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Quantitative Research

Incorporating ESG considerations in multifactor strategies

Investing sustainably is currently a main investment trend alongside the modern investment workhorse, factor investing. What are the results when we combine the two?

Sustainable investing appeals to the new generation of investors while factor investing continues to be an ongoing investment theme.

In this research paper, we investigate the two investment trends to show how sustainability considerations can be combined with multifactor investment strategies, and to demonstrate that adding sustainability considerations to these strategies does not diminish their performance.

We address two main questions in the research:

  • Can sustainability be treated as an investment factor?
  • What is the impact of sustainability, as a screening overlay and as the weighting criterion in sector rotation, on portfolio financial performance

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The integration of ESG criteria in investment analysis leads to improved returns, less volatility and lower downside risk.

Key content


stocks covered by the Refinitiv ESG database


of global market cap covered by the Refinitiv ESG database


ESG metrics covered in the Refinitiv ESG database