ESG SMS: Scoring, Modelling, and Statistics

Top Recent Papers on ESG Data and ESG Statistics

The path for this particular group of papers was already paved by the recent release of our Special Report on ESG Data Challenges. Alongside this report in the list below one can find several other papers that expound upon these challenges, discussing the differences in scoring methodologies and data integration techniques. Other papers focus on ESG modelling, including an insightful paper from the Journal of Financial Economics on constructing an ESG efficient frontier for portfolio management.

Additionally, Robeco provides an update on sustainable investing statistics, complete with 50 pages of articles on related topics. It's chock full of interesting facts on the subject. For instance, did you know that the largest 15 ships in the world produce more harmful nitrogen and sulphur oxide than the entirety of the world's automobiles? 

The Stunning Statistics of Sustainable Investing (Robeco, 2021)

Robeco presents an overview of statistics on sustainable investing in this 50-page compendium of articles. Some of the topics covered include climate change, social statistics, renewable energy, and other fascinating facts about sustainability.

Sovereign Analysis: Natural capital vs. the nature of capital (Candriam, 2021)

For compliance reasons, this paper is only accessible in certain geographies

Measuring the sustainability of a sovereign entity is a difficult practice. Here, Candriam discusses the pillars of their sovereign sustainability model and the philosophy behind recent changes that have been made.

ESG Scoring: It's all relative (HSBC AM, Feb 2021)

For compliance reasons, this paper is only accessible in certain geographies

The authors discuss the differences in ESG scoring methodologies by examining a universe of companies and comparing both the process and the scores applied by MSCI and FTSE Russell. They do so in order to uncover underlying biases in the ESG scoring process.

ESG Data: Overcoming the challenges (Special Report, 2021)

Our recent Savvy Investor Special Report also explores the current minefield of ESG data, uncovering some of the challenges inherent within the effort to standardise ESG scores.

Solving the ESG Data Challenge (FactSet, 2020)

FactSet describes some of the challenges inherent within ESG data in this 27-page guide. They also describe how to assess data providers, and the pros and cons of buying data, building your own bottom-up approach, or blending existing data with proprietary methodologies.

The ESG-Efficient Frontier (Journal of Financial Economics, 2020)

The authors of this paper build a value-maximising efficient frontier for ESG investors which shows the highest Sharpe ratio that is attainable for a given ESG level. They also show how adjustments can be made to CAPM in order to account for ESG scores.

Webinar: How deeper data impacts ESG investing (S&P Dow Jones Indices, 2021)

S&P Dow Jones Indices hosts this 44-minute webinar on ESG investing and ESG data, in which the panelists discuss integration, disclosures, ESG index construction, scoring, and other related topics.

Sustainability in Credit: Insufficiency of ESG scores (Aviva Investors, 2020)

For compliance reasons, this paper is only accessible in certain geographies

Aviva Investors looks at some of the ways in which ESG scores are helpful in the process of corporate credit analysis, but also at the shortcomings of ESG data that often mean that further corporate research may be required.

Diversity, Equity, and Inclusion Require Action (Enterprising Investor, 2021)

Clients of investment managers are increasingly requesting that they make DEI (diversity, equity, and inclusion) more of a priority within their investment process. This article focuses on PNC's efforts to integrate such DEI data and calls upon other asset managers to follow suit.