Strategies · Core
ESG Factor Momentum
Long names whose ESG scores are improving and short those whose scores are deteriorating — the change, not the level.
Definition
Rank on ΔESG (or rating upgrades). Long improvers, short decliners. Less static-sector bias than levels, more turnover and vendor-revision noise.
Why it matters
If ESG is information, the revision should matter more than the stale level — same logic as earnings revisions.
Case
A vendor methodology change that ‘upgrades’ a sector. The momentum signal was the vendor, not the firm.
How to read it
Same vendor over time, and a filter for methodology breaks. Tiny ΔESG is not a signal.
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