New research shows that an ESG momentum portfolio can generate alpha and have a better SDG footprint than that of the index.
The research, from big data and artificial intelligence company Global AI Corp, shows that utilizing ESG factors can improve performance versus the MSCI US index. Specifically, a sector-neutral portfolio using MSCI ESG momentum scores from 2013 to 2018 can generate positive alpha. Using structured and unstructured data to determine a company’s SDG footprint, Global AI says an ESG momentum portfolio not only outperforms the MSCI US index but has a relatively better SDG footprint than that of the index.