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Sustainability leaders outperform by 1.48 per cent, research finds

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Sustainability leaders deliver outperformance of 1.48 per cent per annum with a positive information ratio of 0.47, according to a white paper by investment boutique Sam.

Sustainability leaders deliver outperformance of 1.48 per cent per annum with a positive information ratio of 0.47, according to a white paper by investment boutique Sam.

The firm says the results demonstrate the alpha potential of Sam’s proprietary sustainability research.
 
Stephanie Feigt, chief investment officer of Sam, says: ‘Alpha is created by analysing under researched sustainability factors which impact the companies’ long-term value. Sam is the market leader in identifying these factors and integrating them into company valuation to create superior investment solutions.’
 
The company says value is created both from picking sustainability leaders and avoiding sustainability laggards.

The white paper was co-authored with Robeco’s quantitative strategies department using Sam’s data from the annual assessment of 2,500 largest companies worldwide that directly participated in Sam’s annual assessment between 2001 and 2008. Emerging markets and Canada were excluded from this sample for purposes of reconciliation with Robeco’s databases. The final population sample includes approximately 400 companies for each year.

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