2nd place - CFA Society Portugal Award

“Responsible Minus Irresponsible (RMI) - A determinant of equity risk premia?”

This study is a novel approach to explain the relationship between ESG and financial performance. It adopts a new method for constructing an ESG-size portfolio that eliminates the inherent correlation between size and ESG. This is a zero initial investment portfolio which goes long in responsible companies and short in irresponsible companies, called” Responsible Minus Irresponsible” (RMI). The findings suggest that ESG represents a pricing anomaly but does not act as an independent risk factor that can be used to in Asset Pricing Theory. During the Corona crisis, the RMI portfolio produced on average negative returns.