Is There Any Effect of ESG Scores on Portfolio Performance in South Africa?

Abstract This study compares the performance of five portfolios built according to level integration environmental, social and governance values in case South Africa, over period four years from 2 January 2019 29 December 2022. The were (1) two dimensions ESG ratings (responsible irresponsible) (2) levels implication (partially significantly), there is also a portfolio for non-engaged companies (no-reporting). Many recent studies comparing non-ESG have reported contradictory results so that this debate remains inconclusive. main question I explore whether integrating really matter developing country with many economic challenges, as Africa. For purpose study, used risk-adjusted measures (Sharpe ratio, Treynor Modigliani-Squared Jensen’s alpha) evaluation. found an adverse effect on performance. Overall, Irresponsible achieved better compared its counterparts. findings contribute enrich academic literature by African context.