Low-ESG risk companies have outperformed their high-risk counterparts.

Daily return volatility was more than 3.5% for 2020 for the Russell 1000 index, more than four times its previous five-year value.

Many defined contribution plans holding their sponsor company's stock got an extra shot of volatility during a rough ride so far in 2020.

Only 26 constituents of the Russell 1000 index were trading in positive territory at the market close March 20.