Results show that a new ESG signal produces 8 percent outperformance in annualized returns, an indicator of robust performance
SAN FRANCISCO, CA / October 16, 2018 / Truvalue Labs, the pioneer in AI-driven environmental, social, and governance (ESG) data, today announced the results of a new research report that demonstrates that the company’s ESG factors enable significant annual outperformance vs. the All Country World Ex-US index (ACWX) benchmark over a 10-year period.
The study introduces a new “ESG Activity Signal” for which the top quintile of companies ranked by the factor beat the ACWX index by 7.9 percent annually. In English-speaking countries, the strategy produced 9.8 percent outperformance, and in non-English-speaking countries, 6.4 percent. The ESG Activity Signal shows low correlation to typical smart beta factors, enabling top quintile performance of 9.0 percent and a quintile spread of 9.8 percent in combination with typical smart beta factors.
“We found strong value outside the U.S., and it is additive to smart beta approaches,” said Dr. Stephen Malinak, Chief Data and Analytics Officer for Truvalue Labs. “This study shows that alpha-generating signals derived from unstructured data sources can provide significant outperformance for investors with international portfolios, whether they include companies based in English-speaking or non-English-speaking countries.”
The study, “Finding Alpha from ESG 2.0 Factors Beyond the U.S.,” examines the historical performance of global portfolios constructed with Truvalue Labs’ data. Truvalue Labs’ ESG methodology incorporates both positive and negative company actions calculated on a daily basis and thereby provides investors with more timely, actionable information in their investment decisions.
“This research confirms that when companies perform well on Truvalue Labs’ platform with high event volume, there’s great potential for investors,” said Hendrik Bartel, CEO and Co-Founder of Truvalue Labs. “We’re excited to offer more than a decade of historical ESG data for international companies in order to help asset managers find new sources of alpha.”
About Truvalue Labs™
Truvalue Labs applies artificial intelligence to help investment managers uncover timely and material environmental, social, and governance (ESG) information. With the ability to analyze and interpret massive unstructured data at a scale never before possible, and in real-time, our AI-powered solution helps uncover opportunities and risks that others miss. By quantifying intangible factors that have a material impact on company value, we empower investment professionals with unique insights to make better informed, more timely decisions. For more information, go to www.truvaluelabs.com.
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