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Πλοήγηση ανά Επιβλέποντα "Chalamandaris, George"

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  • Μικρογραφία εικόνας
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    A comparative analysis of ESG and Paris-aligned portfolios: evidence from the STOXX Europe 600 (2021–2025)
    (2025-09-28) Petkidou, Sotiria; Πετκίδου, Σωτηρία; Topaloglou, Nikolaos; Skouras, Spyros; Chalamandaris, George
    With this dissertation we aim to compare the performance of two sustainable investment strategies: an Environmental, Social, and Governance (ESG) portfolio and a Paris-Aligned Benchmark (PAB) one. We constructed both portfolios based on the STOXX Europe 600, and we tested them over the 2021–2025 period. The analysis applies financial metrics such as cumulative return, volatility, the Sharpe ratio, maximum drawdown, and diversification indices. In addition, it includes regression tests for beta and market capitalization. The results show that the ESG portfolio achieved stronger diversification and a lower drawdown but was more dependent on large-cap and high-beta stocks, leading to higher volatility. The PAB portfolio was more concentrated due to stricter exclusions, something that delivered a slightly higher Sharpe ratio and more stable performance in the later phase. Overall, both strategies were competitive, with different pros and cons between diversification and risk–return balance.