Построение оптимального портфеля на основе рейтинга ESG

Вестник Московского университета. Серия 6: Экономика. 2024. Т. 59. № 6. С. 52–76.

Nazarova V., Churakova I., Гарбар А. А., Шипов А. Е.

The paper examines the construction of an optimal portfolio based on an ESG (environmental, social and governance) rating. In the paper, the authors answer the question of how the ESG rating indicator affects the risk, return and Sharpe ratio of portfolios. Based on literature review, the authors conclude that there is an ambiguous relationship between ESG ratings, and the returns of the stocks included in the investment portfolio. To answer the
research question, the authors apply regression analysis and use the method of constructing optimal portfolios based on Markowitz theory under the condition of maximising the Sharpe ratio. Drawing on the results of the study, the authors proved a negative relationship between stock returns and ESG ranking. It was determined that a portfolio composed of stocks with a high ESG rating has a lower return, volatility and beta coefficient compared to a portfolio
composed of stocks with a low ESG rating. The Sharpe Ratio for the portfolio of high ESG stocks was lower in three of the six years under review, about equal in one year, and higher in the remaining two periods compared to the ratio for the portfolio of low ESG stocks.

Keywords: корреляционно-регрессионный анализ, инвестиционный портфель, коэффициент Шарпа, Sharpe ratio, correlation and regression analysis, рейтинг ESG, investment portfolio, ESG rating, доходность портфеля