The integrability of ESG investing into robo advising

• Main Author: Becker, Tobias Niklas
• Publication Date: 2019
• Format: Master thesis
• Language: eng
• Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
• Download full: http://hdl.handle.net/10362/73601
• topic: Robo advising; ESG; ETF; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

Environmental, Social and Governance (ESG) investing and passive asset management are two distinct trends in financial markets. This research examines whether robo advisors can combine these two trends by integrating ESG into their passively managed portfolios. On the example of the ESG portfolio of a German robo advisor, the research finds that ESG is integrable into robo advising, with limitations. A backtest with a threshold-based rebalancing strategy was performed over the sample period 05/31/2011 – 10/31/2018. In comparison to its Non-ESG counterpart, the ESG portfolio does not over- or underperform. Also, its ESG scores are higher. However, the analysis of a second robo advisor shows the limited integrability of ESG into different portfolios due to a lack of available ESG ETFs and inconsistencies in ESG scores.