Backtest results show clear outperformance on S&P 500™ stock universe for companies with positive ESG Momentum™
TruValue Labs™ today announced the release of its new Insight360 Data Service, the first alternative dataset that leverages artificial intelligence, big data and the Sustainability Accounting Standards Board™ (SASB™) materiality framework. Backtest study results show a portfolio of companies selected from the S&P 500 universe with good overall environmental, social and governance (ESG) Insight Scores™ and positive ESG Momentum Scores™ outperform the benchmark over a five-year period.
“I’ve been evaluating alternative data sets for more than 10 years and this is one of the most unique and promising that I’ve found for developing powerful new uncorrelated factors,” said Dr. Stephen Malinak, Chief Data and Analytics Officer at TruValue Labs. “We’re delighted to see such positive results from some of the most actively traded stocks in the world.”
TruValue Labs used Quantopian’s™ high-performance quant platform to run the backtest which enabled rapid comparison to other well-known quant factors. The study found that the new ESG factors are truly novel, with low correlations that make them additive to typical smart beta strategies.
“This highlights a growing trend of institutional use of our platform,” stated John Fawcett, CEO of Quantopian. “TruValue Labs shows how Quantopian’s power, speed, and ease of use can help get a data product to market quickly.”
TruValue Labs leveraged the SASB Materiality Framework to create three key scores at the company and category level: a timely Pulse Score™, which charts ESG activity as events happen, a longer-term measure of ESG performance called the Insight Score, which is suitable for portfolio and index construction and the ESG Momentum Score, which quantifies the positive or negative ESG momentum of a company. All three scores enable a range of investment strategies, leveraging artificial intelligence to analyze the massive volume of publicly available data on companies. These scores are now available in a data feed for use in quantitative investment processes, as well as via desktop software, Insight360™, for fundamental research use.
“There is mounting evidence that financially material ESG factors have an impact on long-term financial returns and risk,” said Janine Guillot, Director of Capital Markets Policy and Outreach at SASB. “SASB’s rigorous standards-setting process is transparent, evidence-based and market-informed. I am pleased to see that SASB’s framework is being applied in new studies and tools that can help investors focus on these material ESG factors.”
“We’ve spent many years training our artificial intelligence engine on important intangible risk and value factors,” said Hendrik Bartel, CEO and co-founder of TruValue Labs. “It’s exciting to see the alpha that we expected to find using our timely, objective, alternative ESG data validated by Dr. Malinak’s study.”
About TruValue Labs™
TruValue Labs is the first company to apply artificial intelligence (AI) to uncover timely Environmental, Social, and Governance (ESG) data on a variety of asset classes. The company’s mission is to deliver increased transparency to investment professionals by providing data and analytics that go beyond traditional fundamentals. The flagship product, Insight360™, delivers timely and investable insights by revealing intangible value and risk factors from unstructured data. Visit www.truvaluelabs.com to learn more about the SaaS product and data service.
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