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Working Paper

Does ESG Help or Hurt Returns?

December 7, 2020 - Lasse H. Pedersen Shaun Fitzgibbons Lukasz Pomorski

Combining several large data sets, we compute the empirical ESG-efficient frontier and show the costs and benefits of responsible investing.

Data Set

Responsible Investing: The ESG-Efficient Frontier – Original Paper Data

October 29, 2020 - Lasse H. Pedersen Shaun Fitzgibbons Lukasz Pomorski

This the original data set used in “Responsible Investing: The ESG-Efficient Frontier” (Pedersen, Fitzgibbons and Pomorski). It contains the total returns of the value-weighted and equal-weighted portfolios used in the paper.

Working Paper

Responsible Investing: The ESG-Efficient Frontier

October 10, 2019 - Lasse H. Pedersen Shaun Fitzgibbons Lukasz Pomorski

Combining several large data sets, we compute the empirical ESG-efficient frontier and show the costs and benefits of responsible investing.

Journal Article

Assessing Risk through Environmental, Social and Governance Exposures

February 24, 2017 - Jeff Dunn Shaun Fitzgibbons Lukasz Pomorski

ESG investing may have a role in portfolios that extends beyond ethical considerations, particularly for investors interested in tilting toward safer stocks, and in a way that complements what is captured by traditional statistical risk models.

Journal Article

Long-Only Style Investing: Don't Just Mix, Integrate

June 30, 2016 - Shaun Fitzgibbons Jacques A. Friedman Lukasz Pomorski Laura Serban

We contrast two common approaches to long-only style investing: the “portfolio mix” and the “integrated portfolio.” Our results suggest that long-only factor or smart beta investors should consider integrating styles in portfolio construction.