Case Study: Top/Bottom-ESG Long/Short Trading Strategies
Which trading strategies are there to build using ESG Data? This article will display some backtesting strategies the Sensefolio Market Intelligence team has built for the period 2004/12–2020/05.
This article aims to show how Top ESG-Score companies are outperforming the Bottom ESG-Score companies over the medium to long-term using ESG data provided by Sensefolio and its Market Intelligence team.

Please note: Past performance may not be indicative of future results. The material in this presentation is for informational purposes only and does not constitute an offer to sell, a solicitation to buy, a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by Sensefolio, Sense Portfolio SAS, Sensefolio Ltd, or its employees.
TRADING STRATEGIES USING ESG DATA (USA)
Period: 2004/12–2020/05
Coverage: 2,000 Largest US Companies (by Market Cap.)
Long Position: Top Companies with (ESG Score > 60) & (Top 2-Months∆ ESG Score)
Short Position: Bottom Companies with (ESG Score < 40) & (Bottom 2-Months∆ ESG Score)

TRADING STRATEGIES USING ESG DATA (EUROPE)
Period: 2004/12–2020/05
Coverage: 2,000 Largest Europe Companies (by Market Cap.)
Long Position: Top Companies with (ESG Score > 60) & (Top 2-Months∆ ESG Score)
Short Position: Bottom Companies with (ESG Score < 40) & (Bottom 2-Months∆ ESG Score)

TRADING STRATEGIES USING ESG DATA (ASIA)
Period: 2004/12–2020/05
Coverage: 2,000 Largest Asia Companies (by Market Cap.)
Long Position: Top Companies with (ESG Score > 60) & (Top 2-Months∆ ESG Score)
Short Position: Bottom Companies with (ESG Score < 40) & (Bottom 2-Months∆ ESG Score)

TRADING STRATEGIES USING ESG DATA (JAPAN)
Period: 2004/12–2020/05
Coverage: 2,000 Largest Japan Companies (by Market Cap.)
Long Position: Top Companies with (ESG Score > 60) & (Top 2-Months∆ ESG Score)
Short Position: Bottom Companies with (ESG Score < 40) & (Bottom 2-Months∆ ESG Score)

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