全球ESG研究：可持續(xù)投資業(yè)績更新

1、CS Global ESG ResearchSustainable investing March-20 performance update06 April 2020 Equity Research EuropeResearch TeamHead of Global ESG Research Eugene Klerk HYPERLINK mailto:eugene.klerk eugene.klerk+ 44 207 883 4678Richard Kersley HYPERLINK mailto:richard.kersley richard.kersley+ 44 207 888 031

2、3Ben Lyons HYPERLINK mailto:benjamin.lyons benjamin.lyons+ 44 207 888 8742DISCLOSURE APPENDIX AT THE BACK OF THIS REPORT CONTAINS IMPORTANT DISCLOSURES, ANALYST CERTIFICATIONS, LEGAL ENTITY DISCLOSURE AND THESTATUS OF NON-US ANALYSTS. US Disclosure: Credit Suisse does and seeks to do business with c

3、ompanies covered in its research reports. As a result, investors should be aware that the Firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision.Sustainable Investment St

4、rategies: Our approachOur approach: we start with Impact rather than ESG We use a 5 step approach focused on ImpactWe see our themes as structural growth topicsSelecting themes or stocks using external ESG data providers may not be idealInvestors with an Impact focus can use the financials implicati

5、ons that SDGs provideWe use a multi-step process to selecting the most attractive themes and stocks with ImpactWe do not use ESG metrics or scores until after our stock selection process Our investment process: From SDG connected theme to stock ideasThemeSelectionStockSelectionESGFilterTop 3ThemesMo

6、stAttractiveCompaniesSelect themes which positively contribute to achieving the UNs 17 SDGs For each themeidentify universe of stocks with strong exposure to it Manually review the universe of stocks and remove thosewiths ignificant ESG red-flags Using HOLT Screen for the 3 mostattractive themes bas

7、ed on Quality, Momentum and Sustainability For the 3 mostattractive themes,screen for companies scoring 50 forQuality/Momentum and Sustainability1 Theme SelectionThe SDGs provide a straightforward startMeeting the SDG targets provides structural growth potentialThe 17 SDGs form a group of broader so

8、cial and environmental targets that countries are required to achieve by 2030.Some 169 sub-targets have been set in total.Investors seeking exposure to broader Impact themes increasingly use the UN SDGs as a framework for investingAnnual investments required to meet the sub-targets average cUS$7trn

9、until 2030 according to the UNWe view the SDG targets as providing structural growth dynamics for exposed companies17 Sustainable Development Goals have been adopted: 169 key targets set for countries to achieve by 2030Annual Investment Requirements (US$bn) by key sector. We see the SDG as providing

10、 structural growing demand1 ThemeSelectionSelecting themes with SDG exposureWe use themes to gain access to multiples SDGsWe have selected 11 themes with ImpactWe believe that these themes have direct and indirect exposure to a range of SDGsRelevant companies therefore can be connected to these SDGs

11、 tooWe expect to increase our range of Impact themes in the futureCredit Suisse Impact Themes and relevance for SDGs1No Poverty2Zero Hunger3Good Health and Well-Being4Quality Education5Gender Equality6Clean Water and Sanitation7Affordable and Clean Energy8Decent Work and EconomicGrowth9Industry, Inn

12、ovation andInfrastructure10Reduced Inequalities11Sustainable Cities and Communities12Responsible Consumption andProduction13Climate Action14Life Below Water15Life on Land16Peace, Justice and StrongInstitutionsAgeingBuilding a Zero Carbon WorldCircular Economy - PlasticDiversityEducationFuture of Wor

13、k - AutomationHealthy LivingInfrastructureRenewable EnergySustainable TransportWater1 ThemeSelectionStructural growth credentials of our themes Historical performance is goodSales & earnings growth by themeAll of our themes have shown superior sales and earnings growth compared to MSCI global on ave

14、rage for the past 5 yearsMSCI Global averages 1% sales growth vs our most preferred theme, Education at c10%For EPS growth, MSCI Global has averaged less than 4%, less than all our 11 impact themesHigher ranked themes have typically shown higher sales and EPS growth in the past Average sales growth

15、over the last 5 years Average earnings growth over the last 5 years2 StockSelectionSelecting stocks for each of our themes We engage with our analystsKey characteristics of our current stock universeBelow we list the current universe statistics for the stocks chosen at this point3 ESGFilterScreening

16、 for potential issuesCompanies we excludedWe analyse public data sources to assess whether a companys historic behaviour is a reason for exclusion.To do this, we assess potential ESG red-flags and make a subjective judgement on whether they warrant exclusionWe only focus on events which occurred wit

17、hin the last 3 yearsExamples include: frequent auditor changes, ongoing governance issues or social improprietyGoing forward we will regularly track our existing portfolio to flag any events which may warrant exclusion from our universe8007006005004003002001000Universe of Companies Exposed to our Th

18、emesUniverse Post-ESG Screen4 ThemerankingBack-testing our investment strategyQuality and Momentum for Theme selection is keyOur investment approach is new, but well-foundedHigh Quality and Momentum growth names tend to perform better than other “forms” of growthQuality and Momentum over ValuationIn

19、 our thematic work we have advocated the use of two HOLT metrics: Quality and MomentumIn a low growth and interest rate environment, these metrics appear to be more important than Valuation in driving stock returnsOver the past 5 years, a basket of high Quality and strong Momentum stocks has outperf

20、ormed a high scoring Valuation basket by 47.76%A Thematic approach outperformsAlthough our Sustainable Investment Strategy framework is new, our Investing for Growth (I4G) process has a sizeable period to enable back-testing of a thematic approachIn I4G we selected those companies scoring above aver

21、age on Quality and Momentum for the top 3 themes, an approach we apply in Sustainable Investment Strategies, although with a Business Sustainability scoreOur I4G approach outperformed MSCI world by 47.79% since inception Rolling performance of our Investing for Growth strategy4 ThemerankingWe rank o

22、ur themes using 3 variables We introduce Business SustainabilityWe dont use ESG metrics at this stageWe know the relevance of Quality and Momentum as parameters for structural growth stocks in generalWe add a new factor: Business Sustainable Risk. This aims to identify companies that have above-aver

23、age resilience in their operations to suggest that they remain positively exposed to the selected themes and SDGsThe Business Sustainability Risk factor includes: Accounting risk, Balance sheet risk and Innovation riskInput for our Business Sustainability Risk factorBusiness Sustainability Risk Comp

24、onentWeightAdditional inputCredit Risk ScoreNet Debt / EBITDAR33%Weighted average score based on 5-year average for the variable (75%) and its co-efficient of varation (25%)Leverage at Market33%Weighted average score based on 5-year average for the variable (75%) and its co-efficient of varation (25

25、%)HOLT Fixed Charge Ratio33%Weighted average score based on 5-year average for the variable (75%) and its co-efficient of varation (25%)Innovation Risk ScoreCapitalised R&D + Intangibles / Sales25%Weighted average score based on 5-year average for the variable (75%) and its co-efficient of varation

26、(25%)(Capitalised R&D + intangibles) / (Gross25%Weighted average score based on 5-year average for the variable (75%) and its co-efficient of varation (25%)Investment + intangibles)Sales per employee25%Proxy for impact of technological change. 5year CAGR of sales/employee usedSales / Gross Investmen

27、ts25%CAGR over 5 year period to indicate directional improvement in overall efficiencyAccounting Quality ScoreRevenue Recognition25%Scoring based on multiplying materiality of the variable with the risk and trend of it- Accounts receivable75%Materiality: receivables/sales (5yr average). Risk: co-eff

28、icient of variation and current vs 5yr average- Deferred revenue25%Materiality: deferred revenue/sales (5yr average). Risk: co-efficient of variation and current vs 5yr averageCost Recognition25%Scoring based on multiplying materiality of the variable with the risk and trend of itDepreciationAccount

29、s payableInventory33%33%33%Materiality: depreciation/gross cash flow (5yr average). Risk: co-efficient of variation and net plant/gross plant Materiality: Acc.pay/COGS (5yr average). Risk: co-efficient of variation and current vs 5yr averageMateriality: inventory/sales (5yr average). Risk: co-effici

30、ent of variation and current vs 5yr avg.In addition variation in gross margin also usedCash flow structure25%Scoring based on multiplying materiality of the variable with the risk and trend of itSpecial Items40%Materiality: special items/gross cash flow (5yr average). Risk: % of years with special i

31、temsNet Income40%Materiality: net income/gross cash flow (5yr average). Risk: co-efficient of variation and current vs 5yr average.Also number of years with different trend in EPS vs CFROIStock Compensation20%Materiality: stock compensation/sales (5yr average). Risk: co-efficient of variation and cu

32、rrent vs 5yr averageBalance sheet recognition25%Scoring based on multiplying materiality of the variable with the risk and trend of it- Other liabilities50%Materiality: other liabilities/gross investment (5yr average). Risk: co-efficient of variation and current vs 5yr average- Intangibles50%Materia

33、lity: intangibles/assets (5yr average). Risk: co-efficient of variation and current vs 5yr average. Also amortization as % of cashflow vs 5yr averageSustainable Investment Strategies: Results so farPerformance to dateRanking themes on Quality, Momentum and Business ResilienceOur Sustainable Investme

34、nt FrameworkOur investment approach towards sustainable themes uses Quality (cash flow return credentials), Momentum (mainly analyst revision) and our proprietary Business Resilience Indicator as factors to assess which themes are most attractive. Of the top 3 ranked themes we select those constitue

35、nts that score above average on the same factors.In March the stocks selected from our top 3 ranked themes (Ageing, Automation and Building a Zero Carbon World) underperformed the MSCI AC World index by 240bps which represents almost the entire entire 247bps of underperformance seen since the start

36、of our process in November last year.In previous updates we highlighted that our lowest ranked theme Renewable Energy had been the best performing theme. This reversed in March as Renewable Energy stocks fell by 20% on average, the 4th worst of our 11 themes.Plastic and Automation exposed stocks wer

37、e the best performers in March. Performance since launch early November Statistics by theme and overallSincePrice performanceMarchJan-FebInceptionAbove avg Quality-Momentum and Sustainability-18.3%-9.7%-20.6%MSCI AC World-16.3%-9.3%-18.6%Alpha of Strategy (bps)-240-48-247Price performanceMarchJan-Fe

38、bSince inceptionAgeing-18.1%-10.0%-21.2%Building a Zero Carbon World-22.9%-10.1%-24.9%Circular Economy - Plastic-13.1%-9.6%-14.4%Diversity-18.3%-12.2%-24.6%Education-17.4%-4.6%-16.4%Future of Work - Automation-16.0%-7.5%-18.8%Healthy Living-20.6%-15.2%-26.8%Infrastructure-19.8%-11.4%-26.0%Renewable

39、Energy-20.0%3.5%-7.6%Sustainable Transport-23.9%-15.3%-34.6%Water-18.2%na-22.8%MSCI AC World-16.3%-9.3%-18.6%stocks in top three themesNote: Blue font color denotes outperformance relative to MSCI AC WorldUpdated ranking of our themesBuilding a Zero Carbon World up to 3rd (Healthy down to 4th)Averag

40、e of Q, M and S Top and bottom ranked themes unchangedWe only change our portfolio once a quarter, however, we do track the ranking on a monthly basisRelative to last month we find that the top 3 themes remain unchanged with Ageing, Automation and Building Energy Efficiency related companiesRenewabl

41、e Energy remains our bottom ranked theme even though the overall score improved somewhat. Plastic and Sustainable transport exposed companies continue to be ranked in the bottom 3 themes too. Average Quality & Momentum change by theme Our themes on our thee metricsRanking our themesBusiness Sustaina

42、bility ScoresThe variable does not change much Ranking on business sustainabilityOur business sustainability score assesses the relative ability of a company to incorporate change or transition if needed. We use Credit Risk, Innovation focus and Accounting quality metrics to rank our themes.Automati

43、on and Ageing exposed companies have the most resilient business characteristics in our view.The bottom 2 ranked themes remain the same (Infrastructure and Renewable Energy).Our top and bottom ranked themes (Ageing and Renewable Energy) have opposite characteristics for Quality and Momentum. We show

44、 the ranking of our themes for each of the 5 factors Our themes on each of the 3 Sustainable Risk factorsUpdated quantitative stock screen Best stocks in the top 3 ranked themesAgeing-related stocksUpdated quantitative stock screen Best stocks in the top 3 ranked themesFuture of Work Automation & Bu

45、ilding a Zero Carbon WorldAll 6PmarksCompanyTPCS TPMCSalesEarningsQualityUpside(US$ bn)MomentumAverage Quality &MomentumBusinessSustainabilityHolt E-CapAw ardESG MomentumConsensus 20-22 CAGRPercentile rankFuture of Work-AutomationSTEPnana0.4nana43766053uAdvantech Co., Ltd.NT$ 31024%5.811%14%67345070

46、PShenzhen Inovance TechnologyRmb 25-4%6.3nana76586757PBaosightnana4.7nana56917456Ecovacsnana1.5nana87667761uKeyencenana78.612%14%67445561PAutodesk Inc.US$ 21035%34.318%35%69445656AspenTechnana6.53%na98537559Dassault Systemes 17832%39.19%13%57867260PEaton CorporationUS$ 10839%32.01%11%68576355PHexago

47、n ABnana15.17%11%79556762PHoneyw ell International Inc.US$ 19019%94.64%9%65566055PIMIp 95027%2.52%8%73355451uIntuitivenana57.814%15%74355560PIsra Visionnana1.211%na44565062Kukanana1.3nana43675556uMelexisnana2.1nana84386163PPentairnana5.03%6%81486455PRockw ell AutomationUS$ 19127%17.54%8%69616562PRot

48、orkp 28030%2.32%6%94296155uSchneider Electric 11546%49.45%13%57485261PSpectrisnana3.53%7%76456058uStryker Corp.US$ 24748%62.47%10%68747157PuZimmer Biomet Holdings, IncUS$ 11514%20.95%14%75606760PBuilding a Zero Carbon WorldGree ElectricRmb 8053%44.34%2%76496262PRinnainana3.72%5%29865759Haier Smart H

49、omeRmb 2358%12.85%0%51675952PDaikin Indnana35.84%7%58615957PArcadisnana1.43%5%65515851uAcuity BrandsUS$ 11332%3.4nana82185058PForterranana0.42%20%42936852GeberitSFr 47010%15.93%4%79456266PuHalmap 20306%9.1nana78767764PHubbellnana6.23%9%75586759PItronnana2.2nana54877057Kingspan Groupnana9.74%7%696869

50、59PLegrand SA 6511%17.25%8%71506164PSignify 197%2.52%17%36795751Lennox InternationalUS$ 25239%7.01%9%84506754PNibe Industriernana6.54%4%67887759POw ens Corningnana4.22%11%55465055uSikaSFr 19019%23.76%11%63726855PSTMicroelectronics NV 2635%20.09%26%26956164Sw econana3.25%8%75868164PWesco Intlnana1.03

51、%17%77315452Watsconana5.22%5%63495652PIdeas with Impact: Key Outperform rated stocksIdeas with ImpactPerformance of key analyst ideas across all themesRecent market correction has eliminated early outperformanceESG ThemeCompanyRICPrice performance (localcurrency)SinceMarchJan-Feb inceptionAIWI 30Age

52、ingAIA Group1299.HK-8.2%-6.0%-15.8%Novo Nordisk A/SNOVOb.CO1.6%2.4%8.0%StraumannSTMN.S-21.1%-5.2%-18.8%DENTSPLY-SIRONAXRAY.OQ-21.8%-13.0%-32.0%CSPC Pharmaceutical 1093.HK-13.2%-4.4%-27.5%The Estee Lauder CoEL.N-17.6%-11.1%-14.9%Building a Zero Carbon WorldGree Electric000651.SZ-13.0%-9.7%-18.1%Acuit

53、y BrandsAYI.N-16.5%-25.5%-33.2%In addition to our quantitative theme and stock selection process we also provide investors with our analyst-driven key OP rated stocks for all the themes.These Ideas with Impact outperformed MSCI AC World by 71bps in March.We highlight the constituents in the table. K

54、ey statistics Price performanceMarchJan-FebSince InceptionAIWI 30-15.7%-10.4%-19.2% MSCI AC World-16.3%-9.3%-18.6% Alpha of Strategy (bps)71-127-74 Performance since launch early November HalmaHLMA.L-3.8%-8.8%0.3% Circular Economy - PlasticCrown Holdings Inc.CCK.N-21.8%-2.8%-21.9%DiversitySony6758.T

55、-6.6%-10.7%-2.0%ASML HoldingASML.AS-3.1%-5.9%-0.4%Pernod-RicardPERP.PA-13.3%-8.2%-21.4%.auCAR.AX-27.3%-2.5%-26.0%Visa Inc.NKE.N-16.2%-3.3%-9.7% EducationFuture of Work - AutomationNew OrientalDassault SystemesEDU.PDAST.PA-19.5%-4.3%5.5%-3.1%-12.4% -1.6%Honeywell IntlHON.N-18.5%-8.4%-25.5%Schneider E

56、lectricSCHN.PA-14.8%-1.1%-9.8%Stryker Corp.SYK.N-15.6%-9.2%-17.1%Healthy LivingVF CorporationVFC.N-27.6%-27.8%-37.4%Li Ning2331.HK7.1%-12.2%-12.7%InfrastructureBarratt DevelopmentsBDEV.L-41.2%1.4%-31.1%Ingersoll-Rand Inc.IR.N-24.4%-10.6%-25.4%Ashtead GroupAHT.L-26.7%-1.0%-26.2%Renewable EnergyEaton

57、CorporationETN.N-18.8%-4.2%-14.5%Parker HannifinPH.N-32.6%-10.2%-34.9%Sustainable TransportHyundai Mobis012330.KS-18.1%-18.0%-31.4%WaterJacobs EngineeringJ.N-18.2%2.8%-16.8%Danaher CorporationDHR.N-8.1%-5.8%-14.1%Coway021240.KS-17.3%-26.0%-34.7%MSCI AC World-16.3%-9.3%-18.6% NovozymesNZYMb.CO-12.9%5

58、.2%-3.3% Scatter charts for our sustainable themesAgeingScatter and stock stats Ageing stocks (only those covered)Outperform rated ageing companies with strong scores for Quality, Momentum and Refinitiv ESG scores include: BlackRock, Sonova and Allianz.Below we detail momentum performance on ESG-rel

59、ated metrics for those companies showing above average on Quality, Momentum and Sustainability, as well as showing net positive momentum on these metrics. Ageing stocks that score above average on Quality, Momentum, ESG score and show ESG improvementBuilding a Zero-Carbon World Scatter and stock sta

60、ts Building a Zero Carbon World stocksBuilding energy efficiency exposed companies rank 3rd in our theme ranking. Valuation support, however, appears somewhat challenging for those companies that score well on Quality, Momentum and ESG.Below we detail momentum performance on ESG-related metrics for