PT  - JOURNAL ARTICLE
AU  - Jennifer Bender
AU  - Xiaole Sun
AU  - Taie Wang
TI  - Thematic Indexing, Meet Smart Beta! <em>Merging ESG into Factor Portfolios</em>
AID  - 10.3905/jii.2017.8.3.089
DP  - 2017 Nov 30
TA  - The Journal of Index Investing
PG  - 89--101
VI  - 8
IP  - 3
4099  - https://pm-research.com/content/8/3/89.short
4100  - https://pm-research.com/content/8/3/89.full
AB  - Many investors are starting to explore ways to integrate environmental, social, and governance (ESG) considerations into their portfolios. Factor portfolios and indexes that integrate ESG allow investors to capture both the long-term durable factor premiums while allowing them to invest in companies with attractive ESG attributes. Traditional factors and ESG both have strong investment rationale for investors with long horizons, but how should blended ESG-factor portfolios be constructed? This article discusses several ways to integrate ESG into factor portfolios. The authors show that the approach chosen depends on the investor’s investment rationale behind integrating ESG, desired exposure, performance expectations, and preference for conceptual consistency.TOPICS: Analysis of individual factors/risk premia, ESG investing