Where ESG enters the investment process: a systematic review of ESG portfolio research

Portfolio outcomes depend not only on asset characteristics but also on how assets are selected, weighted and evaluated. Mixed findings on environmental, social and governance (ESG) portfolios are commonly attributed to differences in data, models, markets, or rating providers, with less attention to the stage at which ESG first enters the investment process. This study addresses that gap through a PRISMA-based systematic review of 201 included studies – 196 research articles and 5 review articles – combined with bibliometric analysis and directed content analysis. A theory-informed, rule-based codebook was applied to the full texts. Each study received one primary role based on the earliest material ESG entry in its principal analytical design. The final coding classified ESG as a Constraint that changes the investable universe in 51 studies (25.4%), a Mechanism that enters portfolio construction or allocation in 77 studies (38.3%), and Evaluation used to assess investment outcomes or behavior in 73 studies (36.3%). The classification distinguishes asset eligibility, portfolio allocation and investment evaluation as separate decision contexts. It provides a structured basis for organizing the literature and interpreting findings with attention to how ESG is used. Its contribution is descriptive and interpretive: the classification does not establish that differences in ESG entry points cause differences in portfolio returns.