Smart beta ESG disclosure

This research aims to examine several approaches, most commonly used by portfolio managers, to construct smart beta indices integrating environmental, social, and governance (ESG) factors and evaluate their performance in the Canadian context for the 2014–2109 period. We show that fundamental indexation works in Canada and that taking ESG factors into account does not harm smart beta portfolios performances compared to the capitalization-weighted portfolio. Our results are robust to several performance measures, to market conditions (bull vs. bear), and to different interest rate regimes.