performance of esg “sustainable” investing and minimum ... · us sif 2016 executive summary...

Steve Dyer and Bill ZieffNorthfield Newport ConferenceJune 9th, 2017

Performance of ESG “Sustainable” Investing and Minimum Variance Strategies

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Growth in ESG Investing

Sustainable, Responsible, andImpact Investing in the United States

Investment FundsIncorporating ESG Factors

Source: US SIF Foundation (The Forum for Sustainable and Responsible Investment)

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Growth in Principles for Responsible Investment Signatories

0

200

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10

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50

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2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

AO AUM ($ US trillion) Assets under management (US$ trillion)

Number of AOs Number of Signatories

PRI is a global network of investorsignatories committed to includingESG in investment decisions

Source: Principles of Responsible Investing Association (a non-profit working with United Nations)

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• climate change• greenhouse gas (GHG) emissions• resource depletion, including water• waste and pollution• deforestation

Environmental, Social and Governance

• working conditions, including slavery and child labor

• local communities, including indigenous communities

• conflict• health and safety• employee relations and diversity

• executive pay• bribery and corruption• political lobbying and donations• board diversity and structure• tax strategy

Source: Principles of Responsible Investing Association

Examples of ESG issues

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Name for Approach

How Implemented

Perspective on Economic Impact

Now

Oversimplified History of ESG

• Diversify South Africa• SRI Free

• Negative Screening

• Traditional (neoclassical) view is as cost

Then

• ESG• Sustainability

• Scoring / Ranking• Optimal Portfolio Construction

• Long-term no apparent strong impact• Results time dependent (?)• Some suggestions of benefit related to

sustainability

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US SIF 2016 Executive Summary report on trends states that the terms “responsible investing”, “impact investing”, “sustainable investing”, “SRI” are used in the summary interchangeably

According to PRI, responsible investment is not the same but has similarities with socially responsible investing, ethical investment, impact investing etc.

PRI requires that…ESG considerations are incorporated into decision-making

though…it does not require ruling anything out anything

and…how this is done varies widely

What is Your Version of ESG Investing?

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Source: Kurtz, Lloyd. Northfield Asia Research Seminar, November 2016

ESG Rating Systems Not All the Same

Comment: Stocks ranked high on System #2have a wide range of ranks on System #1

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Kanuri, Srinidhi, and Robert W. McLeod. “Sustainable Competitive Advantage and Stock Performance: The Case for Wide Moat Stocks.” Applied Economics, May 13, 2016 (online).

ESG and Sustainability: Can it Add Value?

Khan, Mozaffar N., George Serafeim, and Aaron Yoon. "Corporate Sustainability: First Evidence on Materiality." Harvard Business School Working Paper, No. 15-073, March 2015.

Two research studies worth reading:

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Performance of a Social Index

• Kurtz and diBartolomeo (2011).

• An update of 1996 and 1999 studies

• All 3 studies found that the relative performance of a social index to a broader market index

could mostly be explained by factor bets introduced by index construction methods

• Performance is time dependent – the social index outperformed from 1992-1999, but

underperformed 1999-2010.

• Assets in socially-responsible products have tripled from $3 trillion to $9 trillion since this

study was published

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MSCI KLD 400 Social Index

• “Capitalization-weighted index of 400 US securities that provides exposure to companies with outstanding Environmental, Social and Governance (ESG) ratings and excludes companies whose products have negative social or environmental impacts.”

• Launched in 1990• Screens out companies in:

• Maintains similar sector weights as broad market index• Minimum of 200 large and mid-cap constituents• Securities must have an MSCI ESG rating above ‘BB’ – factors include community relations,

diversity, employee relations, human rights, product quality and safety, environment, and corporate governance

Prospectus: https://www.msci.com/documents/10199/904492e6-527e-4d64-9904-c710bf1533c6

– Nuclear power– Tobacco– Alcohol

– Gambling– Military Weapons– Civilian Firearms

– GMOs– Adult Entertainment

https://www.msci.com/documents/10199/904492e6-527e-4d64-9904-c710bf1533c6

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Performance Results

Return CumRet RealSD AnnRet SharpeDSI 0.84 835.81 4.25 8.96 0.52SP5 0.82 773.45 4.11 8.62 0.51DSIonly_MKTCAP 1.05 1504.35 4.63 11.58 0.65SP5only_MKTCAP 0.81 752.96 4.10 8.50 0.51DSIonly_EQ 1.14 1858.40 5.07 12.53 0.63SP5only_EQ 1.02 1326.97 4.82 11.01 0.60DSI_OPT 0.87 904.70 4.06 9.31 0.56ELQ1_MKTCAP 0.78 728.82 3.68 8.36 0.55ELQ5_MKTCAP 0.73 403.55 6.09 5.80 0.30ELQ1_EQ 0.96 1324.18 3.65 11.00 0.70ELQ5_EQ 1.1 867.23 8.32 9.12 0.36ELQ1_minvol 0.85 971.56 3.04 9.62 0.73ELQ5_minvol 0.92 1143.24 3.57 10.35 0.68

Sheet1

ReturnModel SDTstatCumRetRealSDAnnRetSharpe

DSI0.845.482.66835.814.258.960.20

SP50.825.372.62773.454.118.620.20

DSIonlyMKTCAP1.055.303.401504.354.6311.580.23

SP5onlyMKTCAP0.815.332.62752.964.108.500.20

DSIonlyEQ1.145.253.731858.405.0712.530.22

SP5onlyEQ1.025.363.271326.974.8211.010.21

DSI_OPT0.875.322.80904.704.069.310.21

Q1_MKTCAP0.784.832.79728.823.688.360.21

Q5_MKTCAP0.736.322.00403.556.095.800.12

Q1_EQ0.964.423.761324.183.6511.000.26

Q5_EQ1.17.672.48867.238.329.120.13

Q1_minvol0.852.905.05971.563.049.620.28

Q5_minvol0.923.264.851143.243.5710.350.26

Sheet1 (2)

ReturnCumRetRealSDAnnRetSharpe

DSI0.84835.814.258.960.52

SP50.82773.454.118.620.51

DSIonly_MKTCAP1.051504.354.6311.580.65

SP5only_MKTCAP0.81752.964.108.500.51

DSIonly_EQ1.141858.405.0712.530.63

SP5only_EQ1.021326.974.8211.010.60

DSI_OPT0.87904.704.069.310.56

ELQ1_MKTCAP0.78728.823.688.360.55

ELQ5_MKTCAP0.73403.556.095.800.30

ELQ1_EQ0.961324.183.6511.000.70

ELQ5_EQ1.1867.238.329.120.36

ELQ1_minvol0.85971.563.049.620.73

ELQ5_minvol0.921143.243.5710.350.68

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DSI vs. SP500

Return Cum Ret Real SD DSI 0.84 835.81 4.25SP500 0.82 773.45 4.11Total Active 0.02 8.05 0.75cum ret interaction effect 54.31

Stock Specific 0 1.35 0.54Factor Model Specific 0.02 6.45 0.62

Factor Return by Group The Industries 0.01 3.57 0.39The Fundamentals -0.01 -3.32 0.32Beta 0.02 6.43 0.23

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Important Factor Differences over time, DSI vs. SP500

0.60.70.80.9

11.11.21.31.4

1992

0229

1993

0228

1994

0228

1995

0228

1996

0229

1997

0228

1998

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1999

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2007

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2008

0229

2009

0228

2010

0228

2011

0228

2012

0229

2013

0228

2014

0228

2015

0228

2016

0229

Beta

DSI SP5

-0.3-0.2-0.1

00.10.20.30.40.5

1992

0229

1993

0228

1994

0228

1995

0228

1996

0229

1997

0228

1998

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1999

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2000

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2001

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2008

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2009

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2010

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2011

0228

2012

0229

2013

0228

2014

0228

2015

0228

2016

0229

Debt to Equity

DSI SP5

-0.3-0.2-0.1

00.10.20.30.40.5

1992

0229

1993

0228

1994

0228

1995

0228

1996

0229

1997

0228

1998

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1999

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2000

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2009

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2010

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2011

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2012

0229

2013

0228

2014

0228

2015

0228

2016

0229

Price Volatility

DSI SP5

00.5

11.5

22.5

3

1992

0229

1993

0228

1994

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1995

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1996

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1997

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1998

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1999

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2010

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2011

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2012

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2013

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2014

0228

2015

0228

2016

0229

Market Cap

DSI SP5

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Performance Results


Sheet1


DSI0.845.482.66835.814.258.960.20

SP50.825.372.62773.454.118.620.20

DSIonlyMKTCAP1.055.303.401504.354.6311.580.23

SP5onlyMKTCAP0.815.332.62752.964.108.500.20

DSIonlyEQ1.145.253.731858.405.0712.530.22

SP5onlyEQ1.025.363.271326.974.8211.010.21

DSI_OPT0.875.322.80904.704.069.310.21

Q1_MKTCAP0.784.832.79728.823.688.360.21

Q5_MKTCAP0.736.322.00403.556.095.800.12

Q1_EQ0.964.423.761324.183.6511.000.26

Q5_EQ1.17.672.48867.238.329.120.13

Q1_minvol0.852.905.05971.563.049.620.28

Q5_minvol0.923.264.851143.243.5710.350.26

Sheet1 (2)


DSI0.84835.814.258.960.52

SP50.82773.454.118.620.51

DSIonly_MKTCAP1.051504.354.6311.580.65

SP5only_MKTCAP0.81752.964.108.500.51

DSIonly_EQ1.141858.405.0712.530.63

SP5only_EQ1.021326.974.8211.010.60

DSI_OPT0.87904.704.069.310.56

ELQ1_MKTCAP0.78728.823.688.360.55

ELQ5_MKTCAP0.73403.556.095.800.30

ELQ1_EQ0.961324.183.6511.000.70

ELQ5_EQ1.1867.238.329.120.36

ELQ1_minvol0.85971.563.049.620.73

ELQ5_minvol0.921143.243.5710.350.68

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DSI only vs. SP500 only (Disjoint Sets)

Return Cum Ret Real SD DSIonly 1.05 1504.35 4.63SP500only 0.81 752.96 4.1Total Active 0.24 87.52 2.27cum ret interaction effect 663.87

Stock Specific 0.23 92.35 1.49Factor Model Specific 0 -3.31 1.86

Factor Return by Group The Industries -0.02 -7.4 0.65The Fundamentals -0.03 -11.97 1.7Beta 0.06 17.98 0.71

Mean number of holdings in the DSI but not the S&P500: 156Mean number of holdings in the S&P 500 but not the DSI: 265

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Top contributors and detractors, DSI only vs. SP500 only (Disjoint Sets)

Symbol Name DSI AvgWgt SP5 AvgWgt AvgActv Wt Impact (% per mo.)XLNX XILINX 0.402 0.019 0.383 0.023FRX FOREST LABORATORIES 0.566 0.029 0.538 0.018ADI ANALOG DEVICES 0.502 0 0.502 0.017SLR SOLECTRON CORP 0.272 0 0.272 0.016BLK BLACKROCK INC 0.356 0 0.356 0.013CSCO CISCO SYSTEMS 0.239 0 0.239 0.012WFMI WHOLE FOODS MARKET 0.462 0 0.462 0.012SLM STUDENT LOAN MARKETING 0.831 0.020 0.811 0.012DHI D.R. HORTON INC 0.246 0.022 0.224 0.012WPO WASHINGTON POST CO 1.421 0.002 1.420 0.012XOM EXXON 0 5.028 -5.028 -0.041GE GENERAL ELECTRIC 0 5.014 -5.014 -0.040AAPL APPLE 0 1.557 -1.557 -0.032MO PHILIP MORRIS 0 1.934 -1.934 -0.024ORCL ORACLE SYSTEMS 0 1.267 -1.267 -0.015PFE PFIZER INC 0 2.695 -2.695 -0.015T AMERICAN TEL & TEL 0 1.510 -1.510 -0.013RD ROYAL DUTCH PETROLEUM 0 1.131 -1.131 -0.012CVX CHEVRONTEXACO 0 1.438 -1.438 -0.012MSFT MICROSOFT 0.582 0.476 0.105 -0.011

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Factor Differences, DSI only vs. SP500 only

0

0.5

1

1.5

2

2.5

3

Market Cap

DSI SP5 DSI_only SP5_only

-0.4

-0.2

0

0.2

0.4

0.6

0.8

Price Volatility


-0.4

-0.2

0

0.2

0.4

0.6

0.8

Debt to Equity


0.6

0.8

1

1.2

1.4

1.6

Beta


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Performance Results


Sheet1


DSI0.845.482.66835.814.258.960.20

SP50.825.372.62773.454.118.620.20

DSIonlyMKTCAP1.055.303.401504.354.6311.580.23

SP5onlyMKTCAP0.815.332.62752.964.108.500.20

DSIonlyEQ1.145.253.731858.405.0712.530.22

SP5onlyEQ1.025.363.271326.974.8211.010.21

DSI_OPT0.875.322.80904.704.069.310.21

Q1_MKTCAP0.784.832.79728.823.688.360.21

Q5_MKTCAP0.736.322.00403.556.095.800.12

Q1_EQ0.964.423.761324.183.6511.000.26

Q5_EQ1.17.672.48867.238.329.120.13

Q1_minvol0.852.905.05971.563.049.620.28

Q5_minvol0.923.264.851143.243.5710.350.26

Sheet1 (2)


DSI0.84835.814.258.960.52

SP50.82773.454.118.620.51

DSIonly_MKTCAP1.051504.354.6311.580.65

SP5only_MKTCAP0.81752.964.108.500.51

DSIonly_EQ1.141858.405.0712.530.63

SP5only_EQ1.021326.974.8211.010.60

DSI_OPT0.87904.704.069.310.56

ELQ1_MKTCAP0.78728.823.688.360.55

ELQ5_MKTCAP0.73403.556.095.800.30

ELQ1_EQ0.961324.183.6511.000.70

ELQ5_EQ1.1867.238.329.120.36

ELQ1_minvol0.85971.563.049.620.73

ELQ5_minvol0.921143.243.5710.350.68

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DSI Optimized vs. SP500

Return Cum Ret Real SD DSIopt 0.87 904.7 4.06SP500 0.83 806.28 4.12Total Active 0.03 9.57 0.54cum ret interaction effect 88.86

Stock Specific 0 2.26 0.49Factor Model Specific 0.02 7.1 0.29

Factor Return by Group The Industries 0.02 5.54 0.23The Fundamentals 0 2.58 0.19Beta 0 -1.08 0.02

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DSI Optimized vs. SP500

0

0.5

1

1.5

2

2.5

3

Market Cap

DSI SP5 DSIopt

0.6

0.8

1

1.2

1.4

Beta

DSI SP5 DSIopt

-0.4

-0.2

0

0.2

0.4

0.6

Debt to Equity

DSI SP5 DSIopt

-0.3-0.2-0.1

00.10.20.30.40.50.6

Price Volatility

DSI SP5 DSIopt

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Top contributors and detractors, DSI optimized vs. SP500

Symbol Name DSI AvgWgt SP5 AvgWgt AvgActv Wt Impact (% per mo.)AIG AMERICAN INTL GROUP 1.514 0.959 0.555 0.015JNJ JOHNSON & JOHNSON 2.295 1.431 0.865 0.013AN AMOCO CORP 0.996 0.2316 0.765 0.012MRK MERCK & CO 2.373 1.1858 1.187 0.012PG PROCTER & GAMBLE 2.173 1.3303 0.843 0.009PEP PEPSICO 1.689 0.8305 0.859 0.009ARC ATLANTIC RICHFIELD C 0.973 0.1417 0.831 0.009INTC INTEL CORP 1.783 1.285 0.498 0.007ITW ILLINOIS TOOL WORKS 0.754 0.194 0.559 0.007APA APACHE CORP 0.525 0.135 0.390 0.005XOM EXXON 0 2.683 -2.683 -0.022GE GENERAL ELECTRIC 0 2.629 -2.629 -0.022AAPL APPLE 0.2282 1.085 -0.857 -0.018MO PHILIP MORRIS 0 1.031 -1.031 -0.013PFE PFIZER INC 0 1.410 -1.410 -0.009ORCL ORACLE SYSTEMS CORP 0.1758 0.764 -0.588 -0.008T AMERICAN TEL & TEL 0.6296 1.274 -0.645 -0.007RD ROYAL DUTCH PETROLEUM 0 0.603 -0.603 -0.007CVX CHEVRONTEXACO 0 0.780 -0.780 -0.006AMZN AMAZON.COM 0.047 0.298 -0.250 -0.006

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Expected Life of Firms (recall Newport 2011)

• diBartolomeo (Journal of Investing, 2010)

• A metric that estimates the “market implied expected life” of firms using

contingent claims analysis

• We could take the asset volatility and correlations to estimate the probability of

defaulting for a firm

• Restrictive assumptions: Must have debt, must have positive book value, must

have fixed balance sheet leverage

• Reversing the logic to “expected life” allows firms with no debt to be included

• A quantitative measure of the fundamental and “social” concept of sustainability

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Expected Life of Firms (recall Newport 2011)

• Price an option where the underlying is the firm’s assets, with the asset volatility

determined from the factor model

• Solve for the “implied expiration date” of the option that equates the option value

to the stock price

• Include a term structure of interest rates so that as the implied expiration date

moves around, the interest rate changes appropriately

• “Distance to run:” For firms with no debt or negative book value, assume that non-

survival will be coincident with stock price to zero

• A stock with 40% annual volatility needs a 2.5 standard deviation event to get

a -100% return

• Map the “distance to run” scores to the option method distribution

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Expected Life of Firms

0

10

20

30

40

50

60Expected Life of Indices

SP5 DSI Q1 Q5

0

10

20

30

40

50

60Expected Life of Disjoint Sets

DSIonly SP5only Q1 Q5

-1.5

-1

-0.5

0

0.5

1

1.5

2

2.5

DSI - SP5

-7-6-5-4-3-2-101234

DSIonly - SP5only

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Performance Results


Sheet1


DSI0.845.482.66835.814.258.960.20

SP50.825.372.62773.454.118.620.20

DSIonlyMKTCAP1.055.303.401504.354.6311.580.23

SP5onlyMKTCAP0.815.332.62752.964.108.500.20

DSIonlyEQ1.145.253.731858.405.0712.530.22

SP5onlyEQ1.025.363.271326.974.8211.010.21

DSI_OPT0.875.322.80904.704.069.310.21

Q1_MKTCAP0.784.832.79728.823.688.360.21

Q5_MKTCAP0.736.322.00403.556.095.800.12

Q1_EQ0.964.423.761324.183.6511.000.26

Q5_EQ1.17.672.48867.238.329.120.13

Q1_minvol0.852.905.05971.563.049.620.28

Q5_minvol0.923.264.851143.243.5710.350.26

Sheet1 (2)


DSI0.84835.814.258.960.52

SP50.82773.454.118.620.51

DSIonly_MKTCAP1.051504.354.6311.580.65

SP5only_MKTCAP0.81752.964.108.500.51

DSIonly_EQ1.141858.405.0712.530.63

SP5only_EQ1.021326.974.8211.010.60

DSI_OPT0.87904.704.069.310.56

ELQ1_MKTCAP0.78728.823.688.360.55

ELQ5_MKTCAP0.73403.556.095.800.30

ELQ1_EQ0.961324.183.6511.000.70

ELQ5_EQ1.1867.238.329.120.36

ELQ1_minvol0.85971.563.049.620.73

ELQ5_minvol0.921143.243.5710.350.68

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Expected Life Factor Exposures

-1-0.5

00.5

11.5

22.5

3

Price Volatility

DSI SP5 Q1_EQ Q1_MKTCAP Q5_EQ Q5_MKTCAP

0

0.5

1

1.5

2

2.5

3

Market Cap

DSI SP5 Q1_MKTCAP Q5_MKTCAP

0

0.5

1

1.5

2

2.5Beta


-1

0

1

2

3

Debt to Equity


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Performance Results


Sheet1


DSI0.845.482.66835.814.258.960.20

SP50.825.372.62773.454.118.620.20

DSIonlyMKTCAP1.055.303.401504.354.6311.580.23

SP5onlyMKTCAP0.815.332.62752.964.108.500.20

DSIonlyEQ1.145.253.731858.405.0712.530.22

SP5onlyEQ1.025.363.271326.974.8211.010.21

DSI_OPT0.875.322.80904.704.069.310.21

Q1_MKTCAP0.784.832.79728.823.688.360.21

Q5_MKTCAP0.736.322.00403.556.095.800.12

Q1_EQ0.964.423.761324.183.6511.000.26

Q5_EQ1.17.672.48867.238.329.120.13

Q1_minvol0.852.905.05971.563.049.620.28

Q5_minvol0.923.264.851143.243.5710.350.26

Sheet1 (2)


DSI0.84835.814.258.960.52

SP50.82773.454.118.620.51

DSIonly_MKTCAP1.051504.354.6311.580.65

SP5only_MKTCAP0.81752.964.108.500.51

DSIonly_EQ1.141858.405.0712.530.63

SP5only_EQ1.021326.974.8211.010.60

DSI_OPT0.87904.704.069.310.56

ELQ1_MKTCAP0.78728.823.688.360.55

ELQ5_MKTCAP0.73403.556.095.800.30

ELQ1_EQ0.961324.183.6511.000.70

ELQ5_EQ1.1867.238.329.120.36

ELQ1_minvol0.85971.563.049.620.73

ELQ5_minvol0.921143.243.5710.350.68

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“What is Responsible Investment.” Principles for Responsible Investment Association. Web link: https://www.unpri.org/about/what-is-responsible-investment (Date accessed May 9, 2017)

“Report on US Sustainable, Responsible and Impact Investing Trends 2016.” The Forum for Sustainable and Responsible Investment. Web link: http://www.ussif.org/files/SIF_Trends_16_Executive_Summary.pdf (Date accessed May 9, 2017)

DiBartolomeo, Dan. “Equity Risk, Credit Risk, Default Correlation and Corporate Sustainability.” Working Paper (Northfield Information Services), June 2010.

Kurtz, Lloyd. “Moats and Sustainability”, Presentation at Northfield Asia Research Seminar November 2016, Singapore.

Additional references selected from Kurtz presentation materials:

Kanuri, Srinidhi, and Robert W. McLeod. “Sustainable Competitive Advantage and Stock Performance: The Case for Wide Moat Stocks.” Applied Economics, May 13, 2016 (online).

Nofsinger, John, and Abhishek Varma. “Socially Responsible Funds and Market Crises.” Working paper (Washington State University), 2013.

References

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diBartolomeo, Dan. “A Detailed Examination of Minimum Variance and Low Volatility Equity Strategies. Presentation at Northfield Newport Research Seminar June 2011, Newport, Rhode Island.

Kurtz and diBartolomeo. “The Long-Term Performance of a Social Investment Universe.” The Journal of Investing, Fall 2011, pp-95-102.

References

Slide Number 1Growth in ESG InvestingGrowth in Principles for Responsible Investment SignatoriesEnvironmental, Social and GovernanceOversimplified History of ESGWhat is Your Version of ESG Investing?ESG Rating Systems Not All the SameESG and Sustainability: Can it Add Value?Performance of a Social IndexMSCI KLD 400 Social Index Performance ResultsDSI vs. SP500Important Factor Differences over time, DSI vs. SP500Performance ResultsDSI only vs. SP500 only (Disjoint Sets)Top contributors and detractors, DSI only vs. SP500 only (Disjoint Sets)Factor Differences, DSI only vs. SP500 onlyPerformance ResultsDSI Optimized vs. SP500DSI Optimized vs. SP500Top contributors and detractors, DSI optimized vs. SP500Expected Life of Firms (recall Newport 2011)Expected Life of Firms (recall Newport 2011)Expected Life of Firms Performance ResultsExpected Life Factor ExposuresPerformance ResultsReferencesReferences

performance of esg “sustainable” investing and minimum ... · us sif 2016 executive summary...

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