PitchBook分析师注：“ESG投资者”是否表现不佳？（英）-2023-12页

Key Takeaways: The report examines whether ESG investors underperform by analyzing PRI signatory funds. Despite PRI signatory status growing from 155 funds in 2010 to 2,351 in 2023 with $2.5 trillion raised, statistical analysis from 2010-2018 shows no significant performance difference between PRI signatory funds and non-signatory funds across asset classes like private equity, real estate, real assets, and private debt. Performance variations are likely driven by other factors such as geography, fund size, and market conditions, not ESG commitments alone.

Introduction: The debate around ESG strategies' impact on returns centers on two theories: ESG mitigates long-term risk and improves performance, or it harms performance by imposing artificial constraints. Public markets research is abundant, but private markets data is scarce due to data collection challenges, leading this analysis to use PRI signatory status as an indicator.

Methodology: The study compares IRR and TVPI dispersion for PRI signatory funds (155 GPs in 2010 rising to 2,351 by 2023) with non-signatory funds, spanning vintage years 2010-2018. Linear and logistic regressions controlled for factors like asset class, fund size, and geography to isolate performance differences.

Findings: Initial analysis in some cases suggested underperformance, but regression results (p-values >0.353 indicating no statistical significance) show no meaningful difference in returns. For example, in private equity, real estate, and other classes, performance gaps narrowed or disappeared when adjusted for external factors. The market environment (2010-2018) was relatively stable, limiting insights into downturn scenarios.

Limitations: Data from 2022 was excluded due to LP-reported volatility. PRI signatories may have varying ESG practices, and minimum PRI requirements don't mandate specific ESG strategies. Results aren't generalizable to all ESG approaches or recent market changes.

Conclusion: No evidence supports the claim that ESG commitments hinder returns. The PRI model may evolve; further research on specific ESG activities (e.g., industry exclusions) is recommended. This analysis informs GPs and LPs on ESG commitments without definitive proof of harm.