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 |
The content of this page is for informational purposes only and is intended for institutional professionals with the analytical resources and tools necessary to interpret any performance information. Nothing herein is intended to recommend any product, tool or service. For all references to laws, rules or regulations, please note that the information is provided “as is” and does not constitute legal advice or any binding interpretation. Any approach to comply with regulatory or policy initiatives should be discussed with your own legal counsel and/or the relevant competent authority, as needed.