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스타일 투자와의 결합을 통한 ESG 투자전략 개선에 대한 연구

  • 이우혁 미래에셋자산운용 투자플랫폼사업부문 대표(Head of Investment Platform Business Unit, Mirae Asset Global Investments)
  • 한민연 미래에셋자산운용 투자풀운용부문 자문2팀장(Head of Investment Pool Advisory Team, Mirae Asset Global Investments)
  • 김솔 한국외국어대학교 경영대학 교수(Professor of Finance, College of Business, Hankuk University of Foreign Studies)
ESG 투자규모는 전 세계적으로 크게 증가하였지만, 투자전략으로써의 ESG의 효용성 에 대해서는 긍정적인 시각과 회의적인 시각이 공존한다. 본 연구는 대표적인 ESG 투자전략(포지티브, 네거티브 스크리닝)의 성과를 검증하고, 이를 강화할 수 있는 여러 방안을 제시한다. 연구 결과는 다음과 같다. 시장에서 발견된 이상현상 (anomaly)에 기반한 스타일 투자와 기존 ESG 투자전략이 결합된 ESG 통합전략 (ESG integration)은, 장기투자라는 공통된 투자시계(investment horizon)를 가진 두 전략 간의 시너지를 창출하여, 기존 ESG 전략 대비 더 높은 성과를 기록할 수 있음을 확인하였다. 특히, 기업규모(size), 발생액(accruals) 등을 이용한 스타일 전략 들이 ESG와 결합되었을 때 큰 성과의 개선이 있었다. ESG에 스타일 전략을 결합함으 로써 기존 스타일 전략 대비 위험지표 들을 개선할 수 있음을 확인하였다. 본 연구의 결과는 투자자로 하여금 ESG의 목적을 달성하면서도, 투자의 본래 목적인 수익성을 강화할 수 있는 방안을 제시하였다는 점에서 의의가 있다.
투자전략,스타일,통합전략,기관투자자

ESG, Style Investing, and Integration

  • Woody Hyuk Lee
  • Min-Yeon Han
  • Sol Kim
ESG investing has gained significant traction among institutional investors worldwide. For example, large asset owners such as National Pension Service, CPP Investments, and CalPERS are considering ESG factors in their investment decisions, and this trend is expanding to other institutional investors. In fact, according to Morningstar, ESG fund inflows reached $1.921 trillion in 2021, bringing the global ESG fund universe to $2.744 trillion at the end of 2021. Therefore, from the perspective of institutional investors and asset managers, the question of ‘how’ to enhance their investment portfolios has become a more important agenda than the question of ‘why’ ESG investing should be made. ESG investing strategies will only be sustainable if they can do what they are supposed to do: generate returns. To improve the performance of ESG investing strategies that invest in companies with high ESG scores, we propose an "ESG Integration" strategy that combines style investing based on market anomalies reported in the academic literature. Our results are summarized as followings. Through ESG Integration, which amalgamates style investing strategies with ESG, such as company size (small-cap) and accruals strategies, we find that greater excess returns can be achieved compared to existing ESG-only strategies. For example, compared to the High ESG-only strategy, the High ESG integrated small-cap style strategy outperforms1.136% per month on average. When we integrate the style based on the accrual anomaly into the ESG, we verify the ESG integration strategy has an excess return of 0.386% per month to the ESG-only strategy. This result pertains to absolute performance and risk-adjusted excess returns, as confirmed using the Carhart (1997) four-factor model. Someone can argue that we could get a loss for ESG scores when we undertake ESG integration than ESG-only strategies. However, we confirm there is a little loss to ESG scores even if we integrate ESG into various style investments. Therefore, by integrating ESG and profitable style strategies based on market anomalies reported by academic literature, investors could enhance the performance of ESG-only strategy without suffering a loss of the very purpose of ESG investing. ESG scores vary a lot by industry's specific characteristics. In Korea, for instance, the banking industry averages the highest ESG score among other industries. Meanwhile, the medical device and service industry shows the lowest ESG score. If we do not consider the industry-specific variations in ESG scores when conducting ESG investments, we could construct a portfolio that is overly tilted to specific industries with high ESG scores on average. Therefore, we employ industry-adjusted ESG scores to construct the ESG Integration strategy. Our result shows that the ESG Integration strategy based on industry-adjusted ESG scores also surpasses the performance of an ESG-only approach. How to handle the risk in their asset management is essential to institutional investors, such as public pension plan sponsors. Even a strategy can deliver enormous profits, but if it is very risky to the level of the risk appetite of institutional investors, investors cannot accept undertaking the strategy. From a risk management standpoint, we present that combining ESG with style strategies results in more favorable risk indicators than pure style strategies. Thus, we confirm that integrating ESG and style strategies can yield superior excess returns over existing ESG-only strategies while mitigating risks compared to conventional style strategies. The direction toward sustainable development through ESG has already garnered agreement and perceived necessity among many international participants. Nonetheless, for companies to sustain their ESG activities, ESG investing in the market must be concurrent. For investors, generating profits through ESG investment is paramount. Presently, consensus on ESG investing predominantly centers around major asset owners like pension funds. However, these pension funds primarily aim to provide pensions to beneficiaries through fund management rather than solely addressing social issues or augmenting societal welfare via ESG investing. Therefore, evaluating whether existing ESG strategies genuinely contribute as investment strategies and how they can be enhanced is pivotal. This study holds significance by proposing practical strategies to boost ESG investment performance, ensuring its sustainability. Furthermore, this research offers empirical evidence that supports not only the social value but also the financial value of ESG investing. Such evidence can be pivotal for future governmental and financial authorities in establishing policies and guidelines related to institutional investors' ESG activities, transcending the social value of ESG investments and encompassing its financial value. Lastly, the integrated strategy to enhance ESG performance, built upon comprehensive information encompassing non-financial ESG factors and financial style strategies, requires a high level of expertise in strategy formulation and execution. Determining how to combine and tailor various strategies, constructing portfolios, rebalancing, monitoring, etc., demands substantial resources, systems, and experience throughout the entire investment process. Institutional investors lacking internal resources may boost investment efficiency and stability by actively leveraging Outsourced Chief Investment Officers (OCIO) such as asset management companies.
ESG,ESG,Investment Strategy,Portfolio,Style,Factor,Integration,Institutional Investors