Feb 27 2013
RiskMetrics (through ISS Governance Services) provides corporate governance data and we subscribe their Directors Data through WRDS:
RiskMetrics. Directors data request [electrionic resource].
You may also wish to find that they provide the following free Webinar now:
Optimizing ESG Factors in Portfolio Construction
Date: THURSDAY, MARCH 21, 2013
Time: 8:00AM PDT / 11:00AM EDT / 3:00PM GMT / 4:00PM CET / 7:00PM GST
Note: Hong Kong Time – March 21, 2013 (Thursday) 11:00PM
For the last two decades, institutional investors have debated whether considering Environmental, Social and Governance (ESG) factors can lead to better financial returns.
We will examine how MSCI ESG Intangible Value Assessment (IVA) ratings by MSCI ESG Research can be combined with the Barra Global Equity Model (GEM3) to build optimized portfolios with improved ESG ratings. The risk model allows us to separate systematic sources of active return - that is, common factor contributions - from asset specific return sources associated with IVA scores. While our study was designed primarily as an enhanced indexing exercise, focused on achieving benchmark returns comparable to the MSCI World Index, we also found three possible strategies during the observed period that can raise ESG ratings and improve active returns with minimal effects on benchmark tracking error. The currently available dataset allowed us to compare these three strategies over the volatile market cycle from February 2007 through December 2012.
Which of these strategies attained the best performance results and how did they compare?
ESG worst-in-class exclusion
ESG best-in-class overweighting
ESG momentum toward ratings improvements
Please join us for an interactive webinar on ‘Optimizing ESG Factors in Portfolio Construction.’ Our experts from MSCI ESG Research, MSCI Risk Management Analytics (RMA) and MSCI Portfolio Management Analytics (PMA) will outline how under- and overweighting ESG ratings in portfolio construction can lead to better, risk-adjusted returns through application of MSCI’s risk management analysis tool, BarraOne, and portfolio management tool, Barra Portfolio Manager.
Please use a valid e-mail address which you check regularly.