■発表者： Dr. John Fan Griffith University(オーストラリア）
■テーマ：Sustainable Factor Investing: Where Doing Well Meets Doing Good
■Abstract of the talk
This paper investigates the impact of ESG integration on systematic factors in Australia.
Whilst negative screening leads to inferior factor performance, simultaneously exploiting
ESG scores with quality, momentum and size characteristics outperforms standard factor
strategies. The outperformance is more pronounced during adverse market conditions such as
periods of recession, high inflation, credit risk and market volatility.
Furthermore, integrating E, S or G ratings individually into factors only leads to improved
risk-adjusted performance in quality and momentum strategies. Finally, we find that forcing
portfolio diversification across sectors leads to inferior factor performance. Since ESG
integration increases portfolio tilts to higher scoring industries, managers should clearly
communicate the opportunity costs arising from mandated sector diversification. Overall,
our findings suggest that sustainable factor investing not only allows asset-owners to
include their ethical preferences while offering strong potential for wealth generation,
but also provides asset managers with the opportunity to mitigate risk, whilst improving
Dr John Fan is a Senior Lecturer in Finance at Griffith University, Australia.
His research interests include quantitative strategies, commodities, carbon emissions trading
and ESG integration. He has published articles in journals including the Journal of Banking &
Finance, Australian Journal of Management, and Applied Energy. He has been awarded research
grants by the Accounting & Finance Association of Australia and New Zealand (AFAANZ),
Griffith Asia Institute and Institut Europlace De Finance Louis Bachelier.