麦格理ESG利率调查

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1、25November2019AustraliaEQUITIESCompanieswithlowESGscoreshaveunderperformedthosewithhighESGscoresESGEquityStrategyKeypointsêWeupdateourproprietaryESGRatingson231Australian-listedcompaniesfor2019disclosures,covering87%oftheASX300bymarketcapitalisationêThebasketofcompanieswiththehighe

2、stESGscoreshasseenrelativeoutperformanceof4.2%annualisedoverthebottombasketsince2011êCompaniesthatperformwellonESGratings&analystrec’sintheASX100include:ALQ,AMC,CSL,CWY,FMG,NEC,QAN,SYDandXROMacquarie’s2019ESGRatingsSurvey180%160%Cumulativereturns140%120%100%80%60%40%20%0%-20%Sep11Se

3、p12Sep13Sep14Sep15Sep16Sep17Sep18Sep19TopScoringCompaniesBottomScoringCompaniesCompanieswithhighESGscoresprovideabetterrisk-returnprofileX1(basketofstockswithhighestESGscores)exhibithigherreturns(14%)andlowervolatility(11%)(betterinformationratio)ReturnsX2(basketofstockswithmiddleES

4、Gscores)producereturnsof12%andvolatilityof12%X3(basketofstockswithlowestESGscores)exhibitlowerreturns(10%)andhighervolatility(14%)(lowerinformationratio)Risk(volatility)X1=basketofstockswithhighestESGscoresX2=basketofstockswithmiddleESGscoresX3=basketofstockswithlowestESGscoresAllba

5、sketsareequallysized1Macquarie’sESGRatingsSurveyincludesASX-listedcompaniescoveredbyastockcoveringanalystSource(bothcharts):MacquarieResearch,November2019AnalystsMacquarieSecurities(Australia)LimitedAnitaStanley,CFA+61282329869anita.stanley@macquarie.comLindaCarlanita,CFA+6128232592

6、5linda.carlanita@macquarie.comEvent·WeupdateourproprietaryESGRatingson231Australian-listedcompanies1for2019disclosures,covering87%oftheASX300bymarketcapitalisation.Impact·HighESGscorerscontinuetodeliverhigherrisk-adjustedreturns.ThebasketofcompanieswiththehighestESGscoreshasoutperf

7、ormedthebottombasketsincetheinceptionofoursurveyin2011.Therelativeoutperformanceis4.2%onanannualisedbasis.ThereisalsoastrongrelationshipbetweenrevisionstoESGscoresasasignalforfutureperformance.CompanieswiththelargestpositiverevisionstotheirESGscoreshaveoutperformedthosewithnegativer

8、evisionsby4.1%annua