ESG so far holding up better as energy powers down

Low-risk ESG companies have outperformed their high-risk counterparts by about 3% in 2020 through Friday's open, as energy losses skew the data set. Not adjusting for market cap, the 281 companies regarded by Sustainalytics to have low ESG risk fell 24.8% year-to-date, while high-risk companies fell 28%. Swaying the numbers, however, were energy companies that were down almost double the next lowest sector.

Despite the lowest risk stocks relative outperformance, a look at the sector breakout was more mixed. Some high-risk companies have done well, including several health-care companies.

When weighted by market cap, high-risk stocks appear more in line with their peers, outperforming medium-risk companies by 100 basis points. The data is a bit skewed by Amazon.com, rated as high risk by Sustainalytics, which is up about 4.8% year-to-date and makes up 18% of the high-risk company market cap. When removed from the data, the cap-weighted return of the high-risk subset falls to -21.3%.

Note: Analysis was conducted by Pensions & Investments using Sustainalytics ESG risk scores and performance data from Bloomberg.