance, risk, and diversification characteristics of global screened and best-in-class equity portfolios constructed according to Inrate’s sustainability ratings. The financial performance of sustainably high-rated portfolios is similar to the risk-adjusted market performance in terms of abnormal returns of a five-factor market model. In contrast, low-rated portfolios exhibit negative abnormal returns. Firms with high sustainability ratings show lower idiosyncratic risk and higher exposure toward the high-minus-low and the conservative-minus-aggressive factor.

中文翻译：

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因子敞口和多样化：可持续筛选的投资组合有什么不同吗？

我们分析了根据 Inrate 的可持续性评级构建的全球筛选和一流股票投资组合的表现、风险和多元化特征。就五因子市场模型的异常收益而言，可持续高评级投资组合的财务表现类似于风险调整后的市场表现。相比之下，低评级的投资组合表现出负的异常回报。具有高可持续性评级的公司表现出较低的特殊风险和较高的高负低和保守负攻击因素的风险敞口。