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ESG Ratings and Performance of Corporate Bonds

Simon Polbennikov, Albert Desclée, Lev Dynkin and Anando Maitra
The Journal of Fixed Income Summer 2016, 26 (1) 21-41; DOI: https://doi.org/10.3905/jfi.2016.26.1.021
Simon Polbennikov
is a senior analyst with Quantitative Portfolio Strategy at Barclays Research in London, U.K.
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  • For correspondence: simon.polbennikov@barclays.com
Albert Desclée
is a managing director with Quantitative Portfolio Strategy at Barclays Research in London, U.K.
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  • For correspondence: albert.desclee@barclays.com
Lev Dynkin
is a managing director and head of Quantitative Portfolio Strategy at Barclays Research in New York, NY.
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  • For correspondence: lev.dynkin@barclays.com
Anando Maitra
is a senior analyst with Quantitative Portfolio Strategy at Barclays Research in London, U.K.
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  • For correspondence: anando.maitra@barclays.com
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Abstract

The authors study the historical relationship between environmental, social, and governance (ESG) ratings and corporate bond spread and performance, finding that corporate bonds with high composite ESG ratings have slightly lower spreads, all else being equal. They also find that bonds with high ESG ratings have modestly outperformed their lowerrated peers when controlling for various risk exposures. They provide details on the effects of individual E, S, and G scores on performance. The outperformance of low-ESG issuers by their high-ESG peers through the past eight years has not been accompanied by increasing relative valuation. This suggests that the ESG performance gain is not a consequence of buying pressure and therefore might be retained.

TOPICS: Fixed income and structured finance, ESG investing, performance measurement

  • Copyright © 2016 Barclays Research. All rights reserved. Not to be reproduced or redistributed without permission.
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The Journal of Fixed Income: 26 (1)
The Journal of Fixed Income
Vol. 26, Issue 1
Summer 2016
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ESG Ratings and Performance of Corporate Bonds
Simon Polbennikov, Albert Desclée, Lev Dynkin, Anando Maitra
The Journal of Fixed Income Jun 2016, 26 (1) 21-41; DOI: 10.3905/jfi.2016.26.1.021

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ESG Ratings and Performance of Corporate Bonds
Simon Polbennikov, Albert Desclée, Lev Dynkin, Anando Maitra
The Journal of Fixed Income Jun 2016, 26 (1) 21-41; DOI: 10.3905/jfi.2016.26.1.021
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  • Article
    • Abstract
    • PERFORMANCE OF ESG AND SRI CORPORATE BOND INDICES
    • CHARACTERSTICS OF MSCI ESG SCORES
    • STATISTICAL ANALAYSIS OF ESG SPREAD AND PERFORMANCE PREMIA
    • TRACKING ERROR PERFORMANCE OF ESG PORTFOLIOS
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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