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.
ESG so far holding up better as energy powers down
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.