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錨點 1

ESGi rating

  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

  • 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.
     

  • 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

3 ESG sentiment indicators: Sustainability, Environmental (E), and Social (S) 

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 three ESG sentiment indicators are derived from a commercial-grade AI-driven NLP engine.

 

For sustainability sentiment, the keywords 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.

 

For environmental (E) sentiment, the keywords are:

green, pollution, climate, environmental, energy, emission, GHG, greenhouse gases, carbon, zero carbon, carbon neutrality, water, waste water, solid waste, and hazardous material.

 

For social (S) sentiment, the keywords are:

labor, labor practice, employee health, employee safety, employee welfare, employee diversity, customer privacy, customer welfare, data security, product quality, and product safety.

Classification Scheme of Sustainability, Environmental (E) and Social (S) Sentiment Level 
(01.2022-03.2023)

  PORTFOLIO LEVEL  

Rating scheme by i-score: the 4-petal rating

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100% of the invested value of the composite stocks in the portfolio rank the upper 50% of industry peers

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75% of the invested value of the composite stocks in the portfolio rank the upper 50% of industry peers

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50% of the invested value of the composite stocks in the portfolio rank the upper 50% of industry peers

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25% of the invested value of the composite stocks in the portfolio rank the upper 50% of industry peers

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0% of the invested value of the composite stocks in the portfolio rank the upper 50% of industry peers

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