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In this article we investigate the possible benefits of integrating ESG considerations into fixed-income portfolios. Our initial results indicated that such considerations could have a significant impact on portfolio returns. Our more formal use of regression analysis demonstrated that the impact on returns was negligible. The authors do find tentative evidence, however, to suggest that enhancing the ESG credentials of a portfolio can lead to a reduction in a portfolio's tail risk.
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Clare et al. (2024) studied this question.
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