ESG Signals

This product leverages Big Data to provide you with securities-level financial risk and opportunity signals based on ESG, trading and financial information

KEY BENEFITS

Identify statistically significant correlations between ESG and financial variables

Receive an Excel sheet daily with updated signals

Leverage risk and opportunity signals in your investment decisions (for example a “temperature” indicator)

Receive an Excel sheet with the historical data of the ESG Signals from 2013

Rebalance or create new index products

Receive an Excel sheet with the historical data of the ESG Signals from 2013

BIG DATA

1,600

7 YEARS

  • Bandwidth to handle over 500 explanatory variables
  • Capacity to detect the impact of different variables
  • Explicit rules associated with past positive or negative returns
  • Opportunity to expand ESG Signals to additional investable universes (such as emerging markets, small-caps etc.)

ESG SIGNALS

Opportunity

Neutral

Risk

The company meets the conditions of a set of variables that has historically been associated with positive returns

The company does not meet the conditions of a set of variables that has historically been associated with either positive or negative returns

The company meets the conditions of a set of variables whose combination has historically been associated with negative returns

TEST CASE

ESG Signals was applied to a large cap, market weighted index, using a normative exclusion, best-in-class and combined strategies. The graph below shows the performance of the combined strategy against the base index with a quarterly rebalancing. The annualized return of the re-weighted index over-performed the annualized return of the benchmark with approximately 110 basis points (net brokerage and slippage fees). The annualized return increases with the frequency of re-balancing (approximately 400 basis points with a daily re-balancing net brokerage and slippage fees). 

Overperformance relative to the base index1

1 Internal calculations done using data from Sustainalytics ESG Research & Ratings and Advestis. Caution: Past performance is not an indicator of future performance

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