Why sustainability data is financially relevant

Driving stronger outcomes with actionable insights from MSCI.

Quintiles are created every month based on adjusted scores in MSCI ACWI index. Scores are first standardized by the Global Industry Classification Standard (GICS®)* sectors, region (North America, Europe, Pacific and EM sub-indexes of the MSCI ACWI Index), and then size adjusted. The next month’s performance (in USD return) of the quintiles is calculated. The graph shows the cumulative difference between the top and bottom quintiles’ performance. Data from Dec. 31, 2012, to Dec. 31, 2024. Source: MSCI ESG Research. *GICS is the global industry classification standard jointly developed by MSCI and S&P Global Market Intelligence.

The chart shows the cumulative performance of MSCI Social pillar score when integrated into the MSCI Global Equity Factor Model. Data from Dec. 31, 2012, to Dec. 31, 2024. Source: MSCI ESG Research

Quintiles are created every month based on adjusted scope 1+2 carbon emissions data. The values are negative log-transformed, standardized by GICS sector, and size-adjusted. The graph shows the cumulative difference between the top and bottom quintiles’ EPS growth per region. Data from Oct. 31, 2014, to Dec. 31, 2024. Source: MSCI ESG Research.

The MSCI Universal Index represents an ESG-weight-tilt approach; MSCI Selection Index uses a 50% best-in-class sector approach; MSCI SRI Index uses a 25% best-in-class sector approach; and MSCI Focus Index uses an optimized approach designed to maximize ESG exposure. The data shows the actual performance for each index plus back-tested performance for those indexes with less than 10 years of track record. MSCI ACWI Selection Index has been live since June 6, 2013; MSCI ACWI SRI Index since March 24, 2014; MSCI ACWI Universal Index since Feb. 8, 2017; MSCI ACWI Focus Index since June 25, 2018. Data from May 31, 2013, to Dec. 31, 2024. Source: MSCI ESG Research.

Data period from August 2015 through May 2024. We divided the entire study sample (n = 4,319 unique issuers) into quintiles each month based on the ESG score, which determines the MSCI ESG Rating, and compared each quintile’s cost of capital monthly (106 observations). The difference between the top and bottom ESG score quintiles over the study period was significant at a 99% confidence level using the Mann-Whitney U test. Source: MSCI ESG Research

Data period from August 2015 through May 2024. We show the differences in the z-scores for the cost of capital (to neutralize the overall changes in the sample’s cost of capital) during the 12 months after a substantial change in the MSCI ESG Rating (+/- two or more notches) during our study period (106 monthly observations). We did not observe a strong pattern for small rating changes (+/- one notch). Source: MSCI ESG Research.​

Quintiles are created every month based on adjusted green revenue data in selected sectors of MSCI ACWI Index. The values are log-transformed and then adjusted by region and size. The graph shows the cumulative difference between the top and bottom quintiles’ EPS growth. Data from Nov. 30, 2015, to Dec. 31, 2024. Source: MSCI ESG Research.

The chart shows the cumulative performance of MSCI LCT score when integrated into the MSCI Global Equity Factor Model.Data from Nov. 29 2013, to Dec. 31, 2024. Source: MSCI ESG Research.