解构环境、社会和公司治理得分:在类别得分层面进行投资

IF 1.5 Q3 BUSINESS, FINANCE
Torsten Ehlers, Ulrike Elsenhuber, Anandakumar Jegarasasingam, Eric Jondeau
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引用次数: 0

摘要

环境、社会和治理(ESG)评分是资产管理公司设计和实施 ESG 投资战略的重要工具。然而,ESG 分数综合了一系列本质上不同的因素,使投资者对 ESG 分数高低的根本原因模糊不清。我们通过将 ESG 分数分解为细小的组成部分,探索基于特定 ESG 类别的更具针对性的投资策略的可行性和绩效。我们实施 "同类最佳 "策略,剔除类别得分最低的公司,将收益重新投资于得分最高的公司,并保持相同的地区和行业构成。这些方法降低了投资组合的跟踪误差,略微改善了其风险调整后的表现,同时仍能在目标 ESG 分数上获得巨大收益。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Deconstructing ESG scores: investing at the category score level

Deconstructing ESG scores: investing at the category score level

Environmental, social, and governance (ESG) scores are a key tool for asset managers in designing and implementing ESG investment strategies. They, however, amalgamate a broad range of fundamentally different factors, creating ambiguity for investors as to the underlying drivers of higher or lower ESG scores. We explore the feasibility and performance of more targeted investment strategies based on specific ESG categories by deconstructing ESG scores into their granular components. We implement “best-in-class” strategies by excluding firms with the lowest category scores and reinvesting the proceeds in firms with the highest scores, maintaining the same regional and sectoral composition. These approaches reduce the portfolio’s tracking error and slightly improve its risk-adjusted performance, while still yielding large gains in targeted ESG scores.

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来源期刊
Journal of Asset Management
Journal of Asset Management BUSINESS, FINANCE-
CiteScore
4.10
自引率
0.00%
发文量
44
期刊介绍: The Journal of Asset Management covers:new investment strategies, methodologies and techniquesnew products and trading developmentsimportant regulatory and legal developmentsemerging trends in asset managementUnder the guidance of its expert Editors and an eminent international Editorial Board, Journal of Asset Management has developed to provide an international forum for latest thinking, techniques and developments for the Fund Management Industry, from high-growth investment strategies to modelling and managing risk, from active management to index tracking. The Journal has established itself as a key bridge between applied academic research, commercial best practice and regulatory interests, globally.Each issue of Journal of Asset Management publishes detailed, authoritative briefings, analysis, research and reviews by leading experts in the field, to keep subscribers up to date with the latest developments and thinking in asset management.Journal of Asset Management covers:asset allocation hedge fund strategies risk definition and management index tracking performance measurement stock selection investment methodologies and techniques portfolio management and weighting product development and innovation active asset management style analysis strategies to match client profiles time horizons emerging markets alternative investments derivatives and hedging instruments pensions economics
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