An analysis on how environmental, social and governance (ESG) scores are correlated with share market returns of companies worldwide between 2009 and 2019 shows a broad trend that:
companies with higher ESG scores generate lower returns than the average; while
companies with lower ESG scores generate higher returns than the average.
However, while all ESG score providers showed a relationship between lower scores and higher returns, there was considerable difference when it came to the inverse. Data for one provider suggested that higher ESG scores on that framework generated higher returns than companies with a low ESG score, while another two providers showed basically no difference between high ESG scores and average returns. In other words, the difference between ESG scoring frameworks seems to have more of an effect on returns than whether the score itself is high.
Differences in return on investments in companies worldwide between 2009 and 2019, by environmental, social and governance (ESG) score band and ESG framework provider
(in percentage points)
ESG score band
Top 20 percent
Bottom 20 percent
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* Alpha for the top quintile of providers four and five rounds to zero, but in the case of provider four it is slightly below zero and in the case of provider five slightly above zero.
** Alpha refers to the difference between the return on an investment and some kind of benchmark - in this case overall returns without factoring in ESG scores.
The source does not name the ESG framework providers.
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Statista. (September 29, 2021). Differences in return on investments in companies worldwide between 2009 and 2019, by environmental, social and governance (ESG) score band and ESG framework provider (in percentage points) [Graph]. In Statista. Retrieved July 16, 2024, from https://www.statista.com/statistics/1268405/return-differential-esg-score-provider-worldwide/
Statista. "Differences in return on investments in companies worldwide between 2009 and 2019, by environmental, social and governance (ESG) score band and ESG framework provider (in percentage points)." Chart. September 29, 2021. Statista. Accessed July 16, 2024. https://www.statista.com/statistics/1268405/return-differential-esg-score-provider-worldwide/
Statista. (2021). Differences in return on investments in companies worldwide between 2009 and 2019, by environmental, social and governance (ESG) score band and ESG framework provider (in percentage points). Statista. Statista Inc.. Accessed: July 16, 2024. https://www.statista.com/statistics/1268405/return-differential-esg-score-provider-worldwide/
Statista. "Differences in Return on Investments in Companies Worldwide between 2009 and 2019, by Environmental, Social and Governance (Esg) Score Band and Esg Framework Provider (in Percentage Points)." Statista, Statista Inc., 29 Sep 2021, https://www.statista.com/statistics/1268405/return-differential-esg-score-provider-worldwide/
Statista, Differences in return on investments in companies worldwide between 2009 and 2019, by environmental, social and governance (ESG) score band and ESG framework provider (in percentage points) Statista, https://www.statista.com/statistics/1268405/return-differential-esg-score-provider-worldwide/ (last visited July 16, 2024)
Differences in return on investments in companies worldwide between 2009 and 2019, by environmental, social and governance (ESG) score band and ESG framework provider (in percentage points) [Graph], Statista, September 29, 2021. [Online]. Available: https://www.statista.com/statistics/1268405/return-differential-esg-score-provider-worldwide/
