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The Journal of Portfolio Management

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A Guide to ESG Portfolio Construction

Michael Branch, Lisa R. Goldberg and Pete Hand
The Journal of Portfolio Management April 2019, 45 (4) 61-66; DOI: https://doi.org/10.3905/jpm.2019.45.4.061
Michael Branch
is a senior portfolio manager and manager of portfolio research at Aperio Group in Sausalito, CA
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Lisa R. Goldberg
is director of research at Aperio Group in Sausalito, CA, and co-director of the Consortium for Data Analytics in Risk (CDAR) and an adjunct professor of economics and statistics at the University of California, Berkeley in Berkeley, CA
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Pete Hand
is director of quantitative strategies at Aperio Group in Portland, OR
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Abstract

In this article, the authors explore six quantitative environmental (E), social (S), and governance (G) strategies to provide insights into best practices for ESG portfolio construction. These strategies offer different approaches to the trade-off between desired ESG attributes and investment performance. They conclude that fully understanding the dynamics of these trade-offs will allow investors to select the strategy that best matches their ethical and financial views.

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The Journal of Portfolio Management: 45 (4)
The Journal of Portfolio Management
Vol. 45, Issue 4
April 2019
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A Guide to ESG Portfolio Construction
Michael Branch, Lisa R. Goldberg, Pete Hand
The Journal of Portfolio Management Mar 2019, 45 (4) 61-66; DOI: 10.3905/jpm.2019.45.4.061

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A Guide to ESG Portfolio Construction
Michael Branch, Lisa R. Goldberg, Pete Hand
The Journal of Portfolio Management Mar 2019, 45 (4) 61-66; DOI: 10.3905/jpm.2019.45.4.061
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  • Article
    • Abstract
    • INVESTOR GOALS, DATA, AND ESG
    • EXAMPLES OF ESG PORTFOLIO CONSTRUCTION
    • FROM MOTIVATION TO STRATEGY
    • FINAL THOUGHTS
    • APPENDIX A
    • APPENDIX B
    • ENDNOTES
    • REFERENCES
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