Leola Ross

In recent years, an increasing number of investors have formed dual investment goals: maintain strong investment returns while expressing views on specific industries (such as tobacco, carbon or controversial weapons). As part of this demand, investors also want to understand the performance impact of these exclusions on their portfolio. To meet this need, we created thousands of simulated portfolios with various exclusions. Then we evaluated the performance distribution of these portfolios to identify how – and how much – negative screening can materially affect a portfolio.

Understanding how Environment, Social and Governance factors impact security prices and portfolio structure will be integrated into the entire industry. Russell Investments’ responsible practice draws directly from our responsible investing policy and beliefs. In this paper we outline our approach.