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Hi all and thank you in advance.

Do you think that implementing a style analysis on ESG equity portfolios is feasible?

When I mean style analysis I refer to the seminal paper of Sharpe (1992) but I this case explain the performance of funds through indices that relate to high/medium/low ESG.

Does anyone know if such indicators exist and if not has anyone been through the quantification of ESG factors?

Thank you.

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  • $\begingroup$ An interesting article came out in Risk Magazine: Fuzzy data stalls ESG alpha hunt. "Quants searching for ESG signals have reached very different conclusions. Mostly they blame the data" $\endgroup$ – David Duarte Feb 20 at 10:46
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I think it is feasible. You can check out this paper: A Blueprint for Integrating ESG into Equity Portfolios

One of the main challenges is finding the appropriate data to perform your analysis.

If you have access to a Bloomberg terminal, you can look at some of the recent webinar material (Seeing Green Spotlight Webinar) on ESG analysis that Bloomberg is using to promote it's BQNT (Jupyter environment inside the Bloomberg terminal) and BQL (new query language to extract Bloomberg information) tools.

Part 1 - ESG Scoring App Workflows

  • Access the new ESG data available in BQL for your target universe
  • Use the BQuant app template to quickly build your own ESG scoring app

Part 2 - Integrating Your Research into ESG Scoring Models

  • Use Bloomberg's custom data editor (CDE) to upload your research
  • Combine your research and BQuant's ESG score in a single scoring app

Part 3 - Finding ESG Bonds

  • Create an interactive app with ESG scores for a bond universe
  • Identify companies that have issued green bonds

Part 4 - Improving Your Portfolio's ESG Score

  • Visualize the largest detractors to your portfolio's ESG score
  • Construct scenarios to determine the ESG impact of specific companies
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  • $\begingroup$ Thank you David! Your answer was indeed enlightening. $\endgroup$ – wanna_be_quant Feb 19 at 7:39

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