Asset4 ESG dataset & scores

The corporate social responsibility dataset Asset4 ESG is available through Datastream / Eikon products. The dataset contains an overall score for companies, as well as individual scores for the four pillars on which it is based. In a nutshell it involved:

  • Overall Equal weighted rating score: A4IR
  • Corporate Governance score: CGVSCORE
  • Economic score: ECNSCORE
  • Environmental score: ENVSCORE
  • Social score: SOCSCORE

These individual 4 scores were based on a lot of components. From 2014 on Thomson stopped collecting data on some of the components and few more data measures from 2017 onwards. The related datatypes got the indicator inactive (between brackets). The old/stale data (as Thomson puts it) has, however, not been removed, or not yet.

A new methodlogy was created and these are no longer indicated as being a specific part of the Asset4 dataset but are Thomson series. The new overall scores are now:

  • The ESG score (TRESGS): is an overall company score based on the self-reported information in the environmental, social and corporate governance pillars.
  • The ESG controversies score (TRESGCCS): is calculated based on 23 ESG controversy topics. During the year, if a scandal occurs, the company involved is penalized and this affects their overall ESG Combined Score and grading
  • The ESG Combined score (TRESGCS): Thomson Reuters ESG Combined Score is an overall company score based on the reported information in the environmental, social and corporate governance pillars (ESG Score) with an ESG Controversies overlay. When companies were involved in ESG controversies, the ESG Combined Score is calculated as the weighted average of the ESG scores and ESG Controversies score per fiscal period, with recent controversies reflected in the latest complete period. When companies were not involved in ESG controversies, the ESG Combined Score is equal to the ESG Score.

In the extranet website of Datastream / Eikon a document is available explaining the new methodology in more detail. There is also an Excel document with details on data types as well as how they are calculated based on other ESG data types.
By filtering the list/glossary using the pillar column on ESG score you can also find new 10 main overall scores for companies for specific items which include: Community Score (TRESGSOCOS), Resource Use Score (TRESGENRRS), and Workforce Score (TRESGSOWOS).

In the recent past the ESG items have increasingly become important and are used by many investors as well as researchers & students. From the latter perspective I hope the inactive items (even though they are discontinued) will not be deleted from the original dataset. I hope this, because of reproducability of earlier research. The University of Manchester blog offers some additional information, including the 2015 list of Asset4 datatypes.

N.B.: The number of companies that have been covered through Asset4 has grown from about 1500 in 2002 to 7000+ these days (world wide). If you wish to know which companies are covered, you can use the Find series button to search on ASSET4 and you will get lists by country etc. This includes the Full universe list with the code: LAST4ESG


Datastream Navigator update 4.6

Recently it was announced by Thomson that the Navigator tool in Datastream will undergo some significant changes. The changes concern the addition of some important search filters to more easily allow for finding and selecting the right series and data types (variables).
Some of these filter options are older ones that have returned from a previous edition of the Datastream Navigator.

The main changes are listed in the the document that they have released and which you can find here as well.


Companies & greenhouse gas emissions

I recently got a question on greenhouse gas (GHG) emissions for individual companies. There are more options if you need data on a country: Datastream and open data country level data Quandl sources. I know only of a few sources/databases that cover this type of information on a company level. For listed companies there is the database  ASSET4 ESG: the database exists for about 12 years and started with 1500 companies. It now covers 6000+ companies worldwide. The database is available through the Datastream software (Thomson Reuters). ASSET4 ESG covers the following relevant GHG datatypes:

CO2 Equivalents Emission Direct    ENERDP024
CO2 Equivalents Emission Indirect    ENERDP025
CO2 Equivalents Emission Reduction Production (inactive)    ENERDP028
CO2 Equivalents Emission Reduction Transportation (inactive)    ENERDP029
CO2 Equivalents Emission Total    ENERDP023
CO2 Estimation Method    ENERDP124
Cement CO2 Equivalents Emission    ENERDP027
Estimated CO2 Equivalents Emission Total    ENERDP123
Fleet CO2 Emissions    ENPIDP029
Score – Emission Reduction/CO2 Reduction    ENERO05S
Score – Emission Reduction/Cement CO2 Emissions    ENERO04S
Value – Emission Reduction/CO2 Reduction    ENERO05V
Value – Emission Reduction/Cement CO2 Emissions    ENERO04V

Only three of these list specific data on CO2 (or CO2 equivalents) production in tonnes or g/km:

  • Cement CO2 Equivalents Emission ENERDP027
  • Estimated CO2 Equivalents Emission Total ENERDP123
  • Fleet CO2 Emissions ENPIDP029 Time Series N

If you need more data on companies you could also try getting the CDP or sustainability/CSR reports for the companies through sources / websites like:

Through the CDP website (after free registration) you can also view and download data for companies and governments on the greenhouse gas (GHG) emissions, water management, and forest-risk.


Sustainable & Responsible Mutual Funds and other databases

In the past I have posted an item on sustainability funds from the US SIF website with some performance data. The Mutual Funds on the website lists Tickers and names for these funds. The tickers on that website are NASDAQ Tickers. Additional information on these funds can be downloaded from the CRSP Mutual Funds part database Funds summary using a text file of these tickers. At search step2 in the WRDS platform you can choose to upload a file containing mutual fund codes:

In WRDS at step 3 you can choose to download descriptive information. If the CRSP database does not contain enough information you can select items like 8-digit CUSIP of NCUSIP as part of your download. The NCSUIP is the 9-digit CUSIP.
Using these CUSIP code you can search for more information in other databases like Compustat North America and Datastream/Asset4 ESG/WorldScope. In Compustat you can download data by creating a text file with CUSIP codes. This will run fine.

Using CUSIP 9 codes in Datastream (and for databases through datastream, like ASSET4 ESG and Worldscope) requires that the codes are enhanced by adding the letter U in front of each code. This can be easily done using the Concatenate() function in Excel. See example:

Before uploading a list of these enhanced CUSIP 9 codes, make sure to copy and paste the list in Excel to make all these CUSIP codes values! Datastream cannot upload Excel formulas. When you need to upload and work with lists in Datastream you can select the codes using the mouse and then use the Datastream option: Create list(from range):


ASSET4 ESG and Sustainability lists

Over the past 14-15 years companies have increasingly reported on Corporate Social Responsibility, Governance and (Environmental) Sustainability. The ASSET4 ESG database carries historical data going back to 2002 when it started gathering data on 1000 (mostly US and EU) companies. These days the number of companies in the database has increased to about 4500 companies.

In the same period two sustainability lists were started: the GRI list of companies using the GRI methodology, and the Global 100 list. I think most companies that currently report using the GRI methodology are covered by ASSET4 ESG. As a check you can use the GRI company list which lists companies (starting in 1999) that have reported according to the GRI guidelines. That list also states what GRI guideline level has been used. Unfortunately it is not possible to upload the GRI website list as it only has the names of the companies. That also makes it difficult to match ASSET4 ESG output with the GRI List.

You can use the variabel GRI Report Guidelines from the database to find out if a company publishes a CSR or Sustainability report in accordance with GRI guidelines for each year that ASSET4 ESG has data on the company. The output will say Yes if it does.
In all, ASSET4 ESG has three GRI related variables that you can download on companies included in the database:
1) GRI Report Guidelines – CGVSDP028
2) Score – Vision and Strategy/GRI Report – CGVSO06S
3) Value – Vision and Strategy/GRI Report – CGVSO06V

Here you see an example of this:

The Global 100 list was started in 2005 and the most current list has just been published on 2014. The list can be downloaded from the Global 100 website. The ASSET4 ESG does not have a specific Global 100 variable that identifies it as being covered. However, the Global 100 Excel list not only annually lists company names but it also has the ISIN codes of each company. That makes it easy to get data from the ASSET4 ESG database as you can upload a list of ISIN codes using the Datastream Excel Add-in option Create list (from range). 340 companies were included in the Global 100 over the period 2005 to 2014. For 330 companies it is at the moment possible to get data from the ASSET4 ESG database.


Asset4 ESG database

The database ASSET4 ESG provides environmental, social and governance (ESG) information based on 250+ key performance indicators (KPIs) and 750+ individual data points along with their original data sources. This makes it an excellent database for people looking to investigate sustainability and governance on a company level.
If available, the data(base) can be accessed through the Datastream software of Thomson Reuters. Searching for companies(/equities) and data types through Datastream works the same as any other database that can be searched with Datastream software.

There is some extra background information and help available through the Extranet option in Datastream. You can find the extranet option on the right side in the Datastream add-inn in Excel:

In the Extranet website you can find the section on Asset4 ESG on the left side under Products and Data:

In addition to background information and a Data Glossary the extranet also has two very nice Excel sample spreadsheets that you can download and use: the Company ESG Profile spreadsheet and the spreadsheet for Sector & Industry Benchmarking. These two sheets may allow you to do some comparison research quickly. Although very handy, they may not be specifically suited to your own research.

The Company ESG Profile Excel spreadsheet, for instance, allows you to get a quick idea of the companies in the database: a list of companies (with codes) is available in the first tab in Excel:

Using a code you will be able to do a search from the sheet and get many ESG variables for several years in one go for a single company:

The result will be presented in the subsequent tabs/sheets of the Excel spreadsheet file:

Please remember that the spreadsheets from the extranet were pre-built and may require a recent version of the Datastream software on your computer to work properly! Also, the first tab of the Company ESG Profile Excel spreadsheet has a list of companies in the Asset4 ESG database. This company list (with ISIN and Datastream codes) is very likely outdated. More companies have been added to the Asset4 ESG database since then. If you want to know which companies in a certain market (or from a specific exchange) are covered by Asset4 ESG, you can do a static search using the Data TypeASSET4 Company ID“. If a company does not have this ID in the output, it is not covered by this database: