Quantitative Research

The objective of quantitative research is to highlight the extent to which ESG factors contribute to performance and to integrate them as effectively as possible into portfolio construction. It is also used to measure SRI quality, thereby making reporting more transparent.

Together with the extra-financial analysts, quantitative analysts:

• suggest methodological research into how to make a better use providers ESG data
• perform historical simulations on ESG criteria to make it easier to evaluate issues and determine sector weightings for each criterion
• examine actual share performance with respect to their ESG ratings to verify whether or not these ratings are reliable indicators of performance

Gross ESG performance relative to the market

Over the period from January 2006 to December 2008 +1 and +2 ratings outperformed the market whilst -1 and -2 ratings underperformed.

Together with fund managers, quantitative analysts:

• audit existing management processes and propose ideas for improvement
• build model portfolios on the basis of various indicators in the context of a given risk budget
• track risk and performance from an ESG point of view

The research team also creates models and performs various quantitative studies, such as analysing the impact of ESG ratings on share prices, SRI/non-SRI comparisons, etc.

SRI Performance allocation

Quantitative research measures and analyses the contribution of SRI to performance.