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Working Paper

Sustainable Systematic Credit

September 7, 2021 - Peter Diep Lukasz Pomorski Scott A. Richardson

Interest in sustainable investing is now expanding into fixed income. This paper assesses how measures of sustainability/ESG might be relevant for corporate bonds and analyzes how ESG measures can be incorporated into an investment process to achieve the joint object of maximizing risk-adjusted returns and a sustainability target.

White Paper

(Car)Bon Voyage: The Road to Low Carbon Investment Portfolios

December 21, 2020 - Christopher Palazzolo Lukasz Pomorski Alice Zhao

We discuss how an investment portfolio could dramatically reduce its carbon footprint, potentially even achieving a ‘net zero’ carbon footprint. We discuss the pros and cons of techniques to achieve carbon reduction goals, including security selection, shorting high carbon footprint companies, and trading instruments such as carbon offsets and carbon permits.

Working Paper

Does ESG Help or Hurt Returns?

December 7, 2020 - Lasse H. Pedersen Shaun Fitzgibbons Lukasz Pomorski

Combining several large data sets, we compute the empirical ESG-efficient frontier and show the costs and benefits of responsible investing.

Data Set

Responsible Investing: The ESG-Efficient Frontier – Original Paper Data

October 29, 2020 - Lasse H. Pedersen Shaun Fitzgibbons Lukasz Pomorski

This the original data set used in “Responsible Investing: The ESG-Efficient Frontier” (Pedersen, Fitzgibbons and Pomorski). It contains the total returns of the value-weighted and equal-weighted portfolios used in the paper.

Working Paper

Responsible Investing: The ESG-Efficient Frontier

October 10, 2019 - Lasse H. Pedersen Shaun Fitzgibbons Lukasz Pomorski

Combining several large data sets, we compute the empirical ESG-efficient frontier and show the costs and benefits of responsible investing.

Trade Publication

Hit 'Em Where It Hurts, ESG Investing 2.0

November 1, 2018 - Christopher Palazzolo Lukasz Pomorski Shaun Fitzgibbons

We suggest a new approach to ESG investing that we believe may be more effective in making negative investor views known to management — while at the same time potentially improving portfolio expected returns.

Journal Article

Assessing Risk through Environmental, Social and Governance Exposures

February 24, 2017 - Jeff Dunn Shaun Fitzgibbons Lukasz Pomorski

ESG investing may have a role in portfolios that extends beyond ethical considerations, particularly for investors interested in tilting toward safer stocks, and in a way that complements what is captured by traditional statistical risk models.

Journal Article

Long-Only Style Investing: Don't Just Mix, Integrate

June 30, 2016 - Shaun Fitzgibbons Jacques A. Friedman Lukasz Pomorski Laura Serban

We contrast two common approaches to long-only style investing: the “portfolio mix” and the “integrated portfolio.” Our results suggest that long-only factor or smart beta investors should consider integrating styles in portfolio construction.

Journal Article