FIRM LEVEL
3 steps towards i-score computation
Click on the 3-step diagram below to see more:
Step 2:
To generate the divergence factor
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The “Aggregate Confusion Hypothesis” suggests that the rating divergence comes from 3 aspects: Scope, Rater, and Weighting differences. We argue that ESG analysts employed by different ESG data providers are subjected to regional and corporate culture influence in rating companies, leaving to the divergence.
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For each stock, we compute a divergence factor based on various ESG ratings of each firm from providers of different regions to capture the divergence effect.
Classification scheme of ESG recognition
The ESG sentiment indicator: Sustainability focused
Theoretically, the sentiment score ranges between -1 (negative) and +1 (positive), which reflects how professionals perceive the ESG information from the media coverage in a given period. Our ESG sentiment indicator is derived from a commercial-grade AI-driven NLP engine.
Keywords for sustainability sentiment are:
Net-Zero emissions, greenhouse gas emissions, positive environmental events, waste dumping, habitat destruction, environmental noncompliance, executive-incentives, misstatement, misleading-labeling, executive scandal, executive firing, executive absence, fraud, corruption, money laundering, insider trading, embezzlement, investment, labor-conditions-noncompliance, industrial accidents, legal-issues, privacy, gender-pay-gap, product fault, and product side effects.
Classification Scheme of Sustainability Sentiment Level
(01.2023-12.2023)
PORTFOLIO LEVEL
Rating scheme by i-score: the 4-petal rating
100% of the invested value of the composite stocks in the portfolio rank the upper 50% of industry peers
75% of the invested value of the composite stocks in the portfolio rank the upper 50% of industry peers
50% of the invested value of the composite stocks in the portfolio rank the upper 50% of industry peers
25% of the invested value of the composite stocks in the portfolio rank the upper 50% of industry peers
0% of the invested value of the composite stocks in the portfolio rank the upper 50% of industry peers