The retired Chief Economist of NASDAQ and Chief Risk Officer of U. Chicago's endowment
has the answer:
...The neutral portfolio’s cumulative return (334%) outgained the market (230%); the results were substantially more compelling using equal-weighted returns as an alternative method.
One interesting result is the point at which performance notably begins deviating—2017-18, around the time companies (and perhaps their profits and returns) began feeling pressure from the power and influence of supposedly passive asset managers such as BlackRock, State Street and Vanguard, as those behemoths’ push into ESG intensified.
This is a "compensating differential" from Chapter 9, albeit a negative one. In other words, you pay to invest in ESG funds.
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