This is absolutely
not true, as Sustainalytics demonstrates in this article that appeared in ThinkAdvisor magazine. Socially responsible investing (SRI) has evolved into ESG investing which is more relevant, I think. ESG stands for Environmental, Social and Governance (that is, corporate governance). An ESG screen is proven to reduce future volatility.
https://www.thinkadvisor.com/2018/02/26/use-these-10-esg-factors-to-avoid-riskiest-investm
(this link works for me but let me know if it doesn't for you)
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