Sustainable Portfolio to Maximize Alpha
Douglas S Carey
The purpose for every shareholder is to maximize alpha. This is done through a variety of investment vehicles like individual securities, ETFs, and mutual funds. Sustainable criteria can meet these ends to an extent. If a shareholder wishes to invest in sustainable companies they must be willing to take on greater risk to generate favorable returns. Many investors have already begun investing in sustainable companies and this trend will continue to grow due to United Nations and American Government policy. This project will hopefully show investors that they can generate the same or even greater returns by undergoing more risk selecting only sustainable companies in a portfolio. The criteria I will use for determining a sustainable company follows: Scopes 1, 2, and 3, hazardous waste, total waste, excluding sectors like coal, forestry and paper, and oil and gas. This criteria is used to screen the companies from the Russell 3000 through the Bloomberg terminal. Once the screening is done, a list of companies will display that matches the criteria’s parameters listed above. This information will provide us a list of companies that fit into the spectrum of what we see as a sustainable company. These companies will then be back tested 5 years and have monthly rolling periods. With 60 data points to see their performance we will then benchmark it against an index we see with similar attributes based on company size and value vs. growth. The 60 data points will help to show if our criteria can prove that given a certain amount of additional risk these sustainable companies can perform or outperform companies with unsustainable practices.
Honors Thesis - Undergraduate
John G Ruggiero, Donald L Shimmin
Primary Advisor's Department
Economics and Finance
Stander Symposium poster
"Sustainable Portfolio to Maximize Alpha" (2017). Stander Symposium Posters. 1087.