The S&P 500 ESG and the S&P 500 ESG Elite indices outperformed their benchmark by +0.7% and +3.4%; respectively.
The S&P 500 ESG Index benefitted from: 1) a positive Allocation Effect from its under-weight in Consumer Discretionary, which underperformed S&P 500 by -17.7%; 2) positive Selection Effects in Financials and Consumer Discretionary. The S&P 500 ESG Elite index benefitted from very strong Selection Effects in Info Tech and Consumer Discretionary.
An underweight in the strongly-performing Energy sector this quarter drove most of our reported Climate-focused indices to underperformance in Q4, although there were also negative stock-level contributions within Consumer Discretionary.
You can now read the full whitepaper at the link below