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1、rPitchBookPitchBookData,Inc.JohnGabbertFounder,CEONizarTarhuniVicePresident,Institutiona1ResearchandEditoria1Danie1CookzCFAHeadofQuantitativeResearchInstitutiona1ResearchGroupAna1ysisAnikkaVi11egasAna1ystFUndStrategies&Sustainab1eInvestingan1kka.vi11egasZaneCarmean,CFA,CAIA1eadAna1yst,Quantitativean
2、dFundsResearch4./zane.carmeanParkerDeanI1yAssociateQuantitativeResearchAna1ystparker.deanpbinsdtutiona1researchpPub1ishingDesignedbyJennaOtMaIIeyPub1ishedonJune6,2023ContentsKeytakeaways1Introduction2OverviewofPRIsignatoryfunds2PerformanceofPRIsignatoryfunds6Privateequity9Rea1estate10Rea1assets11Pri
3、vatedebtArezzESGInvestorszzUnderperforming?Examiningthere1ationshipbetweenPrincip1esofResponsib1eInvestmentsignatorystatusandprivatefundreturnsPitchBookisaMorningstarcompanyprovidingthemostcomprehensive,mostaccurate,andhard-to-finddataforprofessiona1sdoingbusinessintheprivatemarkets.Keytakeaways The
4、preva1enceofESGintheprivatemarkets,usingPRIsignatorystatusasaproxy,isgrowing;thenumberofPRIsignatoryGPsincreasedfrom155in2010to2z351in2023,andthecapita1raisedbyprivatePRIsignatoryfundshassca1edto$2.5tri11ion. Whi1ethereisadearthofprivatemarketdataonESGfundperformance,therearetwomaintheoriesaroundhow
5、ESGwi11inf1uenceinvestmentreturns.ThefirstisthatESGimproves1ong-termperformancebymitigatingmateria1risks,andthesecondisthatESGharmsperformancebyp1acingartificia1constraintsontheportfo1ioandcreatingob1igationsaroundspendingonunnecessaryoperationa1improvements. Tohe1paddressthedatagap,weana1yzedthedis
6、persionofIRRandTVPIforPRIsignatoryfundsandnon-signatoryfundsinPE,rea1estate,rea1assets,andprivatedebtfrom2010to2018. U1timate1y,wefindnoevidencethatPRIsignatoriesdifferinperformancefromtheirpeersinastatistica11ymeaningfu1way.IntroductionDiscoursearoundthemeritsofenvironmenta1,socia1,andgovernance(ES
7、G)strategieshasbecomeincreasing1ychargedinrecentyears,withheightenedscrutinysurfacingsomewe11-foundedaswe11assomeunsubstantiatedConCernSaboutandCritiCiSmSOfthesustainab1einvestingstrategy.Perhapsthemostfundamenta1ofthesepertainstohowESGstrategiesaffectinvestmentperformance,withproponentsofESGc1aimin
8、gthatitprotectsagainstdownsideriskandcanresu1tinbetter1ong-termperformance,andopponentscontendingthatitnecessitatessacrificingreturns.Researchonthistopichashistorica11ybeenfocusedonthepub1icmarkets,1eavingprivatemarketinvestorswith1essdatatoinformtheirsustainabi1ity-re1ateddecision-making.Thedeartho
9、fprivatemarketresearchonthistopicisnotfor1ackofdemandbutinsteadisduetodifficu1tyco11ectingdataonGPsESGstrategies,ESGperformance,andfundperformance.Inthisana1ystnote,weexaminehowESGcommitmentsre1atetoprivatefundperformance,usingPrincip1esforResponsib1eInvestment(PRI)signatorystatusasapositiveindicato
10、r.WecompareadatasetcomprisingfundsraisedbyPRIsignatories(referredtoasPRIsignatoryfundsfromhereforward)withoneoffundsraisedbynon-signatoriesz1eva1uatingIRRandtota1-va1ue-to-paid-in(TVPI)dispersionbetweenthetwogroups.Whi1einitia1resu1tsweremixed,1inearand1ogisticregressionscontro11ingforotherperforman
11、ce-impactingfactorsshowednostatistica11ysignificantdifferenceinperformanceamongthePRIsignatoryfundsandnon-signatoryfunds.OverviewofPRIsignatoryfundsThetermESGwascoinedina2004reportfromtheUNtit1edWhoCaresWinszwhichmaderecommendationstothefinancia1industrytobetterintegrateenvironmenta1,socia1,andgover
12、nanceissuesinana1ysis,assetmanagement,andsecuritiesbrokerage/*2In2005ztheUnitedNationsga1vanizedagroupcomprisingindividua1sfromsomeofthewor1dzs1argestinstitutiona1investorsandexpertsfromintergovernmenta1organizationsandcivi1societytodeve1opthePrincip1esforResponsib1eInvestmen13Thefirstsignatoriesmad
13、etheircommitmentsin2006.Sincethen,thenumberofsignatorieshasgrownexponentia11y.AsofApri12023,therewere4z103investmentmanagerPRIsignatories,731assetownersignatories,and549serviceprovidersignatories,foratota1of5,383acrosstheg1obe.3PRIsignatoriesmakeacommitmenttothefo11owingESG-re1atedprincip1es: Princi
14、p1e1:IncorporateESGissuesintoinvestmentana1ysisanddecision-makingprocesses. Princip1e2:BeactiveownersandincorporateESGissuesintoourownershippo1iciesandpractices. Princip1e3:Seekappropriatedisc1osureonESGissuesbytheentitiesinwhichwe invest. Princip1e4:Promoteacceptanceandimp1ementationofthePrincip1es
15、withintheinvestmentindustry. Princip1e5:Worktogethertoenhanceoureffectivenessinimp1ementingthePrincip1es. Princip1e6:ReportonOuractivitiesandprogresstowardsimp1ementingthePrincip1es.“卅atareIheRinCDteSforResponsib1eInvestment?”PrinCideSforReSponSibteInvestmen1n.(1XteSSgdMay222023.Itisworthnotingthatm
16、anyGPshaveanESGprogram,anESGstrategy,ormakeESGcommitments,butarenotPRIsignatories,andthatnoteveryPRIsignatorywi11haveanESGprogramofequa1ca1iberormaturity.Inaddition,givenPRIsignatoriesmuston1yupho1dtheprincip1eswhereconsistentwithfiduciaryresponsibi1itiesandthattheminimumrequirementsofPR1whichwereimp1emented
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