CloudQuant Proves the Value in Environmental Social and Governance Alternative Data

Chicago, Illinois, USA, October 30, 2019 – CloudQuant LLC has proven the value in the G&S Quotient Environmental, Social, and Governance (ESG) alternative dataset. The detailed data science study shows a long-short portfolio with a five-day or twenty-day position holding period produces an investment strategy with single year Sharpe Ratios(1) as high as 2.046 and Alphas as high as 5.24%. The study shows that the dataset is highly distinct from other standard and so-called “smart-beta” factors.

ESG Alternative Data for Quantamental Investors

ESG Single Factor Backtest Results using 20 Position showing Alpha (Indosyncratic) Returns

ESG Investing is based on the premise that firms with higher quality management and resources will operate in an environmentally efficient and socially responsible way and be well-governed and better positioned to withstand emerging threats and capitalize on new opportunities.(2) The daily updated G&S Quotient data set provides 76 detailed measurements of issues that measure extra-financial information about publicly traded firms. 

“Dollar-neutral equal-weight portfolios realized positive gains in all six years of the backtest and demonstrate G&SQ Scores add value to both long and short investment portfolios,” said Morgan Slade, Chief Executive Officer of CloudQuant.

The growing quantity of Alternative Data Sets has created a dilemma for many investment managers. Profitable information is contained in new data but most investors lack the resources to onboard, format, and research the data to find the hidden investment returns.  The CloudQuant’s quantamental researchers have studied the G&S Quotient data and produced a detailed white paper, and backtesting algorithm with source code (free upon qualified request) that allows any researcher or portfolio manager to duplicate the research and immediately begin to reproduce the results. 

“With CloudQuant alternative data analysis, investors and quantitative traders can jumpstart their ESG research without incurring the cost of dataset ingressing and curation,” says Kaushik Basumallick, CEO of G&S Quotient. 

About CloudQuant

CloudQuant provides quantamental data showcasing services to alternative data providers including bespoke AI, Machine Learning, and data science services. Fundamental and quantitative investors utilize the institutional-grade analytics technology and detailed backtests to quickly research alternative datasets. 

About  G&S Quotient

G&S Quotient is an ESG data and analytics platform that provides daily point-in-time data on public companies that allows quantitative traders to discover short-term and long-term alpha and to better manage portfolio risks. G&S Quotient clients include discretionary traders and systematic asset managers.

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(1)  A Sharpe Ratio is the performance of an investment by adjusting for risk. This ratio is commonly used to judge the performance of an investment strategy.

(2)  Lester, A., & He, C. (2018). Harnessing ESG as an Alpha Source in Active Quantitative Equities. IQ Insights, State Street Global Advisors, 1–4.

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