How to extract ESG Pillar Scores time series with TR function?

mateus.s
mateus.s Newcomer
in Datastream

I am making a school Project and trying to make a correlation analysis of US companies returns and ESG individual metrics (by individual metrics I mean Enviromental Pillar Score, Social and Govermental). I need help on to select all US instruments or return them using TR. I am currently using this: =TR("SCREEN(U(IN(Equity(active;public;primary))*UNV:Public*/);IN(TR.RegCountryCode;""US"");CURN=USD)";"TR.CommonName";"curn=USD RH=In CH=Fd") The returns and Market value I collected through datastream and referenced the list of RIC returned by te formula above. My main issue is to extract the each individual pillar score using the TR function, but I can´t manage to add a period of time to it. The output is always the last available score for the instrument. Any ideas to return the pillar scores?

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Best Answer

  • Unknown
    Unknown
    Answer ✓

    Something along the line:

    =TR("SCREEN(U(IN(Equity(active,public,primary))/*UNV:Public*/), IN(TR.RegCountryCode,""US""), CURN=USD)","TR.CommonName;TR.HeadquartersCountry;TR.CompanyMarketCap;/*MultiOutp ut:Begin*/TR.EnvironmentPillarScore(SDate="&"0,EDate=-16,Period=FY0,Frq=FY).fperiod;TR.EnvironmentPillarScore(SDate=0,EDate=-16,Period=FY0,Frq=FY)/*MultiOutput*/;TR.SocialPillarScore(SDate=0,EDate=-16,Period=FY0,Frq=FY);TR.GovernancePillarScore(SDate=0,EDate=-16,Period=FY0,Frq=FY)","curn=USD RH"&"=In CH=Fd;CalcDate;rfperiod")

    We currently cover US companies included in S&P500, NASDAQ 100, Russell 1000 and Russell 2000. If you need more info on our ESG data, let me know!

Answers

  • Unknown
    Unknown

    This is an Eikon API question. Something like:

    ESG_data, err1 = ek.get_data('FB.O;VOD.L','TR.EnvironmentPillarScore(SDate=0,EDate=-16,Frq=FY).fperiod;TR.EnvironmentPillarScore(SDate=0,EDate=-16,Frq=FY).value;TR.SocialPillarScore(SDate=0,EDate=-16,Frq=FY).value;TR.GovernancePillarScore(SDate=0,EDate=-16,Frq=FY).value')
    print(ESG_data)

    should give you the data.

  • mateus.s
    mateus.s Newcomer

    I am limited to excel or r.
    Is the data retrivable through datastream or tr function? I tried it, but I can´t seem to be able to add a time period.

  • Unknown
    Unknown

    Here you go, same principle more or less: =TR("FB.O;VOD.L","TR.EnvironmentPillarScore.fperiod;TR.EnvironmentPillarScore;TR.GovernancePillarScore;TR.SocialPillarScore","Period=FY0 Frq=FY SDate=0 EDate=-16 CH=Fd RH=IN",B2)

    In TR --> Formula Builder --> Go to Parameters & Quick Functions and tick Series on --> make sure you have a look at the option Output as well (that is where you get for example the .fperiod from). Hope this helps you!

  • mateus.s
    mateus.s Newcomer

    Hey, Thanks a lot, worked perfectly. However, my universe of stocks is the US market, so all public traded us companies, I am trying a few things to return the ESG pillars for all the US companies, but I can´t manage to include all the companies in this formular.
    Do you know the best way to do it?

  • mateus.s
    mateus.s Newcomer

    Hi @Teodora Nicole.Stelea_deprecated_0, thank you very much for the answer, I managed to pull the data. However, to complement my model, I will also need the Fama French 4 factors, which are market numbers, common to all companies. i have researched a bit but haven´t been able to find these factors series (monthly premium of the book-to-market factor (HML) the monthly premium of the size factor (SMB), and the monthly premium on winners minus losers (UMD)). Are these factors available in through TR?

  • Unknown
    Unknown

    @mateus.s 4 factors that's Carhart. Just checking - but I am sure you had a look at http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html already?

  • mateus.s
    mateus.s Newcomer

    Hey @Teodora Nicole.Stelea_deprecated_0,

    After collecting the data, many companies were missing years of ESg data, is it because the data is not available, or any formula specifications might be limiting the years?

  • arthurnottheking
    arthurnottheking Newcomer

    Hello,

    Here's a good example how the research team used Thomson Reuters ASSET4 ESG ratings for the analysis of correlation between the company size, available sources for providing ESG data and the sustainability performance of the agency. I'm doing my research project for Wylie East High School course (curated by Collin College professor and mentor).

    https://www.researchgate.net/publication/332704958_The_Influence_of_Firm_Size_on_the_ESG_Score_Corporate_Sustainability_Ratings_Under_Review

    Authors: Samuel Drempetic, Bernhard Zwergel and Christian Klein
    The Influence of Firm Size on the ESG Score: under review writemyessaytoday

    ___



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