ESG 评级告诉我们有关公司债券的哪些信息?
- 我们探讨了将环境、社会和治理相关（ESG）因素纳入考量，对公司债券投资组合风险和表现的影响。
- 我们发现 ESG 评级具有与信用评级不同的特征，并提供了有关风险和表现的更多见解。
- 在降低风险方面，MSCI ESG 评级综合评分显示出比单项 E、S 和 G 指标评分更好的结果。
('ESG 组别', 'T1(低)', 'T2', 'T3 (高)', '合计/平均') | ('发行人数量', '478', '478', '478', '1434') | ('ESG 评分', '2.4', '4.8', '7.5', '4.9') | ('期权调整利差（基点）', '409', '289', '183', '294') | ('有效久期', '4.5', '4.8', '5.0', '4.8') | ('利差久期', '4.6', '4.8', '5.0', '4.8') | ('MSCI 平均信用评级', '11.3', '9.9', '8.0', '9.7') |
|---|---|---|---|---|---|---|
('ESG 组别', 'T1(低)', 'T2', 'T3 (高)', '合计/平均') None | ('发行人数量', '478', '478', '478', '1434') None | ('ESG 评分', '2.4', '4.8', '7.5', '4.9') None | ('期权调整利差（基点）', '409', '289', '183', '294') None | ('有效久期', '4.5', '4.8', '5.0', '4.8') None | ('利差久期', '4.6', '4.8', '5.0', '4.8') None | ('MSCI 平均信用评级', '11.3', '9.9', '8.0', '9.7') None |
('Unnamed: 0_level_0', 'T1(low)', 'T3(high)') | ('超额回报 (%)', '0.68', '1.08') | ('超额风险 (%)', '9.01', '4.51') | ('风险调整后超额回报', '0.08', '0.24') | ('最大跌幅 (%)', '21.25', '10.57') | ('投资组合 Beta', '1.38', '0.69') |
|---|---|---|---|---|---|
('Unnamed: 0_level_0', 'T1(low)', 'T3(high)') None | ('超额回报 (%)', '0.68', '1.08') None | ('超额风险 (%)', '9.01', '4.51') None | ('风险调整后超额回报', '0.08', '0.24') None | ('最大跌幅 (%)', '21.25', '10.57') None | ('投资组合 Beta', '1.38', '0.69') None |
Cumulative excess return | 累积超额回报 |
低 | 低 |
高 | 高 |
Cumulative residual return across ESG terciles | 各组别ESG的累积剩余回报 |
Return | 回报 |
Low | 低 |
High | 高 |
Spread | 差 |
Univ | 范围 |
Excess return spread | 超额回报差 |
Excess return | 超额回报 |
ESG terciles | ESG综合评分组别 |
Environmental terciles | 环境得分组别 |
Social terciles | 社会得分组别 |
Governance terciles | 治理得分组别 |
Excess risk spread | 超额风险差 |
Excess risk | 超额风险 |
Residual return spread | 剩余回报差 |
Residual return | 剩余回报 |
Residual risk spread | 剩余风险差 |
Residual risk | 剩余风险 |
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