ESG: linee guida internazionali e parametri di performance

Transcription

1 ESG: linee guida internazionali e parametri di performance LUISS Business School 21 Giugno

2 ESISTE UN ESIGENZA DI ARMONIZZARE I PARAMETRI ESG Le società quotate stanno cercando di convergere verso un set di informazioni e dati standardizzato, a meno di specificità settoriali, geografiche o di stile di gestione Le società di ricerca e i network accademici stanno cercando di convergere verso un set di dati e informazioni standardizzato per analizzare la performance extrafinanziaria delle società Questi due approcci dovrebbero svilupparsi in modo armonico per convergere verso uno standard di riferimento, legato al valore economico-finanziario 2

3 LE INIZIATIVE INTERNAZIONALI SONO NUMEROSE GRI: the Global Reporting Initiative is the most widely used sustainability reporting framework in the world. GRI reporters have a heavy presence in all the major sustainability indices, including: 95% of DJSI - 78% of FTSE4Good - 70% of Global % of NASDAQ OMX CRD Global Sustainability Index (QCRD). Web: KPIs for ESG 3.0: developed by DVFA and EFFAS, it is a publically available reporting framework, i.e. application for companies is free of charge. However, it is required that companies reference the KPIs for ESG 3.0 when disclosing data or using the framework in their sustainability or CSR reports or other vehicles for corporate disclosure. Web: GISR: the Global Initiative for Sustainability Ratings (GISR), is a not-for-profit project looking to establish a single, standardized sustainability rating framework for companies. It has been launched with the support of heavy hitters such as Bloomberg and TIAA-CREF. GISR says it aims to create a benchmark standard rooted in technical excellence, impeccable integrity, and continuous improvement. Web: 3

4 I KPIs DEVONO ESSERE LEGATI AL VALORE Analysis on the link between ESG Rating and value generation Reference universe: European companies rated by ECPI over the period Dec 2005 Dec 2010 Portfolios under analysis: Top ESG = 1 quartile by ESG Rating Bottom ESG = 4 quartile by ESG Rating Equally weighted portfolios Quarterly rebalancing to reflect rating migration ABSOLUTE PERFORMANCE Performance Top ESG: 27.50% Bottom ESG: 9.37% --- L/S ESG Strategy --- Top ESG --- Bottom ESG Sharpe Ratio Top ESG: 0.19 Market Neutral: 0.10 Bottom ESG: 0.04 RISK-ADJUSTED PERFORMANCE Portfolio Av. Return Standard Deviation Sharpe Ratio Max. Daily Return Min. Daily return Skewness Kurtosis Top ESG-rated 7.49% 23.08% % -7.40% Bottom ESG-rated 3.92% 20.87% % -7.73% ESG Neutral Europe 5.47% 22.11% % -793% ESG contribution to Alpha Top ESG: 6.72% Market Neutral: 5.13% Bottom ESG: 1.50% Source: Linda Benedetta Andreoletti, Fattori di sostenibilità ESG e rendimenti azionari sul mercato europeo, February 2011 (MSc Discussion paper). Based on data from ECPI. ESG PERFORMANCE ATTRIBUTION Portfolio Top ESG-rated Bottom ESG-rated ESG Neutral Europe Annualized Alpha 6.72% % % pm - rf SML HML Momentum Adjusted R

5 APPENDICE 5

6 WHO WE ARE Shareholders ECPI Group SpA (holding) Advisory Board ECPI Srl (Milan) ECP International SA (Luxembourg) Research Indices We are global leader in providing access to liquid investment tools for the integration of non-traditional risks factors ( ESG ) 6

7 WHERE WE WE ARE OPERATIONAL FOOTPRINT AFFILIATIONS WARSAW, SOPOT Signatory of the UN PRI LONDON LUXEMBOURG Member of the US Interfaith Center of Corporate Responsibility NEW YORK GENEVE MILAN TOKYO SHANGHAI Member of the European Social Investment Forum NEW DEHLI PARTNERSHIPS Offices: Luxembourg, Milan Sales Rep.: Geneva, London, New York, Shanghai, Tokyo Partnership with CSI for the China ESG Index Series Local Research Team: New Dehli-Gurgaon, Shanghai, Tokyo, Warsaw-Sopot Team: 60+ professionals, multi-language and multi-cultural Partnership with FTSE for the Italian ESG Index Series 7

8 CONTATTI Aldo Bonati Head of Research Dept. In ECPI dal Precedenti esperienze come Product Manager in Citibank International plc e in BNP Paribas Asset Management e come Fund raising officer presso AVSI, organizzazione non profit di aiuti internazionali. Ha conseguito il Master of Science cum laude in Management delle Organizzazioni Non-profit presso la SDA Bocconi School of Management. Co-autore del libro Investimenti sostenibili Integrare analisi tradizionale e indicatori non finanziari: i casi ECPI e Goldman Sachs SUSTAIN (EGEA, 2010). a.bonati@ecpindices.com Index Dept. Luxembourg 5, rue Goethe L-1637 Luxembourg T data@ecpindices.lu Research Dept. Milan Piazza A. Diaz, Milan, Italy T research@ecpindices.com Bloomberg: ECPS Reuters: ECAPITAL Disclaimer This document has been prepared by ECP International S.A., and/or ECPI S.r.l., and/or any of their subsidiaries and affiliates, being noted that ECP International S.A., ECPI S.r.l., are entirely owned by ECPI Group S.p.A., a company organized and existing under the laws of Italy, with registered office at Via Crocefisso, Milan, Italy (the ECPI Group Companies ) as part of their internal research activity. The information provided herein and, in particular, the data contained in this document are taken from information available to the public. All information contained herein is obtained from sources believed by it to be accurate and reliable. While the opinions and information contained in this document are based on public sources believed to be reliable and in good faith, ECPI Group Companies have not independently verified the accuracy of such public sources. Because of the possibility of human, technical or whatsoever kind of similar error, however, such information is provided as is without warranty of any kind and ECPI Group Companies, in particular, make no representation or warranty, whether express or implicit, as to the fairness, accuracy, timeliness, completeness, merchantability and/or fitness of any such information and opinions contained in this document. Accordingly, neither ECPI Group Companies nor any of their respective directors, managers, officers or employees shall be held liable for whatever reason (including, without limitation, liability in negligence) for any loss (including consequential loss), expense, consequential, special, incidental, direct or indirect or similar damage, whether or not advised of the possibility of such damage, in connection with the fairness, accuracy, timeliness, completeness, merchantability and/or fitness of the information and opinions contained in this document and/or arising from any use or performance of this document or its contents or otherwise arising in connection with this document. Any opinions, forecasts or estimates contained herein constitute a high-level information statement only valid as at the date of its release. There can be no assurance that the evolution of the information contained herein and/or any future events will be consistent with such opinions, forecasts or estimates. Any information herein is at any time subject to change, update or amendment subsequently to the date of this document, with no undertaking by ECPI Group Companies to notify such change, update or amendment. This document is not, nor may it be construed as to constitute a recommendation to make any kind of investment decision or an offer for sale or subscription of or a solicitation of any offer to buy or subscribe for any financial instrument. Accordingly, this document may not be used as a solicitation or an offer for sale or subscription, and any solicitation or offer shall be made only in accordance with all applicable laws and regulation, including, whenever applicable, the filing of a prospectus with the relevant authorities. ECPI Group Companies are not financial advisors subject to special authorization and thus do not provide formal financial advice in the area of investment nor perform any asset management activity. ECPI Group Companies recommend to potential investors wishing to be provided with formal financial advice in the area of investment to contact a financial advisor duly authorized by the competent regulatory authority of its country. ECPI Group Companies publish researches on a regular basis. This publication has been prepared on behalf of ECPI Group Companies solely for information purposes. All the information contained herein is copyrighted in the name of ECPI Group Companies, and none of such information may be copied or otherwise reproduced, except for personal use only, further transmitted, transferred, published, disseminated, redistributed or resold, in whole or in part, in any form or manner or by any means whatsoever, by any person without ECPI Group Companies prior written consent. 8