ESG in Model Portfolios -- Looking for ESG universe by Josh M

Josh M INVESTOR

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This ESG trend is pretty new -- hard to find ETFs / a universe that is in existance for >5 years. I want to make a portfolio for people who are more concious, but I want to see its performace over the long haul.

I was using ESGV and SUSC as my 'levers' for exposure to ESG -- but neither has 5 years of data to backtest.

Hard to see if this is a viable substitute for VOO and VCLT without 5 years of data.

Anyone have any suggestions for ETFs (ESG Stock ETF and ESG Corporate Bond ETF) that have over 5 years of data?

Best,

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Josh M

Accepted Answer

Update Backtest

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Grant Forman

23.1k ,

HI Josh, I would extract the individual securities from EFIV and backtest the extracted basket of securities. Regards, G

Josh M

2k ,

Good advice I actually settled on some ETFs that have over 5 years

Equiity ETFs: SUSA, GRID, & YLCO

Corporate Bond ETFs: ESCR

Shile Wen

63.5k ,

Hi Josh,

This is slightly related, but Quantpedia provides an article on backtesting ESG factors here.

Best,
Shile Wen

Josh M

2k ,

Thanks Shile,

I think that the screening promoted in those two models is that they use a subscription data source. I don't think alphas can have outside data sources and meet all the submission criteria for alpha listing if I remember correctly.

I think it would be very cool to see QC come up with another 'universe' of ESG ETFs. Schwab has a list of ETFs in general that are available for their institutional 'intelligent portfolios' Here is the list of ETFs with ESG in the name from their list:

Stocks: ESGD, ESGE, ESGG, ESG, ESGU, NUSC, NUMG, NULV, NUMV, NUEM, NUDM, ESML, ESGV, VSGX, USSG, SNPE, SUSL, WWJD, LDEM, SUSA

Fixed Income: SUSC, SUSB, NUBD, EAGG, NUHY,

Obviously this isnt everything; but it is a start. I think in years to come people will want more ESG as millenials come to inherit their familial wealth and decide what to do with it and how to position themselves financially and ethically.

Feel free to add more funds if you know of any, all -- thanks!

Best,

Josh M INVESTOR

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