“ESG Quant”的意思、由来-开放百科全书

ESG Quant funds invest in companies with strong performance on the material ESG issues for their sector and region. As a result, such funds aim to invest in sustainable companies, which are better positioned for future stock price outperformance, as shown by a growing body of literature.^[6]^[7]^[8]

Non-financial information

In determining the ESG properties of companies, ESG Quant funds rely on the use and processing of non-financial performance indicators.^[3] Such information is gathered through corporate sustainability reporting or through external data providers.^[9] A growing number of non-financial disclosure and reporting initiatives are promoting corporate transparency, including the Global Reporting Initiative (GRI), the International Integrated Reporting Council (IIRC) and the Sustainability Accounting Standards Board (SASB). In addition, there is increasing regulatory pressure, as witnessed by the European Parliament and Council of the European Union directive on "non-financial and diversity information by certain large undertakings and groups".^[10]

ESG as a risk factor

ESG information can be considered as a risk factor that is an investment theme that has stable cross-sectional correlations to returns, thereby rewarding stocks that have an exposure to them.^[11] ESG factors can be included with traditional thematic factors such as momentum, value, quality, growth, and volatility. ESG factors may provide diversification benefits due to their low correlation to traditional factors.^[12]

References

1. ^{{cite news| last = Kell, Georg| first = | date = 2015-10-09| title = COP 21: Why It's Time to Bet Big on Sustainability| url = http://www.huffingtonpost.com/georg-kell/cop-21-why-its-time-to-be_b_8268938.html| newspaper = Huffington Post| location = | access-date = 2015-10-13| quote = A particularly exciting development is the emergence of a new generation of asset managers that understand how to leverage ESG data not just to reduce risk but also to actively enhance performance. Among them, Arabesque, the world's first ESG Quant fund.}}
2. ^{{cite book |author1=Fabozzi, Frank J. |author2=Focardi, Sergio M. |author3=Kolm, Petter N. |date= |title= Quantitative Equity Investing: Techniques and Strategies|url= |location= |publisher= John Wiley & Sons|page= |isbn= 978-0-470-26247-4}}
3. ^¹{{cite web | url = http://lexicon.ft.com/Term?term=non_financial-performance-measures | title = Definition of non-financial performance measures | date = | website = | publisher = Financial Times | access-date = 2015-10-13 | quote =}}
4. ^{{Cite report | author = UN PRI | authorlink = | coauthors = | date = | title = PRI Reporting Framework 2014/15 Main definitions | url = http://2xjmlj8428u1a2k5o34l1m71.wpengine.netdna-cdn.com/wp-content/uploads/Main-Definitions-to-PRI-Reporting-Framework-2014-15.pdf | publisher = | format = | others = | edition = | location = | chapter = | section = | page = 5 | pages = | docket = | accessdate = 2015-10-13 | quote =}}
5. ^{{cite journal|author1=Treleaven, Philip |author2=Galas, Michal |author3=Lalchand, Vidhi | date = | title = Algorithmic Trading Review| url = | journal = Communications of the ACM| publisher = | volume = 56| issue = 11| pages = 76–85| bibcode = | doi = 10.1145/2500117| access-date= }}
6. ^{{cite web|author1=Khan, Mozaffar |author2=Serafeim, George |author3=Yoon, Aaron | date = | title = Corporate Sustainability: First Evidence on Materiality| volume = | issue = | pages = | bibcode = | doi = 10.2139/ssrn.2575912| ssrn = 2575912| access-date= }}
7. ^{{cite journal|author1=Eccles, Robert |author2=Ioannou, Ioannis |author3=Serafeim, George | date = | title = The Impact of Corporate Sustainability on Organizational Processes and Performance| ssrn = 1964011| journal = Management Science, Forthcoming| publisher = | volume = | issue = | pages = | bibcode = | doi = 10.2139/ssrn.1964011 | access-date= }}
8. ^{{Cite report |author1=Clark, Gordon |author2=Feiner, Andreas |author3=Viehs, Michael | date = September 2014 | title = From the Stockholder to the Stakeholder | url = http://www.smithschool.ox.ac.uk/library/reports/SSEE_Arabesque_Paper_16Sept14.pdf | publisher = University of Oxford; Arabesque Partners | format = | edition = | location = | chapter = | section = | page = | pages = | docket = | accessdate = 2015-10-08 | quote =}}
9. ^{{cite news| last = Scott, Mike| date = 2011-04-03| title = Data providers join forces to meet investor demand| url = http://on.ft.com/1TDvTY5| newspaper = Financial Times| location = London| access-date = 2015-10-13| quote = In the aftermath of the financial crisis, key data providers have all made the same bet – that in years to come environmental, social and governance (ESG) issues will be a more important part of investors’ decision-making.}}
10. ^{{cite journal| date = 2014-11-15| title = Directive 2014/95/EU| url = http://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32014L0095&from=EN.pdf| journal = Official Journal of the European Union| publisher = | volume = | issue = | pages = L 330/1| bibcode = | doi = | access-date= }}
11. ^{{Cite report |author1=Bender, Jennifer |author2=Briand, Remy |author3=Melas, Dimitris |author4=Subramanian, Raman | date = December 2013 | title = Foundations of Factor Investing | url = https://www.msci.com/resources/pdfs/Foundations_of_Factor_Investing.pdf | publisher = MSCI | format = | edition = | location = | chapter = | section = | page = | pages = | docket = | accessdate = 2015-10-08 | quote =}}
12. ^{{Cite report |author1=Nagy, Zoltan |author2=Cogan, Doug |author3=Sinnreich Dan | date = February 2013 | title = Optimizing Environmental, Social, and Governance Factors in Portfolio Construction | url = https://www.msci.com/documents/10199/6f0d638c-312a-403f-b757-d5f06d385084 | publisher = MSCI | format = | edition = | location = | chapter = | section = | page = | pages = | docket = | accessdate = 2015-10-08 | quote =}}

ESG materiality

Non-financial information

ESG as a risk factor

References