	OLS	Lasso	Ridge	ENet	PCR	PLS	RF	XGBoost	MLP
All companies	0.249	0.249	0.249	0.249	0.250	0.249	0.251	0.251	0.244
Top 1000 companies (size)	0.151	0.150	0.151	0.150	0.150	0.151	0.151	0.153	0.146
Bottom 1000 companies (size)	0.366	0.368	0.365	0.365	0.367	0.365	0.370	0.367	0.360

	OLS	Lasso	Ridge	ENet	PCR	PLS	RF	XGBoost	MLP
All companies	0.028	0.028	0.028	0.028	0.029	0.028	0.030	0.028	0.027
Top 1000 companies (size)	0.024	0.024	0.024	0.024	0.025	0.024	0.025	0.025	0.024
Bottom 1000 companies (size)	0.032	0.032	0.032	0.032	0.033	0.033	0.035	0.031	0.031

	OLS	Lasso	Ridge	ENet	PCR	PLS	RF	XGBoost	MLP
base	0.195	0.195	0.194	0.195	0.194	0.195	0.205	0.353	0.200
base + E/S/G	0.195	0.195	0.195	0.195	0.194	0.195	0.202	0.316	0.200
base + ESG	0.195	0.195	0.195	0.195	0.194	0.195	0.202	0.336	0.197
base + TVL	0.195	0.195	0.194	0.195	0.195	0.195	0.206	0.337	0.200
base + E/S/G + TVL	0.195	0.195	0.194	0.195	0.194	0.195	0.202	0.309	0.198
base + ESG + TVL	0.195	0.195	0.194	0.195	0.194	0.195	0.202	0.325	0.198

	OLS	Lasso	Ridge	ENet	PCR	PLS	RF	XGBoost	MLP
base	0.020	0.020	0.020	0.020	0.020	0.020	0.025	0.024	0.021
base + E/S/G	0.020	0.020	0.020	0.020	0.020	0.020	0.025	0.022	0.021
base + ESG	0.020	0.020	0.020	0.020	0.020	0.020	0.025	0.023	0.021
base + TVL	0.020	0.020	0.020	0.020	0.020	0.020	0.025	0.024	0.021
base + E/S/G + TVL	0.020	0.020	0.020	0.020	0.020	0.020	0.025	0.022	0.020
base + ESG + TVL	0.020	0.020	0.020	0.020	0.020	0.020	0.025	0.023	0.021


		decile 1	decile 2	decile 3	decile 4	decile 5	decile 6	decile 7	decile 8	decile 9	decile 10	1st - 10th
Statistics	Case
RET	base	1.37	6.51	10.21	12.70	12.45	14.75	13.56	12.15	13.34	11.41	10.04
	base + E/S/G	1.19	8.16	10.16	12.20	12.92	14.57	12.05	12.24	13.07	11.90	10.71
	base + ESG	0.79	7.83	9.17	13.08	13.16	13.78	13.93	11.72	12.61	12.40	11.61
	base + TVL	-0.60	7.88	12.66	11.57	12.63	12.90	14.15	12.74	11.99	12.55	13.15
	base + E/S/G + TVL	0.02	8.11	10.43	10.80	14.43	13.53	14.52	12.59	11.03	13.01	12.99
	base + ESG + TVL	-0.73	7.13	11.93	11.70	14.44	12.48	13.72	11.68	11.64	14.36	15.09
VOL	base	23.60	18.50	16.07	15.24	14.21	13.89	13.51	13.71	13.90	15.48	-8.12
	base + E/S/G	23.45	18.21	15.80	14.85	14.43	13.83	13.69	13.91	14.21	15.42	-8.03
	base + ESG	23.42	18.00	16.20	14.76	14.06	13.95	13.69	13.68	14.29	15.84	-7.58
	base + TVL	23.84	18.00	15.78	14.77	14.03	13.85	13.68	14.34	13.99	15.65	-8.19
	base + E/S/G + TVL	23.27	18.27	16.16	14.82	14.03	13.91	13.72	13.89	14.03	15.69	-7.58
	base + ESG + TVL	23.83	18.20	16.15	15.46	14.29	13.82	13.63	13.52	13.61	15.43	-8.40
MDD	base	25.49	19.69	15.46	14.45	13.65	12.38	12.22	12.36	12.42	14.93	-10.56
	base + E/S/G	25.11	18.75	15.96	14.14	13.89	12.34	12.58	12.46	12.74	14.96	-10.15
	base + ESG	25.15	18.89	15.95	14.14	13.51	12.63	11.98	12.36	12.98	15.16	-9.99
	base + TVL	25.54	18.64	15.34	14.60	13.06	13.06	12.23	12.82	12.53	14.95	-10.59
	base + E/S/G + TVL	24.72	19.54	15.57	14.45	12.77	12.60	12.36	12.55	12.99	14.95	-9.77
	base + ESG + TVL	25.59	19.16	15.99	14.82	13.16	12.78	12.17	12.21	12.59	14.33	-11.26
Sharpe Ratio	base	0.06	0.31	0.56	0.75	0.81	0.95	0.90	0.75	0.84	0.64	0.58
	base + E/S/G	0.04	0.42	0.56	0.72	0.81	0.94	0.76	0.77	0.83	0.68	0.64
	base + ESG	0.02	0.41	0.49	0.80	0.86	0.88	0.91	0.73	0.77	0.71	0.69
	base + TVL	-0.04	0.41	0.71	0.68	0.80	0.83	0.91	0.79	0.76	0.71	0.75
	base + E/S/G + TVL	-0.02	0.42	0.56	0.63	0.92	0.85	0.97	0.78	0.68	0.75	0.77
	base + ESG + TVL	-0.05	0.35	0.66	0.65	0.92	0.81	0.89	0.77	0.75	0.85	0.90
Calmar Ratio	base	0.37	0.65	1.00	1.39	1.41	1.57	1.60	1.45	1.45	1.10	0.73
	base + E/S/G	0.32	0.85	0.99	1.25	1.30	1.74	1.29	1.47	1.52	1.14	0.82
	base + ESG	0.30	0.80	0.95	1.44	1.45	1.58	1.53	1.28	1.36	1.22	0.92
	base + TVL	0.22	0.91	1.34	1.16	1.34	1.43	1.58	1.44	1.32	1.20	0.98
	base + E/S/G + TVL	0.28	0.89	0.99	1.09	1.65	1.43	1.65	1.41	1.23	1.30	1.02
	base + ESG + TVL	0.23	0.75	1.08	1.10	1.71	1.52	1.63	1.41	1.40	1.34	1.11

	OLS	Lasso	Ridge	ENet	PCR	PLS	RF	XGBoost	MLP
All companies	47.14	47.11	47.13	47.13	45.26	47.16	44.41	47.71	47.01
Top 1000 companies (size)	39.96	39.83	39.95	39.90	36.79	39.94	35.29	40.31	39.64
Bottom 1000 companies (size)	45.39	45.40	45.39	45.40	43.70	45.45	43.12	46.47	45.47

	Lasso	Ridge	ENet	PLS	PCR	RF	XGBoost	MLP
Penalization ($`\alpha`$)	$`10^{-4}`$	$`10^{3}`$	$`10^{-4}`$				$`10^{-1}`$	$`10^{-1}`$
Number of components				8	35
Number of estimators						300	500
Maximum depth						10	10
Learning rate							$`10^{-2}`$
Subsample ratio of columns by tree							0.3
Number of neurons								5
Number of units								64

	RET	VOL	MDD	Sharpe Ratio	Calmar Ratio
mkt	11.04	20.16	18.43	0.49	1.04
decile 1	11.21	14.74	11.81	0.68	1.21
decile 2	11.36	16.88	13.30	0.65	1.34
decile 3	11.16	17.86	14.36	0.58	1.19
decile 4	11.72	18.90	15.92	0.59	1.22
decile 5	11.27	19.76	17.18	0.55	1.17
decile 6	12.27	20.76	18.54	0.57	1.22
decile 7	11.09	22.28	20.45	0.46	1.00
decile 8	11.61	23.61	22.81	0.46	1.00
decile 9	10.18	26.13	26.36	0.34	0.78
decile 10	10.54	28.96	31.44	0.27	0.75


		decile 1	decile 2	decile 3	decile 4	decile 5	decile 6	decile 7	decile 8	decile 9	decile 10	1st - 10th
Statistics	Case
RET	base	0.39	4.15	6.35	9.61	10.32	9.51	10.71	11.52	11.08	10.54	10.15
	base + E/S/G	1.45	4.87	8.48	7.24	10.50	9.62	10.62	10.65	11.13	9.71	8.26
	base + ESG	1.02	2.34	5.23	8.65	9.65	9.23	12.84	10.76	12.66	11.80	10.78
	base + TVL	1.18	5.02	6.49	9.34	9.71	9.96	10.00	10.52	12.04	9.81	8.63
	base + E/S/G + TVL	0.78	3.82	6.37	10.31	9.19	10.23	10.58	12.40	11.15	9.29	8.51
	base + ESG + TVL	0.52	3.09	6.08	11.74	10.00	9.86	10.24	11.81	10.90	9.78	9.26
VOL	base	24.54	19.43	16.90	15.84	15.23	14.43	14.29	13.36	13.42	15.88	-8.66
	base + E/S/G	25.04	18.74	17.27	15.95	14.99	14.64	13.68	13.68	13.73	15.44	-9.60
	base + ESG	24.88	19.23	16.98	15.94	15.27	14.90	14.24	13.64	12.99	15.62	-9.26
	base + TVL	24.45	18.81	16.67	15.64	15.35	14.55	14.34	13.96	13.68	15.82	-8.63
	base + E/S/G + TVL	24.71	18.98	16.73	16.10	15.04	14.79	14.24	13.86	13.56	15.04	-9.67
	base + ESG + TVL	25.00	19.29	17.22	16.11	14.82	14.31	13.57	13.94	13.59	15.47	-9.53
MDD	base	25.90	19.58	17.40	15.20	15.08	13.58	13.65	12.48	13.01	16.14	-9.76
	base + E/S/G	25.39	19.74	17.05	16.01	14.77	14.59	12.44	12.90	13.53	15.76	-9.63
	base + ESG	26.38	20.16	17.17	15.18	14.62	14.50	13.68	13.13	12.12	15.40	-10.98
	base + TVL	25.04	19.50	16.39	15.12	14.66	13.63	14.56	14.07	13.32	15.76	-9.28
	base + E/S/G + TVL	25.79	20.01	16.60	14.97	15.69	14.56	13.85	13.06	12.95	14.98	-10.81
	base + ESG + TVL	26.39	19.74	17.40	15.09	14.21	13.53	12.94	13.72	13.51	15.76	-10.63
Sharpe Ratio	base	-0.01	0.19	0.31	0.53	0.60	0.57	0.68	0.80	0.81	0.65	0.66
	base + E/S/G	0.02	0.23	0.43	0.39	0.63	0.60	0.68	0.72	0.80	0.61	0.59
	base + ESG	0.00	0.08	0.23	0.47	0.54	0.53	0.85	0.74	0.97	0.74	0.74
	base + TVL	0.00	0.24	0.32	0.52	0.56	0.60	0.66	0.71	0.90	0.59	0.59
	base + E/S/G + TVL	0.01	0.15	0.32	0.57	0.57	0.63	0.65	0.84	0.78	0.59	0.58
	base + ESG + TVL	-0.03	0.12	0.30	0.66	0.57	0.60	0.67	0.83	0.83	0.63	0.66
Calmar Ratio	base	0.36	0.55	0.72	1.08	1.12	1.09	1.25	1.49	1.43	1.21	0.85
	base + E/S/G	0.39	0.62	0.82	0.83	1.16	1.23	1.24	1.42	1.40	1.15	0.76
	base + ESG	0.38	0.42	0.54	0.92	1.01	1.04	1.70	1.40	1.65	1.31	0.93
	base + TVL	0.40	0.56	0.67	1.12	1.05	1.15	1.27	1.32	1.68	1.05	0.65
	base + E/S/G + TVL	0.36	0.45	0.67	1.09	1.21	1.25	1.29	1.55	1.36	1.06	0.70
	base + ESG + TVL	0.32	0.43	0.71	1.25	1.12	1.15	1.19	1.63	1.50	1.15	0.83

	OLS	Lasso	Ridge	ENet	PCR	PLS	RF	XGBoost	MLP
base	47.91	48.07	48.16	48.00	47.19	47.95	45.95	48.31	46.93
base + E/S/G	47.96	48.12	48.20	48.04	47.26	47.97	46.176	49.10	46.81
base + ESG	47.96	48.13	48.22	48.05	47.26	48.01	46.17	49.02	46.80
base + TVL	48.01	48.18	48.26	48.10	47.43	48.04	45.944	48.51	46.82
base + E/S/G + TVL	48.03	48.20	48.28	48.12	47.51	48.04	46.16	49.29	46.72
base + ESG + TVL	48.04	48.20	48.29	48.13	47.47	48.07	46.15	49.07	47.14

	OLS	Lasso	Ridge	ENet	PCR	PLS	RF	XGBoost	MLP
All companies	9.09	9.45	9.12	9.26	8.97	9.16	8.57	9.56	9.17
Top 1000 companies (size)	5.94	5.92	5.97	5.97	5.48	5.92	4.79	6.97	6.10
Bottom 1000 companies (size)	11.36	11.59	11.34	11.48	10.97	11.46	10.98	11.56	11.20

Appendix

List of firm variables used as predictors from WRDS

Variable Name	Variable Label	Variable Name	Variable Label
absaccrual	Absolute Accruals	ior	Institutional
accrual	Accruals	itoa	Investment to Assets
accrualpct	Accrual Percentage	ivol	60-Day IVol
avgwordsent	Sentence Complexity	liqvol	Volatility of Liquidity
beta	12-Month Beta	ltdg	Total Liabilities Growth
avgwordsent	Sentence Complexity	ltr36	36-Month LTR
beta	12-Month Beta	ltr60	60-Month LTR
betasq	12-Month Beta Squared	momaccel	Momentum Acceleration
btm	Fiscal Book-toMarket	momentum	6-Month Momentum
capec	Cyclically-Adjusted Price to Cash Flows	momentum12	12-Month Momentum
capes	Cyclically-Adjusted Price to Sales	momentum36	36-Month Momentum
cashprod	Cash Productivity	noa	Net Operating Assets
cch	Change in Cash	nsi	Net Stock Issuance
cei	Composite Equity Issuance	o_score	Ohlson Score
ceqg	Growth in Common Stockholder Equity	oivol	Excess Cash Flow Volatility
cf	Cash Flow Efficiency	oplev	Operating Liabilities Leverage
cf_p	Cash Flows to Price	oprof	Operating Profitability
cfm	Cash Flow Margins	parity_vspread	Put-Call Parity Volatility Spread
cfvol	Cash Flow Volatility	pc_divergence	Option-Based Divergence of Opinion
cfvols	Cash Flow Margin Volatility	pc_ratio	Put-Call Ratio
cheturn	Cash Turnover	pe	Price Earnings Ratio
cheturng	Cash Turnover Growth	pfs_score	Piotroski Financial Statement Score
chs	CHS Distress	pm_p	Profit Margin to Price
coleman	Coleman Readability Index	pmg	Abnormal Profit Margin Growth
convdebt	Convertible Debt	pmsg	Gross Margin Growth
corpinvest	Corporate Investments	ptb	Price-to-Book
cr	Short Term Leverage	quick	Quick Ratio
current	Current Ratio	quickg	Quick Ratio Growth
currentg	Current Ratio Growth	rd_p	Research and Development scaled by Market Cap
dblock_n	Blockholders	rd_sale	Research and Development Expense Scaled by Sales
dbreadth	Institutional Change in Breadth	rdg	Research and Development Growth
deftax	Deferred Taxes	revsup	Revenue Surprise
deprate	Depreciation Rate	roa	Returns on Assets
deprateg	Depreciation Rate Growth	roag	Growth in Returns on Assets
dhhi	Ownership Breadth	roavol	ROA Volatility
dior	Institutional Flows	roe	Returns on Equity
dispersion	Analyst Forecast Dispersion	rv_iv	Excess Implied
div_p	Cash Dividends	sale_p	Sales to Price
divinc_prob	Probability of dividend increase	saleg	Sales Growth
divyield	Dividend Yield	scr	Short Squeeze Probability
dnoa	Change in Net Operating Assets	seasonality	Seasonality
dr	Long Term Leverage	secudebt	Secured Long-Term Debt
drg	Leverage Expansion	sg	Abnormal Sales Growth
ev_ebitda	Enterprise Value to EBITDA	sgag	Growth in Selling and General Expenses to Sales
fcf	Free Cash Flow Efficiency	sio	Short Interest Scaled by Supply
fcf_p	Free Cash Flows	sir	Short Interest Ratio
filingsize	Filing Length and Complexity	skew_atm	ATM Put Volatility Skewness
firmtang	Debt Capacity to Firm Tangibility	skew_otm	OTM Put Volatility Skewness
fog_complex	Change in Gunning-Fog Readability Index	smirk	Abnormal Put Volatility Smirk
ft_mstrong	Loughran-McDonald modal strong word proportion	smog_complex	Change in Smog Readability Index
gprof	Gross Profitability	specdiv_prob	Probability of special dividend
gprofg	Gross Profitability	str_mod	Modified Short-term Reversal
hire	Growth in Employee Base	sue	Earnings Surprise
invg	Change in Inventory Turnover	taxexp	Changes in Tax Expense
invturn	Inventory Turnover	taxinc	Taxable Income
invturng	Inventory Turnover Growth	E1	Pollution prevention score
E2	Environmental transparency score	E3	Resource efficiency score
CIT1	Community & charity score	CIT2	Human rights score
CIT3	Sustainability integration score	EMP1	Compensation & satisfaction score
EMP2	Diversity & rights score	EMP3	Education & work condition score
G1	Board effectiveness score	G2	Management ethics score
G3	Disclosure & accountability score	E	Environmental score
S	Social score	G	Governance score
ESG	Averaged E, S, and G scores	ArticleVolumeTTM	Number of articles tagged to SASB categories during the past 12 months
Insight	EWMA of Day-to-day variation in response to news	OWL Momentum	Slope of Insight score


		decile 1	decile 2	decile 3	decile 4	decile 5	decile 6	decile 7	decile 8	decile 9	decile 10	10th - 1st
Statistics	Case
RET	base	15.33	12.54	9.04	9.76	9.18	9.74	8.38	8.13	5.63	-3.01	18.34
	base + E/S/G	14.70	12.01	10.18	8.46	10.54	8.62	8.81	9.48	3.34	-1.34	16.04
	base + ESG	13.84	12.03	10.75	8.82	10.89	8.52	9.45	8.95	3.60	-2.02	15.86
	base + TVL	15.33	12.14	10.01	8.99	9.06	10.02	8.28	8.61	4.48	-2.17	17.50
	base + E/S/G + TVL	14.97	11.56	10.01	9.08	10.32	8.04	9.10	9.02	4.52	-1.86	16.83
	base + ESG + TVL	14.74	12.09	9.53	9.62	9.76	8.70	9.00	8.84	4.41	-2.02	16.76
VOL	base	11.32	12.19	13.34	14.09	14.98	15.87	16.97	18.53	21.69	28.97	-17.65
	base + E/S/G	11.21	12.36	13.29	14.03	14.96	15.83	17.00	18.74	21.76	29.01	-17.80
	base + ESG	11.25	12.17	13.38	14.04	15.02	15.80	17.04	18.57	21.82	29.07	-17.82
	base + TVL	11.21	12.28	13.29	14.15	14.99	15.76	17.00	18.67	21.86	28.90	-17.69
	base + E/S/G + TVL	11.21	12.33	13.38	13.97	14.99	15.77	16.89	18.83	21.75	29.05	-17.84
	base + ESG + TVL	11.26	12.32	13.44	13.81	15.01	15.85	16.84	18.71	21.89	29.09	-17.83
MDD	base	8.89	10.31	12.66	13.32	14.60	15.79	17.01	17.69	23.42	30.37	-21.48
	base + E/S/G	8.53	10.93	12.33	13.33	14.47	15.64	17.52	17.79	23.76	29.87	-21.34
	base + ESG	8.78	10.59	12.32	13.53	14.21	15.90	17.14	17.93	23.67	30.08	-21.30
	base + TVL	8.50	10.78	12.17	13.61	14.69	15.62	17.24	18.03	23.49	30.01	-21.51
	base + E/S/G + TVL	8.63	10.68	12.68	13.30	14.55	15.62	17.17	17.99	23.46	30.12	-21.49
	base + ESG + TVL	8.62	10.81	12.52	13.06	14.70	15.79	16.93	17.87	23.58	30.16	-21.54
Sharpe Ratio	base	1.24	0.89	0.58	0.61	0.54	0.57	0.47	0.38	0.25	-0.08	1.32
	base + E/S/G	1.17	0.85	0.66	0.52	0.65	0.48	0.52	0.47	0.13	-0.02	1.19
	base + ESG	1.10	0.86	0.70	0.55	0.67	0.49	0.53	0.44	0.14	-0.04	1.14
	base + TVL	1.24	0.86	0.64	0.56	0.54	0.59	0.47	0.42	0.18	-0.05	1.29
	base + E/S/G + TVL	1.20	0.80	0.66	0.56	0.65	0.44	0.53	0.45	0.18	-0.04	1.24
	base + ESG + TVL	1.18	0.85	0.60	0.62	0.60	0.49	0.52	0.44	0.18	-0.04	1.22
Calmar Ratio	base	2.33	1.71	1.18	1.23	1.12	1.14	0.99	0.78	0.64	0.23	2.10
	base + E/S/G	2.22	1.52	1.31	1.00	1.38	0.96	1.20	0.90	0.42	0.34	1.88
	base + ESG	2.03	1.53	1.39	1.05	1.42	0.96	1.14	0.87	0.44	0.31	1.72
	base + TVL	2.32	1.57	1.28	1.10	1.16	1.18	1.03	0.82	0.50	0.30	2.02
	base + E/S/G + TVL	2.25	1.45	1.33	1.07	1.36	0.90	1.19	0.86	0.50	0.32	1.93
	base + ESG + TVL	2.14	1.62	1.20	1.17	1.27	0.96	1.18	0.86	0.51	0.31	1.83

	OLS	Lasso	Ridge	ENet	PCR	PLS	RF	XGBoost	MLP
base	7.53	9.58	8.37	7.86	10.40	7.98	9.58	8.69	7.19
base + E/S/G	7.37	9.58	8.23	7.74	10.35	7.78	9.62	9.23	6.13
base + ESG	7.59	9.58	8.43	7.92	10.40	8.02	9.63	8.67	7.24
base + TVL	7.61	9.58	8.41	7.92	10.26	8.04	9.56	9.39	5.91
base + E/S/G + TVL	7.44	9.58	8.26	7.79	10.41	7.84	9.63	8.85	8.11
base + ESG + TVL	7.65	9.58	8.46	7.96	10.43	8.07	9.65	8.67	6.89

	Lasso	Ridge	ENet	PLS	PCR	RF	XGBoost	MLP
Penalization ($`\alpha`$)	$`10^{-2}`$	$`10^{4}`$	$`10^{-3}`$				$`10^{-1}`$	$`10^{-1}`$
Number of components				6	8
Number of estimators						300	$`10^{3}`$
Maximum depth						10	3
Learning rate							$`5\times 10^{-2}`$
Subsample ratio of columns by tree							0.3
Number of neurons								3
Number of units								8

	RET	VOL	MDD	Sharpe Ratio	Calmar Ratio
mkt	11.04	20.16	18.43	0.49	1.04
decile 1	5.87	26.27	29.53	0.13	0.58
decile 2	9.08	23.13	23.28	0.35	0.87
decile 3	9.09	21.57	20.68	0.38	0.85
decile 4	10.30	20.49	18.26	0.47	1.04
decile 5	11.01	19.82	17.39	0.50	1.08
decile 6	12.34	19.44	16.46	0.60	1.21
decile 7	12.29	18.74	15.55	0.60	1.18
decile 8	13.08	18.59	15.19	0.65	1.26
decile 9	13.54	18.70	15.76	0.67	1.33
decile 10	14.69	19.88	16.55	0.68	1.36