麦格理ESG利率调查

1、25November2019AustraliaEQUITIESCompanies with low ESG scores have underperformed those with high ESG scoresESG Equity StrategyKey pointsKey points We update our proprietary ESG Ratings on 231 Australian-listed companies for 2019 disclosures, covering 87% of the ASX 300 by market capitalisation The b

2、asket of companies with the highest ESG scores has seen relative outperformance of 4.2% annualised over the bottom basket since 2011 Companies that perform well on ESG ratings & analyst recs in the ASX100 include: ALQ, AMC, CSL, CWY, FMG, NEC, QAN, SYD and XROreturnsreturns11Sep12Sep13Sep14Sep15Sep1

3、6Sep17Sep18Sep19 ScoringCompaniesBottom CompaniesCompanies with high ESG scores provide a better risk-return profileReturnsReturnsRisk (volatility)X1 = basket of stocks with highest ESG scores X2 = basket of stocks with middle ESG scores X3 = basket of stocks with lowest ESG scores All baskets are e

4、qually sized1Macquaries ESG Ratings Survey includes ASX-listed companies covered by a stock covering analystSource (both charts): Macquarie Research, November 2019AnalystsMacquarie Securities (Australia) LimitedAnita Stanley, CFA +61 2 8232 9869 HYPERLINK mailto:anita.stanley anita.stanleyLinda Carl

5、anita, CFA +61 2 8232 5925 HYPERLINK mailto:linda.carlanita linda.carlanitaEventWe update our proprietary ESG Ratings on 231 Australian-listedcompanies1 for 2019 disclosures, covering 87% of the ASX300 by marketcapitalisation.ImpactHigh ESG scorers continue to deliver higher risk-adjusted returns. T

6、he basket of companies with the highest ESG scores has outperformed the bottom basket since the inception of our survey in 2011. The relative outperformance is 4.2% on an annualised basis. There is also a strong relationship between revisions to ESG scores as a signal for future performance. Compani

7、es with the largest positive revisions to their ESG scores have outperformed those with negative revisions by 4.1%annualised.ESG scores can help manage risk in a portfolio. This relative outperformance is superior on a risk-adjusted basis, as shown in Fig 2. X1, the basket of stocks with the highest

8、 ESG scores, exhibits higher returns and lower volatility. This provides portfolio managers with the dual benefits of managing risk and enhancing returns when compared to X3, the basket of stocks with the lowest ESGscores.Governance and Social factors are currently the most powerful indicators. We h

9、ave disaggregated the scores between E (Environment), S (Social) and G (Governance) to test which of these factors generates excess returns. Our analysis suggests a strong relationship with G and performance. Companies with high G scores consistently provide superior returns to the market; generatin

10、g an 8.3% excess return per annum over the last five years. When looking at S scores there is a performance differential for large cap companies which is not seen at the small caps. Large cap companies with higher S scores provide superior returns to those with negative S scores; generating a cumula

11、tive return of 29% in comparison to -28% since2011.Combining analyst recommendations with ESG scores. Companies that perform well on both ESG ratings and analyst recommendations in the ASX100: ALQ, AMC, CSL, CWY, FMG, NEC, QAN, SYD and XRO. Companies that dont perform well on both ESG ratings and an

12、alyst recommendation screens include: BEN, BOQ, CMW, DCN, HUB andREG.Using Macquaries proprietary ESG ratings. Our findings provide a compelling argument for complementing investment analysis with ESG factors, whether to enhance portfolio returns directly or to manage risk. ESG scores can also provi

13、de a snapshot of performance to be built upon with deeper analysis, additional factors to build into quantitative and valuation models, or a starting point for corporate engagement. Company scores and weightings are available onrequest.Please refer to page 23 for important disclosures and analyst ce

14、rtification, or on our website HYPERLINK /research/disclosures /research/disclosures.Macquaries ESG ratings systemCompanies with high ESG scores have outperformedOur research shows that stocks with higher ESG scores provide a better risk-adjusted returns when compared to stocks with low ESG scores.

15、In this analysis, the companies with historic scores are separated into three equal sized baskets based on their ESG scores. Each stock is equally-weighted in the portfolio.The portfolio performance back-testing outlined below is based on a dynamic portfolio, adjusted year-on- year based on the ESG

16、scoring. Therefore, this years portfolio performance is based on the ESG scoring in 2018. This provides a clearer test of the factor strength of ESG factors.The findings conclude that there is a relationship between Macquaries ESG ratings system and share price performance.Our key findings from our

17、quant analysis are:The basket of companies with the highest ESG scores has delivered an annualised return of 4.2% in excess of the return for the basket with the lowest ESGscores.The basket of companies with the lowest ESG scores has underperformed relative to both the highest and middle basket ofco

18、mpanies.Based on the relative performance outcomes, we conclude that Macquaries ESG scores can be used as a screen for improving the selectivity of both outperforming and underperforming stocks.The chart below illustrates a strong relationship between ESG scores and cumulative total returns over tim

19、e.Fig 1 Macquaries ESG scores are a useful predictive signal for total returnsCompanies with Companies with ESG Scores lowest ESG scoresTop Scoring CompaniesBottom Scoring Companies180%Cumulative returns130%Cumulative returns80%30%-20%Sep 11 Mar 12 Sep 12 Mar 13 Sep 13 Mar 14 Sep 14 Mar 15 Sep 15 Ma

20、r 16 Sep 16 Mar 17 Sep 17 Mar 18 Sep 18 Mar 1Source: Macquarie Research, November 2019As shown above, the basket of companies with the highest ESG scores (“Top Scoring Companies”) outperform the basket of companies with the lowest ESG scores (“Bottom Scoring Companies”).This relative outperformance

21、is superior on a risk-adjusted basis, as shown in the chart below. X1, the basket of stocks with the highest ESG scores, exhibits higher returns and lower volatility. This is significant given the need to manage risk and enhance returns in portfolio management.As illustrated in the chart below, ESG

22、scores can also be used to manage portfolio volatility a necessary approach in managing and constructing a portfolio. X1 companies produce better risk-adjusted returns when compared to X3 companies.Fig 2 Using ESG scores in a portfolio to manage risk and reward, X1 (basket of companies with highest

23、ESG scores) exhibit higher returns and lower volatilityX1 X1 (basket of stocks with highest ESG scores) exhibit higher returns (14%) and lower volatility (11%) (better information ratio)X2 (basket of stocks with middle ESG scores) produce returns of 12% and volatility of 12%X3 (basket of stocks with

24、 lowest ESG scores) exhibit lower returns (10%) and higher volatility (14%) (lower information ratio)Source: Macquarie Research, November 2019Risk (volatility)ReturnsReturnsThe quantitative output chart below shows that the strategy can achieve consistently higher returns on a risk-adjusted basis. T

25、he information ratio for long X1, short X3 is 0.5 and the return spread for this trade is 4.2%, illustrating that Macquaries ESG scores can be an efficient way to generate better risk-adjusted returns.Fig 3 Portfolio construction illustrates better return spread on a risk-adjusted basisX1X2X3Comment

26、Volatility Returns11%14%13%12%14%10%X1 stocks provide a better risk-adjusted return compared to X2 and X3 stocksLong-shortX1 - X3X2 - X3CommentReturn spread4.2%2.5%Information ratio shows long X1 and short X3 is anInformation ratio0.50.3efficient way to generate excess returnsX1 = stocks with highes

27、t scores, X2 = middle basket, X3 = stocks with lowest scores. Equal weighted portfolios. Source: Macquarie Research, November 2019The ESG momentum factor: Changes in scores are linked to shareholder returnsChanges in Macquaries ESG scores are also an important signal for investors, with revisions to

28、 ESG scores providing a strong predictor of returns. Our research shows that stocks with positive revisions to ESG scores outperform those stocks with negative revisions.In this analysis, we divide companies into three equal-weighted portfolios. Basket 1 comprises stocks with the highest positive re

29、visions and Basket 3 contains stocks with the highest negative revisions to their ESG score. The remaining stocks are in Basket 2 (“Middle”).The findings conclude that there is a strong relationship between revisions to ESG scores and share price performance.Our key findings from our quantitative an

30、alysis are:The basket of companies with the highest positive revisions to Macquarie ESG scores have delivered an annualised return of 4.1% in excess of the return for the basket of companies with the highest negative revisions;and,The basket with the highest negative revisions (+10.0% annualised) ha

31、s underperformed relative to both the highest (+14.1% annualised) and middle basket of companies (+13.7%annualised).The middle basket of companies only marginally underperformed (by 0.3%) the annualised return of the basket of companies with the highest positive revisions to Macquarie ESGscores.The

32、later point highlights the minimal differentiation between the basket of the highest positive changes and the “Middle” basket. Therefore, this strategy may be most suited to negative selection of stocks that meet the highest negative revisions criteria.Fig 4 Companies with positive revisions to thei

33、r ESG scores outperform companies with negative revisions to their ESG scoresCompanies with positive revisions to ESG scores vs negative revisions withwithnegative-20%Mar 12 Sep 12 Mar 13 Sep 13 Mar 14 Sep 14 Mar 15 Sep 15 Mar 16 Sep 16 Mar 17 Sep 17 Mar 18 Sep 18 Mar 19 Sep 19Source: Macquarie Rese

34、arch, November 2019Governance the strongest overall link to performanceFinally, we disaggregate the ESG scores between E, S, and G to test which of these factors generate excess returns.Governance: We again find a consistent relationship between shareholder returns and governance scores, measured bo

35、th on the basis of revisions to scores and absolute scores.Companies with high G (governance) scores consistently provide superior returns to the market; generating 8.3% pa excess returns over the last fiveyears.Companies with higher G scores consistently provide superior returns compared to those w

36、ith lowGscores; outperforming by 10.6% pa since 2011.Companies with positive revisions to G scores also provide superior returns to the market; generating 7.1% pa excess returns since2011.Companies with positive revisions to G scores also provide superior returns to those with negative revisions to

37、G scores; outperforming by 5.3% pa over the last fiveyears.These findings support our other research that the most quantifiable dimension is corporate governance as a means to assess the quality, credibility and trust in management, and we find it offers the greatest potential for investors again he

38、re.Fig 5 The Governance differentialSource: Macquarie Research, November 2019Fig 6CumulativereturndifferentialFig 7Positive Governance changes = excessreturnsSource: Macquarie Research, November 2019Social a big alpha differential in large caps and for score momentumSocial: With S (social), we find

39、a strong positive relationship with excess returns for large companies but no statistical differentiation for small companies. We believe this is likely to reflect the greater materiality of social issues to larger cap companies.For instance, generally they will have larger workforces for which huma

40、n capital management factors will be a bigger differential, a larger corporate footprint with communities, more complex supply chain risk and greater scrutiny of conduct from regulators.This means that large companies that better manage their staff engagement, safety, have a positive relationship wi

41、th its regulator, or other social metrics will tend to outperform. This is supported by our review of HCM factors in People Power, with the dynamic HCM Leaders portfolio (companies with a net positive score) outperforming the portfolio that contains companies with a net negative score by 1.6% pa ove

42、r the past 5 years.Large cap companies with higher S scores provide superior returns to those with negative S scores; generating a cumulative return of 29% in comparison to -28% since2011.Companies with positive revisions in S scores provide superior returns to those with negative revisions; outperf

43、orming by 3.4% pa since2011.Fig 8 Social Score Big differentiator in Large Caps but not Small CapsSource: Macquarie Research, November 2019Fig 9Clear social performance delta inlargecapsFig 10Positive Social changes = excessreturnsSource: Macquarie Research, November 2019Environment the signal is be

44、coming stronger as eco-efficiency begins to payThe correlation between E (environment) scores as a signal for share price performance is less consistent but beginning to show out-performance.WewereunabletoidentifyaconsistentordefinedpatternwithEscores ifmeasuredpurelyonthebasis of upper vs bottom qu

45、intile. However, if the leader and laggard portfolios are extended to Q1 and Q2 vs Q4 and Q5, the relationship becomesclearer.Companies with higher E scores (measured as the average of Q1 and Q2) provide superior returns to those with lower E scores. Over the period since 2011, E score leaders would

46、 have generated a cumulative return of 41% vs 35% for thelaggards.Fig 11Companies with higher E scores stilloutperformingSource: Macquarie Research, November 2019Fig 12Outperformance evident in the last 3yearsSource: Macquarie Research, November 2019Fig 13Momentum on positive Environmental performan

47、ce historically provides return outperformance except in last couplemonthsThis outcome illustrates that various characteristics of a company assessment can signal information to investors about quality and in some cases help predict stock returns. However, it is hard to explain whether this is funda

48、mental causation or correlation.While assessment of E, S and G risks are an important aspect of investment reviews, it cannot be looked at in isolation at the expense of either financial information or a broader understanding of the economic characteristics of a firm.Results summaryMacquaries ESG ra

49、tings methodologyOur ratings system is unique when compared with others in the market as they are compiled by 24 analysts in the Macquarie Equities Research team, with an average of twelve stocks per lead analyst. This compares favourably to other global ratings providers, where the average number o

50、f companies per analyst is considerably higher.This year, we have updated our proprietary ESG Ratings for 231 Australian-listed companies1, covering87% of the ASX300 by market capitalisation, or 84% of the All Ordinaries.The chart below shows the ESG issues assessed by our analysts in the review, fo

51、cussing on the interplay between performance and key ESG factors. The weighting of each of the key ESG criteria will vary depending on the materiality for the sector, as explained in further detail in our ESG Ratings methodology.There is an emphasis on performance rather than disclosure, with the fi

52、nancial analysts leveraging their skill and knowledge set to rate companies accordingly. This financial materiality contrasts with the methodology employed by most ESG Ratings agencies.Fig 14 ESG: key factors in Macquaries ESG ratings methodology30%30%EnvironmentExecutiveremunerationCommunity/ condu

53、ctRisk controversiesEnvironmental productsEnvironmental supply Environmental chainpracticesReporting /disclosureSupply chain /product37%33%Employee managementManagement /boardGovernanceSocialSource: Macquarie Research, November 20191 Macquaries ESG Ratings Survey includes ASX-listed companies covere

54、d by a stock-covering analystESG Ratings results ESG overlayESG scores can be used as another lens to complement investment analysis, enhance shareholder returns or manage portfolio risk.As previously discussed, our research shows that stocks with higher ESG scores provide better risk- adjusted retu

55、rns compared to stocks with low ESG scores.Each rating is a both a quantitative and qualitative assessment of performance against the criteria summarised in Figure 14.The chart below plots ESG Ratings against analyst recommendations, an initial screen integrating ESG factors that can be built upon f

56、or further analysis.Fig 15 Integrating ESG Ratings with analyst recommendationsAnalyst recommendationOutperformKARAMICVNECXGOREH HG COE BVSAY CGFNST ALL OSHALQQAN FMG CWY SY DCSLOne standarddeviation from the meanOne standarddeviation from the meanStocks that performw on both ratings and analyst Neu

57、tralAMPCIMAMPSWMJHC CWN SDAPGH VOC IREALX SULKMD SFRALX SULSXL CCL ANSXL CCL ANREA BSLA2B MYXSGFPDLA2B MYXSGFMFGStocks that dont perform w ell on both ESG ratings and analyst recommendationsTwo standard deviations from the meanStocks that dont perform w ell on both ESG ratings and analyst recommenda

58、tionsTwo standard deviations from the meanHUBAJM GXYNCM HT1ASXUnderperformDCN REGCMW AGICBABKLCPUDXSAGL SGPMacquarie ESG Rating Note: stocks currently on research restriction are not disclosed in this table Source: Macquarie Research, November 2019As illustrated, companies that perform well on both

59、ESG ratings and analyst recommendation screens are:ALQ, AMC, CSL, CWY, FMG, IEL, NEC, QAN, SYD and XRO amongst others.Companies that dont perform well on ESG ratings and analyst recommendation screens are: BEN, BOQ, CMW, DCN, HUB and REG amongst others.The ESG Ratings complement other investment ana

60、lysis but should not be looked at in isolation at the expense of either financial or valuation information; or a broader understanding of the risks within a firm.ESG Ratings results more detailThe results of combining the responses to each question with the appropriate sectoral weightings in this ye