Can Environmental Factors Improve Stock Selection?

The ecologically enhanced versions of the quantitative strategy were superior to those of the baseline portfolio, although all the active strategies exceeded the benchmark for the time frame tested, even after accounting for transaction costs and incorporating style constraints. It was found that the information ratio on the portfolio is most significantly improved when the extreme ratings are incorporated into the process. The results of this analysis support the assertion that sensitivity to environmental issues, particularly for the extreme performers,may enhance returns of an active strategy over time