This is a project on ESG integrated strategy
Abot the Data:
- Originally I chose the MSCI world ETF as the pool for selecting stocks, because it covers a wide range of countries and different sectors, while I was scrapping the info, I found that many foreign companies don't have ESG scores available.
- In the end, about half of the ETF holdings(~500 stocks) have ESG risk scores
- You can find both csv files, the URTH holding and the one created with only companies have ESG risk scores
The first step is scrapping ESG risk scores from Yahoo Finance.
- This step is quite easy, but I'm not sure if I'm using the best way
- However it could be a good start if you desperately need some ESG data
Then there's analysis on the ESG data by sector, trying to implement the best-in-class approach
This is a project in progress, if possible I would like to compare the return of ESG integrated strategies on different levels
- exlusion
- positive tilt
- best in class
- ESG ETFs
- impact funds