<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>This study compares the performance of five portfolios built according to the level of integration of environmental, social and governance values in the case of South Africa, over the period of four years from 2 January 2019 to 29 December 2022. The portfolios were built according to (1) the two dimensions of ESG ratings (responsible and irresponsible) and (2) the two levels of ESG implication (partially and significantly), and there is also a portfolio for non-engaged companies (no-reporting). Many recent studies comparing ESG and non-ESG portfolio performance have reported contradictory results so that this debate remains inconclusive. The main question I explore is whether portfolios integrating ESG values really matter in the case of a developing country with many economic and social challenges, as in the case of South Africa. For the purpose of the study, I have used four risk-adjusted measures (Sharpe ratio, Treynor ratio, Modigliani-Squared and Jensen’s alpha) for the performance evaluation. This study found an adverse effect of ESG on portfolio performance. Overall, the ESG Irresponsible portfolios achieved a better performance as compared to its counterparts. The study findings contribute to and enrich the academic literature by comparing the performance of five ESG portfolios in the South African context.</p>
</abstract>

This study compares the performance of five portfolios built according to the level of integration of environmental, social and governance values in the case of South Africa, over the period of four years from 2 January 2019 to 29 December 2022. The portfolios were built according to (1) the two dimensions of ESG ratings (responsible and irresponsible) and (2) the two levels of ESG implication (partially and significantly), and there is also a portfolio for non-engaged companies (no-reporting). Many recent studies comparing ESG and non-ESG portfolio performance have reported contradictory results so that this debate remains inconclusive. The main question I explore is whether portfolios integrating ESG values really matter in the case of a developing country with many economic and social challenges, as in the case of South Africa. For the purpose of the study, I have used four risk-adjusted measures (Sharpe ratio, Treynor ratio, Modigliani-Squared and Jensen’s alpha) for the performance evaluation. This study found an adverse effect of ESG on portfolio performance. Overall, the ESG Irresponsible portfolios achieved a better performance as compared to its counterparts. The study findings contribute to and enrich the academic literature by comparing the performance of five ESG portfolios in the South African context.

Is There Any Effect of ESG Scores on Portfolio Performance in South Africa?

Proceedings of the International Conference on Business Excellence

This work is licensed under the Creative Commons Attribution 4.0 International License.

{"article-title":"Is There Any Effect of ESG Scores on Portfolio Performance in South Africa?"}

This study compares the performance of five portfolios built according to the level of integration of environmental, social and governance values in the case...

Is There Any Effect of ESG Scores on Portfolio Performance in South Africa?

Published Online: Jul 14, 2023

Page range: 1807 - 1817

DOI: https://doi.org/10.2478/picbe-2023-0160

Keywords
ESG, portfolio performance, risk-adjusted measures, Sharpe ratio, Treynor ratio, Modigliani-Squared, Jensen’s alpha

© 2023 Diana-Mihaela Sandu, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Is There Any Effect of ESG Scores on Portfolio Performance in South Africa?

Published Online: Jul 14, 2023

Page range: 1807 - 1817

DOI: https://doi.org/10.2478/picbe-2023-0160

KeywordsESG, portfolio performance, risk-adjusted measures, Sharpe ratio, Treynor ratio, Modigliani-Squared, Jensen’s alpha

© 2023 Diana-Mihaela Sandu, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Keywords
ESG, portfolio performance, risk-adjusted measures, Sharpe ratio, Treynor ratio, Modigliani-Squared, Jensen’s alpha