ML-based ESG Investment Return Attribution
Decomposing what ESG signals actually do to long-term, risk-adjusted performance.
A new framework for decomposing and causally attributing ESG-related signals in asset returns — separating the structural drivers of performance from market noise and from confounded factor exposures. The motivation is simple: ESG investing is over-claimed and under-explained, and most published return decompositions confuse correlation with cause.
Built a custom causal attribution system that evaluates how non-financial signals affect long-term, risk-adjusted performance under controlled conditions. Designed to be auditable rather than impressive — the goal is a number you can defend, not one you can't reproduce.