A0913
Title: Market implied ESG ratings
Authors: Gabriele Torri - University of Bergamo (Italy) [presenting]
Rosella Giacometti - University of Bergamo (Italy)
Jacopo Maria Ricci - University of Bergamo (Italy)
Abstract: The composition of mutual funds is analysed, and the weights and the frequency of assets are compared and included in sustainable funds classified according to the sustainable finance disclosure regulation (SFDR) framework in order to infer the implied vision of the market beyond the official ESG rating. SFDR is a European regulation introduced to improve transparency in the market for sustainable investment products, to prevent greenwashing and to increase transparency around sustainability claims made by financial market participants. The SFDR has been interpreted by the market participants as a way to classify/rate products based on their focus on ESG investments. Specifically, while funds belonging to Articles 9 (products that have sustainable investment as their objective) and 8 (financial products that promote, among other characteristics, environmental or social characteristics, or a combination of those characteristics) both integrate a certain degree of ESG goals, article 6 funds do not have a sustainability scope. In particular, under/overweighting is used in Article 9 w.r.t. and Article 6 funds to derive a new rating system. According to this new classification, the behaviour of the constituents of the new sustainable rating system is studied and optimal portfolios are constructed using five well-known portfolio selection models (mean-variance, mean-CVaR, mean-EVaR, maximum Sharpe ratio and equally weighted).
