SusFin Data Analysis Homework: Week 3

Part I: BlackRock ESG ETF Data

Net Asset - a histogram

Figure 1-1 explores the fund’s net asset size and whether it correlates with ESG ratings.

This chart is less readable because of the presence of an outlier, the "iShares Core S&P 500 ETF" with a net worth of $300 billion. Remove this fund to get a new graph, i.e. Figure 1-2.

As shown, the vast majority of BlackRock's ETFs are concentrated in the net asset size range of US$0-10 billion, with most of them having an ESG rating of AAA or higher. Beyond that, there is no other significant correlation between a fund’s net assets and its ESG rating.

Net Asset - a box plot

Same as above, Figure 2 explores whether the fund’s net asset size correlates with their ESG ratings, but through a different visulisation.

By removing 38 observations that lack ESG rating data and 1 observation with too high net assets, we can more easily draw findings from the box plot. It can be seen that the net assets of ESG ETFs are mostly concentrated below USD 10 billion. Among them, funds rated A, AA and AAA have more outliers, which are basically in the range of $10-40 billion.

Asset Class

Figure 3 shows the ETF’s asset classes and ESG ratings in both developed and emerging markets.

As shown, Equity accounts for the majority of both developed and emerging markets, followed by Fixed Income. There are also small amounts of Multi Assets and Real Estate, which exist almost exclusively in developed markets.

Part II: Comparing ESGU and IVV

ESG Tilts and Investment Type

Figure 4 explores the ETF’s ESG Tilts (a positive value is desired) and their investment type (only in ESG, only in standard, or both).

This is a very clear result. As can be seen, the ESG tilt of funds investing only in ESG portfolios is high and concentrated in positive values; while the ESG tilt of funds investing only in regular portfolios is low and concentrated in negative values, in addition to having more lower outliers.

ESG Tilts and Sector

In Figure 5, we place ETFs into five categories based on their ESG Tilt scores from highest to lowest, and then compare the distribution of funds across sectors within these five categories.

By comparing the relative distribution of ETFs across different sectors in the 5 ESG Tilt grading, we can learn that:

1. ETFs in the communication sector itself are fewer in number and mainly concentrated in the lower-ranked ESG Tilt;

2. ETFs in the information technology sector are concentrated in the top 60% of the ESG Tilt;

3. ETFs in the industrial sector are concentrated in the bottom 40% of the ESG Tilt; 
4. Consumers, energy, finance, health care, materials, real estate and utility sectors are relatively evenly distributed, with no clear pattern.

ETF Sector, and Investment Type

In Figure 6, we take into account a combination of the ETF’s ESG Tilts, Sector, and Investment Type and explore their correlation in pie charts.

Funds investing only in ESG portfolios only has esg etf values while funds investing only in regular portfolios only has standard etf values. For those funds that invest in both ESG and regular portfolios, there is a significant positive correlation between their esg etf and standard etf.