Investimento ESG: uma análise comparativa da metodologia dos ETFS ISUS11 e ESGB11

Abstract

The way of producing in the world has become increasingly unfeasible for the environment, as the needs of humanity are infinite and resources are scarce the concern with sustainability has been increasing more and more in recent decades. This led the UN to spread the idea of sustainable development in global terms after the Brundtland report in 1987. Since then, the attention to companies that take care of their way of producing and demonstrate concern with the environment where they are inserted has grown. In this sense, corporations have increasingly adopted sustainable practices to remain competitive in the market, while at the same time companies that adopt these practices become relevant as an investment option. In this context, sustainability indexes were created, based on ESG factors (Environmental, social, and governance), observing three dimensions of sustainability: environmental, social, and governance. In Brazil in 2005, the Corporate Sustainability Index (ISE) was created by the Brazilian Stock Exchange (B3), the fourth of its kind in the world, to guide Investments in this scope. However, not all funds rely on indices such as the ISE to build their ESG investment portfolios. In this scenario, the objective of the present study was to analyze the methodologies for selecting ESG investments in selected Brazilian investment funds, having as a comparative parameter the methodology of composition of the ISE of B3, also confronting the composition of the portfolios. Methodologically, the research can be classified as comparative, as an investigation was carried out about the methodologies of funds and investments, and thus, it was possible to make an explanation related to their similarities and differences. The research techniques that were used in this study consisted of bibliographic, documentary, secondary data, and primary information techniques. Among the main results, the similarities in methodology stand out first: both ETFs studied have criteria for inclusion and exclusion of assets in their analysis; both assess firms' sustainability, exposure and management of ESG risks, and image or reputation risks; the sustainability analysis is carried out with primary surveys via a voluntary response questionnaire, with sample checking of supporting documentation; the sustainability analysis, at the level of analysis performed, indicates observations of similar aspects in the companies; the evaluation update is annual. The main differences are: ISUS11 uses in the evaluation the analysis ISE plus CDP plus Riprisk RRI; ESGB11 uses in the evaluation the analysis S&P/B3 Brazil ESG, composed by S&P DJI ESG SCORE plus Sustainalytics; ISE uses exclusion criteria that ensures liquidity of assets; ESGB11 uses negative filter to exclude controversial sectors; each index generates a different number of assets (46 in ISE and 127 in S&P/B3 Brazil ESG).