ESGM RI Index

ESG Index Performance evaluation

Sample period: July 2015 ~ present

Set 1000 for July 9 2015

eq_pf stands for equal-weighting portfolio

Annual rebalancing and Buy & Hold

vw_pf stands for value-weighting by floating market capitalization at the portfolio construction

Annual rebalancing and Buy & Hold

Performance Evaluation using Carhart-4-factor Model

Add ESGM HML factor to Carhart-4_factor Model to evaluate Out-perform BM(KOSPI)
Coefficient on the ESGM HML factor: statistically significant result.