{"id":13875,"date":"2016-11-29T12:32:21","date_gmt":"2016-11-29T12:32:21","guid":{"rendered":"http:\/\/www.eticasgr.com\/blog\/a-new-esg-risk-metric\/"},"modified":"2019-02-06T20:50:49","modified_gmt":"2019-02-06T20:50:49","slug":"a-new-esg-risk-metric","status":"publish","type":"post","link":"https:\/\/www.eticasgr.com\/en\/storie\/insights\/a-new-esg-risk-metric","title":{"rendered":"A new ESG risk metric"},"content":{"rendered":"<p><strong>ESG\u00a0Risk<\/strong> is the risk deriving from Environmental, Social and Governance factors impacting the performance of securities in a mutual fund. There is no satisfactory metric for ESG risk in the current literature and a new and rigorous approach to building fund portfolios is needed.<\/p>\n<p>Given the peculiar nature of Etica Sgr&#8217;s business and the importance it places on the ESG aspects of its products, we thought it would be interesting to <strong>design a proprietary metric<\/strong>\u00a0for ESG risk with statistical and predictive value, correlated with the traditional financial risk of the portfolio.<\/p>\n<p>Starting from the concept of\u00a0<strong>entropy<\/strong> and taking as input the weightings in the portfolio and the\u00a0<strong>ESG scores of the securities<\/strong>, i.e. extra-financial evaluations of the companies and countries conducted by Etica Sgr&#8217;s Research Team, we were able to demonstrate a robust <strong>statistical correspondence<\/strong> between ESG risk and traditional portfolio financial risk (non-diversified VaR).<\/p>\n<p>We believe this is a first major step towards the integration of ESG variables in the total calculation of investment risk, and a valuable contribution to determining asset allocation or defining new risk\/return metrics when evaluating overall fund performance.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>ESG\u00a0Risk is the risk deriving from Environmental, Social and Governance factors impacting the performance of securities in a mutual fund. There is no satisfactory metric for ESG risk in the current literature and a new and rigorous approach to building fund portfolios is needed. Given the peculiar nature of Etica Sgr&#8217;s business and the importance [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":16616,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[590],"tags":[323,8743],"yst_prominent_words":[],"class_list":["post-13875","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-insights","tag-esg","tag-institutional-investor","temi-responsible-finance"],"_links":{"self":[{"href":"https:\/\/www.eticasgr.com\/en\/wp-json\/wp\/v2\/posts\/13875"}],"collection":[{"href":"https:\/\/www.eticasgr.com\/en\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.eticasgr.com\/en\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.eticasgr.com\/en\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.eticasgr.com\/en\/wp-json\/wp\/v2\/comments?post=13875"}],"version-history":[{"count":2,"href":"https:\/\/www.eticasgr.com\/en\/wp-json\/wp\/v2\/posts\/13875\/revisions"}],"predecessor-version":[{"id":24054,"href":"https:\/\/www.eticasgr.com\/en\/wp-json\/wp\/v2\/posts\/13875\/revisions\/24054"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.eticasgr.com\/en\/wp-json\/wp\/v2\/media\/16616"}],"wp:attachment":[{"href":"https:\/\/www.eticasgr.com\/en\/wp-json\/wp\/v2\/media?parent=13875"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.eticasgr.com\/en\/wp-json\/wp\/v2\/categories?post=13875"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.eticasgr.com\/en\/wp-json\/wp\/v2\/tags?post=13875"},{"taxonomy":"yst_prominent_words","embeddable":true,"href":"https:\/\/www.eticasgr.com\/en\/wp-json\/wp\/v2\/yst_prominent_words?post=13875"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}