Does a greater environmental concern mean improved financial performance?

Universidade do Minho Escola de Economia e Gestão Miguel Salgueiro Neiva Does a greater env i ronmental concern mean i mproved f i nanc i al performance? May, 2021 Does a greater environmental concern mean improved financial performance? UMinho | 2021 Miguel Salgueiro Neiva Universidade do Minho Escola de Economia e Gestão Miguel Salgueiro Neiva Does a greater env i ronmental concern mean i mproved f i nan c i al performance? Master Dissertation Master in Finance Study real i zed under the superv i s i on of Professora Doutora Ben i lde Mar i a Nascimento Oliveira May , 2021 DIREITOS DE AUTOR E CONDIÇÕES DE UTILIZAÇÃO DO TRABALHO POR TERCEIROS Este é um trabalho académico que pode ser utilizado por terceiros desde que respeitadas as regras e boas práticas internacionalmente aceites, no que concerne aos direitos de autor e direitos conexos. Assim, o presente trabalho pode ser utilizado nos termos previstos na licença abaixo indicada. Caso o utilizador necessite de permissão para poder fazer um uso do trabalho em condições não previstas no licenciamento indicado, deverá contactar o autor, através do RepositóriUM da Universidade do Minho. Licença concedida aos utilizadores deste trabalho Atribuição CC BY https://creativecommons.org/licenses/by/4.0/ STATEMENT OF INTEGRITY I hereby declare having conducted this academic work with integrity. I confirm that I have not used plagiarism or any form of undue use of information or falsification of results along the process leading to its elaboration. I further declare that I have fully acknowledged the Code of Ethical Conduct of the University of Minho. Abstract Does a greater environmental concern mean improved financial performance? This dissertation aims to study the relationship between environmental and financial performance, whether these are linearly correlated or not. It is used a ranking that scores firms from all over the world based on their action towards climate change. From this dataset eight portfolios are formed based on the scores of each firm, using an equally and value-weighted construction approach. The methodology used is based on Carhart (1997) four-factor model and Fama & French (2018) six-factor model. To capture possible environmental related risks, it is incorporated an additional factor to these models, based on the work developed by de Haan, Dam, & Scholtens (2012). The results point out that investors do pay for their preferences for higher sustainable firms and that if a poorer sustainable firm is exposed to a factor that captures environmental related risks it loses its abnormal returns. It is therefore concluded that environmental performance has undoubtedly an effect on financial returns. But this effect is not linear, a firm with higher sustainable concerns does not achieve a better financial performance, neither does a firm with lower sustainable concerns. The high exposure to environmental related risks does not allow top nor bottom sustainable firms to achieve abnormal returns. Keywords: environmental performance; multi-factor models; green finance; sustainability; investors‘ taste. I Contents Abstract .................................... I Contents .................................... II ListofTables .................................. IV ListofAppendices................................ V 1 Introduction ................................ 1 2 Literaturereview .............................. 4 2.1 The effects of social requirements on environmental performance . . . 4 2.2 The measurement of environmental and financial performance . . . . . 7 2.3 The impact of environmental performance on financial performance . . 8 2.4 Investors‘ Preferences . . . . . . . . . . . . . . . . . . . . . . . . . 9 3 Methodology................................ 12 3.1 DiscreteReturns ........................... 12 3.2 Portfolio Construction . . . . . . . . . . . . . . . . . . . . . . . . . 13 3.3 Performance measure . . . . . . . . . . . . . . . . . . . . . . . . 14 3.4 Multi-factorModels .......................... 16 3.5 NMGFactor.............................. 20 4 Data .................................... 22 4.1 Dataset................................ 22 4.2 MarketBenchmarks.......................... 24 4.3 Factors................................ 25 4.4 Firm‘sdata.............................. 26 4.5 Multicollinearity............................ 28 II 5 EmpiricalResults ............................. 29 5.1 PortfolioA .............................. 29 5.2 PortfolioD-.............................. 32 5.3 Discussion of Results . . . . . . . . . . . . . . . . . . . . . . . . . 35 6 Conclusion ................................. 38 7 References ................................. I Appendices................................... IX III List of Tables 4.1 Number of firms by portfolio in each year . . . . . . . . . . . . . . . 24 4.2 Descriptive Statistics of Market Benchmarks . . . . . . . . . . . . . . 25 4.3 Descriptive Statistics of Factors . . . . . . . . . . . . . . . . . . . . 26 4.4 Descriptive Statistics of Equally-Weighted Portfolios . . . . . . . . . . . 27 4.5 Descriptive Statistics of Value-Weighted Portfolios . . . . . . . . . . . 27 4.6 Correlation Matrix of Factors . . . . . . . . . . . . . . . . . . . . . . 28 5.1 Estimation results for Portfolio A . . . . . . . . . . . . . . . . . . . . 31 5.2 Estimation results for Portfolio D- . . . . . . . . . . . . . . . . . . . 33 1 Estimation results for Portfolio A- . . . . . . . . . . . . . . . . . . . IX 2 Estimation results for Portfolio B . . . . . . . . . . . . . . . . . . . . X 3 Estimation results for Portfolio B- . . . . . . . . . . . . . . . . . . . XI 4 Estimation results for Portfolio C . . . . . . . . . . . . . . . . . . . . XII 5 Estimation results for Portfolio C- . . . . . . . . . . . . . . . . . . . XIII 6 Estimation results for Portfolio D . . . . . . . . . . . . . . . . . . . . XIV IV Chapter 2. Literature review 2.1. The effects of social requirements on environmental performance these markets will struggle to obtain higher short-term returns, as they are required to invest more heavily in research and development to reach new environmentally-friendly products and processes. A firm‘s ability to capitalize on environmental performance is influenced by divergences in the economy, society, legal ground, and politics of each country. Economic disparity may lead to differences in resource scarcity which may affect environmental attitudes and practices (Zhu, Sarkis, & Lai, 2007). It is also important to consider if meeting the regulations is enough for a firm to be well viewed by investors. Derwall et al. (2005) observe that U.S. firms waste prevention, instead of waste treatment, provides higher profits for firms. Differences on the regulations for different industries may also influence the relationship between environmental performance and financial performance. Specifically, it is possible that firms in industries with negative reputations, such as oil or mining, may experience greater media attention and pressure, resulting in the potential for greater gains if the environmental performance turns out to be good (Bansaal, 2005; Hoffman, 2001). Ziegler, Schröder, & Rennings (2007) conclude that the general environmental performance of an industry influences stock returns for firms within that industry, as opposed to the environmental performance of a specific big firm, which means that only the industry environmental performance affects stocks returns, not the environmental performance of competitors or reference firms. The size of a corporation plays an important role, as large firms have more resources than small firms allowing for advantages associated with scale and greater investment in research and development and new technologies (Eden, Levitas, & Martinez, 1997; Woo & Cooper, 1981), while small firms may not have the resources to address environmental performance (Welsh & White, 1981). On the other hand, it is possible that small firms are more flexible, making them better prepared to respond to environmental challenges and organizational changes (Storey, 1994; Yu, 2001). Since publicly traded firms have a lot of media attention and are constantly under public scrutiny, they may feel pressured to adopt environmental initiatives despite of potential lower 6 Chapter 2. Literature review 2.2. The measurement of environmental and financial performance profitability (Dean, Brown, & Bamford, 1998), but they can also benefit from it, capitalizing on their environmental involvement. Private firms cannot benefit from media attention, as much as public firms, but this may enable them to choose environmental projects that are more suitable for the firm, avoiding an unnecessary waste of resources. 2.2 The measurement of environmental and financial performance A company‘s environmental performance is sometimes referred to as the absolute pollution level it produces, but it should be measured using a ratio of the value added and the waste they generate, as a company from a poor environmentally industry, despite polluting more, can achieve competitive advantages, in comparison to their competitors (Derwall et al., 2005). Given this, environmental performance could be measured through different ways, such as independent databases, self-report surveys and pollution indicators. It must be considered whether to use a measure of chemical indicators or a comprehensive indicator of a firm’s total environmental performance, always seeking to find its reliability, as results could have substantial differences due to this aspect (Sharma & Starik, 2002). Self-report surveys have the possibility of being biased, affecting the final results (Sharma, 2001). Different results should also be expected, when a different variable is considered to represent financial performance, such as the return on equity and stock price. The return on equity, a long-term indicator, represents the profitability of a corporation in relation to stockholders’ equity, whereas the stock price, a short-term indicator, represents the current price of a share, that is conditional on everyday events. These divergences are quite noticeable, as the investment on environmental concerns, usually takes some time to have an effect on a company‘s financial returns. The main challenge in understanding whether environmental standards contribute to financial returns, is incorporating these environmental standards into share prices, in a 7 Chapter 2. Literature review 2.3. The impact of environmental performance on financial performance comprehensive and acknowledged way. Studies on this subject, might be biased, due to aspects hard to quantify or qualify, such as management skills. 2.3 The impact of environmental performance on financial performance Previous studies, regarding the impact of environmental performance on financial performance, reach different conclusions. Some find a positive relationship, others a negative relationship and others no relationship at all. Investing in green and sustainable innovations is claimed to bring progress and advantages to firms, leading these to have higher returns. Halcoussis & Lowenberg (2019) show that portfolios with lower carbon emissions typically earn higher returns than the general market, much caused by the poor performance of the fossil fuel industry, showing that the divestment on the fossil fuel industry does not harm investors, it gives them higher returns. Studying the impact of the divestment on high carbon emissions firms, Hunt & Weber (2019) find that, not only investors earn higher returns, but also, contribute to a reduction of global carbon emissions, helping on the fight against climate change. The cost of investing in environmental standards could be unfavorable to companies, with the trade-off between rewards and costs being negative. According to Cordeiro & Sarkis (1997) environmentally proactive firms are set to have worst earnings-per-share in the short-term, as security analysts anticipate the investment in environmental practices as a costly activity that does not provide returns on short-term performance. Studying on the correlation between Environmental, Social, and Governance (ESG) disclosure and firm financial performance, Almeyda & Darmansya (2019), find that there is a significant positive relationship between ESG disclosure with firm’s Return-On-Assets and Return-On-Capital, but no significant relationship with Stock Price, denoting the poor short-term performance, when considering environmental concerns. 8 Chapter 2. Literature review 2.4. Investors‘ Preferences Taking on a different methodology de Haan et al. (2012) reach the conclusion that environmental performance and stock returns are negatively correlated, as investors‘ taste causes the stock of firms with a good environmental performance to become overpriced and given this firms with poor environmental performance are required to provide higher returns in order to compensate investors for investing on firms with dubious reputation. Similarly, Maiti (2020), adding a factor that controls for ESG risks, into the Fama & French (1993) three-factor model, achieve better results, denoting the influence of ESG on the financial performance of firms. Researching on whether investors’ disagreement over payoffs and consumer tastes can substitute for financial performance, as formulated by Fama & French (2007), Ng & Zheng (2018) demonstrate that these affect only green firms and so investors will not bear a cost nor have abnormal returns when investing on green firms. Puopolo et al. (2015) consider that there is no linear relationship between environmental performance and financial returns, as a better environmental behavior neither leads to a premium nor a penalty. Meta-analysis regarding this subject, provided by Dixon-Fowler, Slater, Johnson, Ellstrand, & Romi (2013), Endrikat, Guenther, & Hoppe (2014) and Busch & Lewandowski (2018) show that environmental performance is positively connected with financial performance. It is concluded that the different results across studies are mainly due to methodological differences, but ultimately the financial performance of firms that invest on environmental actions is higher than those who do not. 2.4 Investors‘ Preferences Investors‘ preferences are an important factor that have the possibility to affect the development of financial markets. The preferences for sustainable stocks, might lead these to become overpriced and therefore lead investors to have worst returns than those that do 9 Chapter 2. Literature review 2.4. Investors‘ Preferences not consider this matter. Galema et al. (2008) conclude that models linking environmental performance and financial performance assume that there are investors that prefer firms with a good environmental performance and investors that do not look at this factor. This leads to an excess demand for firms with a good environmental performance, causing their stock to become overpriced and the stock of firms with a poor environmental performance to become underpriced. Similarly, Renneboog, Horst, & Zhang (2008) defend that excess demand for sustainable stocks, causes them to become overpriced, without a proper exploit by the market of this mispricing. Including an additional factor to control for ethics in investment choices, they conclude that investors do pay for their taste for ethics. Hong & Kacperczyk (2009) reach a similar conclusion, that poor environmental companies outperform others, leaving the idea that sustainable companies are overpriced, much due to social norms and therefore investors‘ preferences. This conclusion had been reached by other authors, with Merton (1987), demonstrating that firms with poor environmental performance are underpriced, in order to compensate investors for holding stocks that might not meet their preferences. On an opposite view, although concluding that the returns of sustainable firms are lower, Brammer, Brooks, & Pavelin (2006) suggests that altruistic shareholders are willing to forgo higher returns in order to feel good about the environmentally friendly stocks that they hold. Heinkel, Kraus, & Zechner (2001) formulate that investors‘ taste for sustainability could have an impact on the cost of capital of a firm, so that when the difference of price between acceptable and unacceptable environmental policies is large enough it becomes optimal to invest on environmental improvements. Hirshleifer (2001) constructs a framework from which it is concluded that investors‘ feelings do lead to investment biases, which should be considered when evaluating the financial performance of securities, as this bias will lead to under or overpriced securities. Fama & French (2007) research on whether the disagreement and tastes between dif10 Chapter 2. Literature review 2.4. Investors‘ Preferences ferent investors play a role in asset pricing, with the prerogative that misinformed investors, with a big share of all invested wealth, can increase discrepancies in the expected returns of stocks. The gap between the market portfolio, held by the entire universe of investors, and the tangency portfolio, the portfolio that offers the highest ratio of risk premium to standard deviation held by informed investors, increases as misinformed investors have a bigger share of invested wealth. This leads to under and overpriced securities, based on investors’ taste. Liston (2016) analyzes whether investors‘ sentiment for poor environmental performing firms affects financial returns. The inference reached is that after the inclusion of a variable representing investors‘ sentiment, the abnormal returns presented by this sort of firms disappear. Studying on the premium achieved by environmentally friendly companies, Derwall et al. (2005) conclude that, in environmentally sensitive sectors, investors are likely to take into account environment-related information into their investment decisions, but when the benefits of the investment on environmental improvements are not clear, the pricing of securities might be inappropriate. de Haan et al. (2012), comparing the abnormal returns of portfolios formed on the basis of environmental scores, find that these increase with worsening environmental reputation. This reflects that these companies provide better returns, in order to induce investors to hold portfolios with dubious reputation. 11 3 Methodology In order to analyze the performance of firms present on CDP‘s The A List (2020), synthetic portfolios will be formed, based on its scores. These portfolios will be formed using an equally and value-weight approach. Addressing the evaluation of the formed portfolios, it will be used unconditional multifactor models, as these provide inferences on the real return of stocks, with the capture of common market risk, company size, book-to-market value, momentum, profitability and the investment style differences between companies. The models used to estimate the results intended are the Carhart (1997) four-factor model and the Fama & French (2018) six-factor model, as these are the models proven to capture risks in the most efficient way, when evaluating the performance of stocks. Additionally, since this study concerns the environmental performance of companies, these models will also have the addition of a factor (NMG), in order to control for environmental related risks and investors‘ preferences for companies with a better environmental evaluation. 3.1 Discrete Returns To begin the evaluation of the performance of the portfolios, it is necessary to calculate discrete returns for the companies. Thus, it is used the following formula: rt=Pt−Pt−1 Pt−1 (3.1) Where rtrepresents the discrete returns, which consists on calculating the difference in the value of the security between the two periods divided by the value of the security of the oldest period of that difference; Ptthe price of a firm‘s stock at time t; Pt−1the price 12 Chapter 3. Methodology 3.2. Portfolio Construction of a firm‘s stock at time t-1. 3.2 Portfolio Construction After the calculation of the discrete returns of each firm‘s stock, synthetic portfolios are formed. The formation of these portfolios is based on CDP‘s The A List (2020), as it provides different scores for firms. These portfolios are to be constructed using an equally and value-weighted approach with annual rebalancing, using daily returns. Most literature suggests that equally-weighted portfolios greatly outperform value-weighted or price-weighted portfolios. Plyakha, Uppal, & Vilkov (2012) conclude that an equallyweighted portfolio outperforms others because it is more exposed to the market, size and value risk factors, having a significantly higher mean return than other kind of portfolios. Bolognesi, Torluccio, & Zuccheri (2013) reach a similar conclusion, in which equallyweighted portfolios outperform value-weighted portfolios, as maintenance of equal weights does not allow for companies with great growth to dominate a portfolio and therefore present results that are more appropriate when considering the whole market. But these portfolios do not represent the aggregate equity market, as they threat large, medium and small capitalization stocks regardless of their market liquidity (Arnott, Hsu, & Moore, 2005). Valueweighted portfolios, therefore, provide a better representation of the equity market as it is. The weight of a stock in a value-weighted portfolio completely explains the trading volume of that stock, which means that the turnover of stocks, in a value-weighted portfolio is identical for all (Bhattacharya & Galpin, 2011). The foundations of Modern Portfolio Theory are that investors should diversify by buying different optimal portfolios (Markowitz, 1952a), two optimal portfolios where sufficient to achieve optimal returns (Tobin, 1958) and one of these portfolios should be the market portfolio (Sharpe, 1964). The market portfolio is unobservable, but a value-weighted portfolio is the closest to it. Given this, this research will consider both an equally and a value-weighted approach. 13 Chapter 3. Methodology 3.3. Performance measure The equally-weighted portfolios will be formed as the following: rp,t =∑n i=1 Pi,t−Pi,t−1 Pi,t−1 n(3.2) Where rp,t is the return of portfolio p at time t; Pi,t the price of the stock of firm i at time t and Pi,t−1the price of the stock of firm i at time t-1, being nthe number of stocks included in the portfolio. The value-weighted portfolios are formed, such as: rp,t = n ∑ i=1 Pi,t ×MVi,t MVp,t −Pi,t−1×MVi,t−1 MVp,t−1 Pi,t−1×MVi,t−1 MVp,t−1 (3.3) Where rp,t is the return of portfolio p at time t; Pi,t the price of the stock of firm i at time t; Pi,t−1the price of the stock of firm i at time t-1; MVi,t is the market value of each security at time t; MVi,t is the market value of each security at time t-1; MVp,t is the market value of the portfolio at time t and MVp,t−1is the market value of the portfolio at time t-1. 3.3 Performance measure One of the most widely used theoretical models for pricing a financial asset is the Capital Asset Pricing Model (CAPM). The CAPM model was developed simultaneously by Sharpe (1964), Litner (1965) and Mossin (1966), and its the result of the development of the Modern Financial Theory initiated by Markowitz (1952b). According to this model, the expected return on a given asset or portfolio is linearly related to the expected return on the market, through the following equation: E[rp,t] = rf,t +βp(E[rm,t −rf,t]) (3.4) 14 Chapter 3. Methodology 3.3. Performance measure Where E[rp,t]is the expected return on the portfolio p in period t; rf,t is the return on a risk-free asset in period t; βpis the systematic risk of the portfolio; and E[rm,t −rf,t] is the expected return on the market portfolio in period t. This model assumes that the only risk factor that affects the expected return on an asset is systematic risk. Sharpe (1964) presents beta as a parameter that represents systematic (non-diversified) risk which measures the sensitivity of an asset to the behavior of a portfolio that represents the market. Therefore, only systematic risk is rewarded. However, as indicated by Roll (1977), the model is empirically untestable as the market portfolio is unobservable. Since this is an ex-ante analysis and market expectations are not observable, the empirical analysis of the model implies the use of ex-post data. Thus, equation 3.4 can be rewritten as follows: rp,t −rf,t =βp(rm,p −rf,t) + ϵp,t (3.5) Where ϵp,t is the residual. Given that there is a possibility that the market may not be in equilibrium, it is important not to condition the regression to the origin, which means that equation 3.5 must change to: rp,t −rf,t =αp+βp(rm,p −rf,t) + ϵp,t (3.6) Where αprepresents the measure of portfolio imbalance, also known as abnormal return - return above or below the CAPM equilibrium return implied by its level of systematic risk. This performance measure was developed by Jensen (1968) who concluded that a positive αpimplies that the portfolio performed positively. This means that when analyzing the performance of a portfolio, if the assumptions underlying the CAPM are to be verified, a positive αpreflects a portfolio, adjusted for systematic risk, that financially outperforms the market. Jensen‘s alpha will therefore be the performance measure used to analyze the performance of the portfolios formed in this research. 15 4 Data 4.1 Dataset The dataset used for this research is based on CDP‘s The A List (2020). In this list it is disclosed the environmental performance and transparency of the most pioneering companies from all over the world and different industries. From this list all publicly traded firms with publicly available information on their environmental performance on CDP‘s website will be used. The data will be referent to 10 years, with the timeline from 2010 until 2019, as prior data is not publicly available and given this, dead firms will also be included in the analysis. The companies included are from 60 different countries and from many different industries, which makes this research very widespread and applicable to the global market. From 2010 until 2015, firms are scored with an A, B, C, D or E. From 2016 until 2019 the scores are A, A-, B, B-, C, C-, D or D-. The scoring evaluation is made based on the disclosure of information given by companies to CDP. CDP‘s scores are made in three areas, Climate Change, Forests and Water Security. This research uses only the Climate Change scores, as Forest and Water Security is yet to be a major focus for investors and the information regarding these areas is scarcer. To be evaluated on Climate Change, companies are requested to fill a questionnaire regarding 14 modules: governance, risks and opportunities, business strategy, targets and performance, emissions methodology, emissions data, energy, additional metrics, verification, carbon pricing, engagement and have sector related questions. This information is not verified by CDP, but all companies are required to reference a third party verification standard, in which the information provided is to be confirmed. 22 Chapter 4. Data 4.1. Dataset Companies are then evaluated as A or A-, which corresponds to Leadership Level, in which firms demonstrate strategic best practices towards climate change. B or B-, corresponds to Management Level, in which firms start to take proactive action to fight climate change. C or C-, corresponds to Awareness Level, with firms understanding climate impacts from their actions and taking measures to fight them. D or D-, corresponds to Disclosure Level, as firms start to disclose their environmental performance. Corporations, before 2016, were evaluated with an E, which for the portfolio formation will be considered as D-. Some companies are evaluated with an F, which means they have not disclosed sufficient information to have a quotation and others might have private scores or not have been requested to provide information. These companies are excluded from this study, as they are not scored and will not provide comprehensive information to investors, which makes their performance evaluation considering environmental performance impracticable. This ranking is not a comprehensive metric of a company‘s level of sustainability, it is an indication of the level of action taken by the company to assess and manage its climate change impacts. In Table 4.1 it is presented the number of firms for each portfolio. There is an increasing amount of firms reporting data to CDP‘s The A List (2020), which enables a research based on a robust database. The detailed firms that are present in this research are presented in Appendix G. 23 Chapter 4. Data 4.2. Market Benchmarks Table 4.1: Number of firms by portfolio in each year A AB BC CD D2019 171 319 706 117 547 23 270 42 2018 131 252 540 90 541 22 400 45 2017 118 389 491 29 666 49 281 62 2016 190 350 565 40 519 44 234 54 2015 112 76 500 - 437 - 421 219 2014 185 69 527 - 395 - 269 97 2013 96 44 401 - 290 - 266 77 2012 64 29 336 - 375 - 335 151 2011 44 38 221 - 329 - 266 105 2010 56 - 247 - 276 - 42 - This table reports the number of firms in each portfolio. 4.2 Market Benchmarks As market benchmarks, are used the Standard & Poor‘s Global 1200 Index (S&P Global 1200) and the Dow Jones Sustainability Index World (DJSIW). The first will provide information for the exposure of the different portfolios on the conventional market and the second will provide information for the exposure of the different portfolios when confronted only with sustainable firms. The S&P Global 1200 is an index that provides efficient exposure to the global equity market, capturing 70% of the global market capitalization, composed based on leader indexes of United States of America, Europe, Japan, Canada, Australia, Asia and Latin America. The Dow Jones Sustainability Index World comprises the top 10% of global sustainable firms. These are identified by RobecoSAM, based on long-term economic, environmental and social criteria. The returns from these, are extracted from Thomson Reuters Datastream (2020), for the period from the beginning of 2010 until the end of 2019, in US dollars. In Table 4.2 it is presented the number of observations, the mean, the standard deviation, the minimum, the maximum and the Jarque-Bera Normality Test for both benchmarks 24 Chapter 4. Data 4.3. Factors returns over the mentioned period. These demonstrate positive mean, negative skewness and excess kurtosis. This means that these are nearly symmetrical, but have fat tails, denoting some extreme results when compared to the mean. Looking at the Jarque-Bera Test results, it is concluded that there is no normality in the benchmarks returns data. Table 4.2: Descriptive Statistics of Market Benchmarks Statistic N Mean St. Dev. Skewness Kurtosis Min Max JB Test 1 x2p-value S&P 1200 2,515 0.0004 0.008 −0.462 7.289 −0.053 0.048 2018.4 < 2.2e-16 DJSIW 2,515 0.0003 0.009 −0.533 10.031 −0.072 0.062 5301.6 < 2.2e-16 This table reports descriptive statistics for the Standard & Poor‘s Global 1200 index returns and the Dow Jones Sustainability Index World returns over the period from January 2010 until December 2019. The number of observations, the mean, the standard deviation, the skewness, the kurtosis, the minimum, the maximum and the Jarque-Bera Test are presented. 4.3 Factors For the evaluation using the multi-factor models, namely the Carhart (1997) four-factor model and the Fama & French (2018) six-factor model it is necessary the risk-free rate, the SMB, HML, MOM, RMW and CMA factors, which are provided by Kenneth R. French - Data Library (2020). These factors present data since 1963, with the exception of MOM which presents data since 1926 and all are expressed in US dollars. For this research, as it is only necessary data since the beginning of 2010, the other years are excluded. Table 4.3 presents the number of observations, the mean, the standard deviation, the minimum, the maximum and the Jarque-Bera Normality Test for all these factors in the period mentioned. These present a symmetrical skewness, with the exception of the Risk Free Rate that presents high skewness and all have excess kurtosis. Through the analysis of the results of the Jarque-Bera Test normality is rejected. 1Jarque-Bera Normality Test developed by Jarque & Bera (1987). 25 Chapter 4. Data 4.4. Firm‘s data Table 4.3: Descriptive Statistics of Factors Statistic N Mean St. Dev. Skewness Kurtosis Min Max JB Test1 x2p-value RF 2,515 0.002 0.003 1.359 3.362 0.000 0.010 788.19 < 2.2e-16 SMB 2,515 −0.002 0.515 0.192 4.577 −1.980 3.600 275.97 < 2.2e-16 HML 2,515 −0.010 0.505 0.341 4.936 −1.870 3.070 441.56 < 2.2e-16 RMW 2,515 0.005 0.347 0.036 4.816 −1.810 1.840 346.2 < 2.2e-16 CMA 2,515 0.001 0.301 0.350 4.980 −1.330 1.970 462.31 < 2.2e-16 MOM 2,515 0.019 0.703 −0.314 5.036 −3.810 3.630 475.56 < 2.2e-16 This table reports descriptive statistics for the Risk Free Rate and the SMB, HML, RMW, CMA and MOM factors over the period from January 2010 until December 2019. The number of observations, the mean, the standard deviation, the skewness, the kurtosis, the minimum, the maximum and the Jarque-Bera Test are presented. 4.4 Firm‘s data To form the portfolios, information regarding the financial returns and the market value of all firms is necessary. The data is downloaded from Thomson Reuters Datastream (2020), in US dollars. In Appendix G, it is possible to check all the companies that constitute the portfolios, and were therefore evaluated. The portfolios are then constructed, using both an equally and value-weighted approach, using daily data, with annual rebalancing. After this, it is possible to construct the NMG factor, using the methodology previously mentioned. Tables 4.4 and 4.5 present the number of observations, the mean excess return, the standard deviation, the skewness, the kurtosis, the minimum, the maximum and the Jarque-Bera Normality Test for all the portfolios and NMG factor returns, with the equally and value-weighted approach, respectively. These statistics are referent to the period from 2010 until 2019. From the mean and standard deviation there are not many conclusions to be taken, with the exception that the approach used in the construction of the portfolios provides different results. Regarding skewness, the portfolios provide fairly symmetrical data, with the exception of Portfolio Cin the equally-weighted approach, that has high skewness. Looking at kurtosis it is observed leptokurtic data, which demonstrates the presence of some outliers, meaning these have fat tails. The results of the Jarque-Bera Test denote the lack of a normal distribution in the data. 26 Chapter 4. Data 4.4. Firm‘s data Table 4.4: Descriptive Statistics of Equally-Weighted Portfolios Statistic N Mean St. Dev. Skewness Kurtosis Min Max JB Test1 x2p-value Portfolio A 2,515 0.0003 0.008 −0.442 6.903 −0.056 0.051 1678.4 < 2.2e-16 Portfolio A2,263 0.00000 0.021 −0.075 10.655 −0.162 0.166 6143.6 < 2.2e-16 Portfolio B 2,515 0.0002 0.013 −0.514 7.133 −0.085 0.093 1900.6 < 2.2e-16 Portfolio B1,005 0.0003 0.011 −0.526 8.386 −0.083 0.049 1261.2 < 2.2e-16 Portfolio C 2,515 0.0003 0.011 −0.459 8.364 −0.101 0.080 3103.9 < 2.2e-16 Portfolio C1,005 0.0004 0.012 −1.709 23.839 −0.125 0.064 18674 < 2.2e-16 Portfolio D 2,515 0.001 0.011 −0.806 11.703 −0.112 0.059 8208.8 < 2.2e-16 Portfolio D2,263 0.001 0.010 −0.342 6.552 −0.070 0.062 1371.4 < 2.2e-16 NMG 2,515 0.0003 0.005 0.041 3.656 −0.022 0.023 45.828 1.118e-10 This table reports descriptive statistics for all the equally-weighted portfolios returns over the period from January 2010 until December 2019. The number of observations, the mean, the standard deviation, the skewness, the kurtosis, the minimum, the maximum and the Jarque-Bera Test are presented. Table 4.5: Descriptive Statistics of Value-Weighted Portfolios Statistic N Mean St. Dev. Skewness Kurtosis Min Max JB Test1 x2p-value Portfolio A 2,515 0.001 0.009 −0.084 5.230 −0.046 0.063 524.08 < 2.2e-16 Portfolio A2,263 0.0003 0.015 −0.294 9.064 −0.102 0.115 3889.3 < 2.2e-16 Portfolio B 2,515 0.0002 0.016 −0.375 7.611 −0.120 0.118 2286.9 < 2.2e-16 Portfolio B1,005 0.0005 0.011 −0.176 6.620 −0.065 0.051 553.82 < 2.2e-16 Portfolio C 2,515 0.0003 0.015 −0.021 7.395 −0.089 0.125 2024.6 < 2.2e-16 Portfolio C1,005 0.0004 0.012 −0.014 17.10 −0.080 0.102 8323.5 < 2.2e-16 Portfolio D 2,515 0.001 0.017 −0.186 5.309 −0.089 0.094 572.99 < 2.2e-16 Portfolio D2,263 0.001 0.017 −0.058 5.636 −0.091 0.083 729.56 < 2.2e-16 NMG 2,515 0.0005 0.015 0.074 4.828 −0.086 0.083 352.48 < 2.2e-16 This table reports descriptive statistics for all the value-weighted portfolios returns over the period from January 2010 until December 2019. The number of observations, the mean, the standard deviation, the skewness, the kurtosis, the minimum, the maximum and the Jarque-Bera Test are presented. 27 Chapter 4. Data 4.5. Multicollinearity 4.5 Multicollinearity The introduction of a new factor might bring questions arising on whether it has a similar effect to all the other factors. To understand whether this is a problem the following matrix is build: Table 4.6: Correlation Matrix of Factors S&P 1200 - RF DJSIW - RF SMB HML RMW CMA MOM NMG S&P 1200 - RF 1 DJSIW - RF 0.57∗∗∗ 1 SMB 0.24∗∗∗ 0.09∗∗∗ 1 HML 0.15∗∗∗ 0.08∗∗∗ 0.06∗1 RMW -0.37∗∗∗ -0.12∗∗∗ -0.35∗∗∗ -0.18∗∗∗ 1 CMA -0.07∗∗ -0.04 0.00 0.58∗∗∗ 0.02 1 MOM -0.05 -0.04 -0.11∗∗∗ -0.36∗∗∗ 0.02 -0.14∗∗∗ 1 NMG 0.13∗∗∗ 0.03 0.26∗∗∗ 0.04 -0.17∗∗∗ 0.06∗-0.02 1 This table reports the correlation of each risk factor and benchmarks.***, ** and * indicate statistical significance at 1%, 5% and 10% level, respectively. Looking at this results, there are no signs of dependence between variables, as the values are not close to one, denoting therefore that there is no multicollinearity. It is concluded that the variables are independent between each other and do not cover for similar drivers in stock returns. 28 5 Empirical Results In this section, the results obtained on the performance of the portfolios are reported. It is subdivided in the evaluation of the performance of the top and bottom portfolios in both an equally and value-weighted approach. All the other portfolios results are presented in Appendices A to F. For each portfolio the estimation results are presented using the Carhart (1997) four-factor model and the Fama & French (2018) six-factor model with the additional NMG factor. For each of these two models are used as benchmarks the Standard & Poor‘s Global 1200 and the Dow Jones Sustainability Index World. Given this, for each portfolio there are eight regression estimation results. The results are presented using the equallyweighted approach, mentioned as (EW), and using the value-weighted approach, mentioned as (VW). The Carhart (1997) four-factor model with the NMG factor, using the Standard & Poor‘s Global 1200, the general benchmark, is mentioned as 5 and using the Dow Jones Sustainability Index World, the green benchmark, is mentioned as 5G. The Fama & French (2018) six-factor model with the NMG factor, using the Standard & Poor‘s Global 1200 is mentioned as 7 and using the Dow Jones Sustainability Index World is mentioned as 7G. For each result the alpha and all the risk factors estimates are presented, alongside with their statistical significance and standard errors. Additionally the number of observations, the R-squared, the Adjusted R-squared, the Residual Standard Error, the White‘s Heteroskedasticity Test and the Breush-Godfrey Autocorrelation Test results are displayed. All of these statistical measures allow to take inferences on the results obtained. 5.1 Portfolio A Table 5.1 presents the estimation results for Portfolio A. 29 Chapter 5. Empirical Results 5.1. Portfolio A The results presented take into account the White‘s Heteroskedasticity Test and the Breush-Godfrey Autocorrelation Test results. Looking at these, it is concluded, that heteroskedasticity and autocorrelation are present in the regressions outputs. Therefore, it is implemented the Newey & West (1987) estimator, in order to achieve heteroskedasticity and autocorrelation consistent results. Given this, the estimates presented and analyzed already consider this correction. Observing the alpha, abnormal return, on both approaches, it is observed statistical significance at the 1% level for the models that use the green benchmark. These are negative, denoting a bad performance, when compared to an index that comprises top sustainable firms, which this portfolio should mimic. With the general benchmark, the abnormal returns are negative, using the equally-weighted approach, being lower than with the green benchmark. Looking at the value-weighted approach, these become insignificant, with the exception of the seven-factor model, that presents positive abnormal returns, despite being only at the 10% level. Looking at the market risk it can be seen that in all the models its estimates are statistically significant at the 1% level, meaning efficient exposure of this portfolio to both benchmarks. The market risk estimates have higher values when exposed to the S&P 1200, compared to the DJSIW. This provides inference that, even though Portfolio A is composed by the top sustainable performing firms, it is more exposed to a general benchmark rather than a green benchmark. The SMB factor provides significant results, using the green benchmark. These show significance, with the general benchmark, only when using the seven-factor model, with the value-weighted approach. This shows that the portfolio is mainly composed by small capitalization firms. Considering the HML risk factor, it has significant negative results, denoting an higher amount of low book-to-market value firms. These change, in the seven-factor model, using 2Heteroskedasticity Test developed by White (1980). 3Breush-Godfrey Autocorrelation Test developed by Breusch (1978) and Godfrey (1978). 30 Chapter 5. Empirical Results 5.1. Portfolio A Table 5.1: Estimation results for Portfolio A Dependent variable: Portfolio A 5(EW) 5(VW) 5G(EW) 5G(VW) 7(EW) 7(VW) 7G(EW) 7G(VW) βS&P1200−RF 0.995∗∗∗ 0.955∗∗∗ 0.998∗∗∗ 0.990∗∗∗ (0.007) (0.018) (0.007) (0.018) βDJ SIW −RF 0.532∗∗∗ 0.487∗∗∗ 0.504∗∗∗ 0.486∗∗∗ (0.060) (0.052) (0.058) (0.052) βSMB -0.0002 0.0003 0.003∗∗∗ 0.003∗∗∗ 0.00002 0.001∗∗ 0.002∗∗∗ 0.002∗∗∗ (0.0001) (0.0003) (0.001) (0.0005) (0.0001) (0.0003) (0.0004) (0.0004) βHML -0.001∗∗∗ -0.001∗∗∗ 0.001 0.001 -0.0002 -0.002∗∗∗ 0.002∗∗∗ -0.0003 (0.0001) (0.0003) (0.001) (0.0005) (0.0001) (0.0003) (0.0005) (0.0005) βRMW 0.001∗∗∗ 0.002∗∗∗ -0.005∗∗∗ -0.003∗∗∗ (0.0002) (0.0005) (0.001) (0.001) βCMA -0.001∗∗∗ 0.005∗∗∗ -0.005∗∗∗ 0.002∗∗ (0.0002) (0.001) (0.001) (0.001) βMOM 0.0002∗∗ 0.001∗∗∗ 0.001 0.001∗∗∗ 0.0003∗∗∗ 0.001∗∗∗ 0.0004 0.001∗∗ (0.0001) (0.0002) (0.001) (0.0004) (0.0001) (0.0002) (0.0004) (0.0004) βNMG -0.213∗∗∗ -0.249∗∗∗ -0.103∗∗∗ -0.089∗∗∗ -0.204∗∗∗ -0.234∗∗∗ -0.112∗∗∗ -0.101∗∗∗ (0.010) (0.011) (0.039) (0.021) (0.010) (0.011) (0.035) (0.017) αp-0.0001∗0.0002 -0.001∗∗∗ -0.001∗∗∗ -0.0001∗0.0002∗-0.001∗∗∗ -0.001∗∗∗ (0.00004) (0.0001) (0.0002) (0.0002) (0.00004) (0.0001) (0.0002) (0.0002) Observations 2,515 2,515 2,515 2,515 2,515 2,515 2,515 2,515 R20.940 0.837 0.357 0.295 0.942 0.853 0.415 0.305 Adjusted R20.940 0.836 0.356 0.293 0.942 0.852 0.413 0.302 Residual Std. Error 0.002 0.006 0.007 0.009 0.002 0.006 0.007 0.009 W Test2164.29 96.015 567.63 263.02 196.89 210.42 666.29 425.3 p-value (<2.2e-16) (1.452e-11) (<2.2e-16) (<2.2e-16) (<2.2e-16) (<2.2e-16) (<2.2e-16) (<2.2e-16) BG Test377.187 26.023 33.359 5.0314 86.828 34.981 43.872 5.9786 p-value (3.251e-15) (8.834e-07) (1.133e-07) (0.004121) (< 2.2e-16) (1.518e-08) (2.459e-08) (0.003083) This table reports the estimation results for Portfolio A, using the Carhart (1997) four-factor model, represented as 5, and the Fama & French (2018) six-factor model, represented as 7, with both having the additional NMG factor. It is used the equally-weighted approach, identified as (EW), and value-weighted approach, identified as (VW). As benchmarks it is used the Standard and Poor‘s World 1200, without a specific representation, and the Dow Jones Sustainability Index World, that is represented as G. ***, ** and * indicate statistical significance at 1%, 5% and 10% level, respectively. the green benchmark and equally-weighted approach. But this model does not present the best goodness of fit. In fact, the model that presents the best fit, presents neutral, insignificant estimates for this factor. The RMW and CMA risk factors provide statistically significant results in all models, at the 1% level. The RMW estimates are positive with the general benchmark and negative with the green benchmark. The CMA estimates are negative with the equally-weighted approach and positive with the value-weighted approach. This means that it should be considered 31 6 Conclusion This research aims to find whether there is a relationship between environmental and financial performance. Mainly, its objective is to find if firms with greater environmental concerns achieve a better financial performance. Using a database, that evaluates companies all over the world, based on their climate change performance, CDP‘s The A List (2020). The scores from this ranking are attributed based on the answer to a self-report survey, with an ensuring third party verification standard. To perform the study, the models used are the Carhart (1997) four-factor model and the Fama & French (2018) six-factor model, as these have proven to be the models that best capture systematic risk. Since this research concerns the evaluation of the relationship between environmental and financial performance, it is constructed an additional factor, NMG, to control for the possibility of the impact of environmental related risks on the financial returns of firms. To analyze the financial performance of firms, eight portfolios are constructed based on the classification each firm obtains on CDP‘s The A List (2020), A, A-, B, B-, C, C-, D and D-. These portfolios are constructed using an equally and value-weighted approach, in order not to condition the results based on its construction method. As benchmarks are used a general one, that represents 70% of the global market capitalization, and a green one, that comprises the top 10% sustainable companies in the world. The results obtained show that a higher environmental concern does not lead to better financial performance. These also demonstrate that the inclusion of an additional factor that considers environmental related risks, such as investors‘ preferences, makes firms lose their expected abnormal returns. Portfolios with lower scores are expected to provide higher returns in order to compensate investors for holding stocks from firms with dubious environmental reputation, but these disappear with the inclusion of the NMG factor, as its 38 Chapter 6. Conclusion estimates capture this compensation. In the portfolios with higher scores, the opposite happens, the NMG factor estimates capture the lower returns these would have due to their exceeding demand that would push these firms stock price excessively high. Both top and low scored portfolios have negative abnormal returns, but only significant at the 10% level. The intermediate scored portfolios demonstrate neutral abnormal returns, denoting the lower exposure and therefore lower impact from environmental related risks. The result of the relationship between environmental and financial performance goes in accordance with Renneboog et al. (2008) and Liston (2016), as portfolios lose their abnormal returns when exposed to a factor that captures environmental related risks. Alongside with this, the expectancy of the influence of investors‘ taste is confirmed, consistent with many studies, such as, Merton (1987), Heinkel et al. (2001), Fama & French (2007), Galema et al. (2008), Hong & Kacperczyk (2009) and de Haan et al. (2012). This research follows up with previous studies, complementing the previously achieved results on the relationship between environmental and financial performance, with a database that comprises firms from all over the world, demonstrating the importance of environmental related risks, namely investors‘ preferences. One limitation regarding this research is the dataset, as its ranking is not a comprehensive metric of a company‘s level of sustainability, it is an indication of the level of action taken by the company to assess and manage its climate change impacts. 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Ziegler, A., Schröder, M., & Rennings, K. (2007). The effect of environmental and social performance on the stock performance of european corporations. Environmental and Resource Economics, 37(4), 661–680. VII Appendices VIII Appendix G - Portfolio‘s Constituents XV Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 1&1 Drillisch AG - - - - - - DD- - - 3i Group - D E D C D AAB - 3M Company B C C D C C AAB B 3Sbio - - - - - - - - - B888 Holdings - - - - - - C- - - - A.G. Barr Plc - - - - D E D D D C A.P. Moller - Maersk B C C B C D D - C B A2A C C B B B C AB BBAA - - - - - - - - BBAAC Technologies Holdings - - E D - - - - - - Aalberts Industries - - - - - - - - BB Aareal Bank AG - - D B B C B C BC ABB C C D B - D B C C B Abbott Laboratories B C B B B B AB B AAbbVie Inc - - - - C D AAB B Abengoa - B A A A A A - - - Abercrombie & Fitch Co. - D B B C C C C - D Aberdeen Asset Management - - - - - C B - - - Abertis Infraestructuras - - - - - - A B B - ABN Amro Holding - - - - - - D B B B Aboitiz Equity Ventures - - - - - - - DDDAboitiz Power Corporation - - - - - - - - D- - Absa Group Limited C B B B B B B B C C Continued on next page XVI Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Acacia Mining - - - - - E D C D D ACC - - - - - - B B B B Accenture B B B - A A A AA A ACCIONA S.A. B A A A A A A A AA AccorHotels C D B B C C C AB AACEA SpA - C C - B B AAB AAcer Inc. - C - - B B B B B B Acerinox - - B D A B B B B C Achilles Corporation - - - - - - D- - - - ACS Actividades de Construccion y Servicios C E - D D D D - - C Actiontec Electronics - - - - - E D D D D Acuity Brands Inc - - - - - - - D - D Adani Ports & Special Economic Zone - - - - - - - - - C Adcock Ingram C E D D E - - - - - Adecco Group AG - E E D C D C C D C Adelaide Brighton - D - - - - - - - - adidas AG - C B B B B B B B B Admiral Group D - - D - - - - - - Adobe Systems, Inc. B C B A A A AA - - Adobe, Inc. - - - - - - - - A A ADP (Aeroports de Paris) - - - C AB B B B C ADVA Optical Networking SE - - E - - E D D BB Advanced Info Service - - - - - - D- - - - Continued on next page XVII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Advanced Micro Devices, Inc C D C C - C BBC B Advantech Co, Ltd. - - - - - E B BB B Advantest Corporation - E E - E - DCC C AECI Ltd Ord - C D B B C B B - B Aegon C D C B C C C C C C AENA SA - - - - - - - B - - AENA SME SA - - - - - - - - B A Aeon Co., Ltd. D D B B A B AB B A Aeon Delight Co., Ltd. - - - - - - DD- - - Aeon Mall Co., Ltd. - - - - - - - C B B Aeroflot - - - - - - - D D D AES Tiete Energia SA - - - - - - - C C C AES Tiete SA - - - - D D C - - - Aetna Inc. D E - D E E - - C - ÅF AB - D D D D D C C - B ÅF Pöyry AB - - - - - - - - B - Affiliated Managers Group - - - - - - - - BB AFK Sistema JFSC - - - - - - - D- - - AFLAC Incorporated C E B B B C B B B C African Rainbow Minerals - - C B B B B B A- - AGC Inc. - - D B C D C C B B Aggreko - - - - - E C D D - Agilent Technologies Inc. - C C B D C C B AB Continued on next page XVIII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 AGL Energy - - - B B B B B B B Agnico-Eagle Mines Limited - - - D - E D D D C Agrium Inc. - - C C C C - - - - Aguas Andinas SA - - - - - - - C C AAhlstrom Corporation - - - C B D C D - - Ahold Delhaize B - C B C C C C C C AIA Group Ltd. - - - - - - CC C C AIB Group Plc - - - - - B AA A AAica Kogyo Co Ltd - - - - - - - - - D Aimia Inc. - - E D C B B C C - Air Canada - - - - B B B C C C Air France - KLM - B B A C B B B B C Air Liquide B B C B B B B AAA Air New Zealand - - D D C - - - - - Air Products & Chemicals, Inc. B A B B AB AB B D Air Water Inc. - - - - - - - D BAAirbus B D C B B C B D B B Aisin Seiki Co., Ltd. - C D C C B B- - D AAixtron SE - - - - - - D D DD Ajinomoto Co.Inc. - D D - C B B AAB AK Steel Holding Corporation - - - - - - - - C C Akamai Technologies Inc C C C B A B B B AC Akbank T.A.Ş B C - B D C B C D C Continued on next page XIX Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Akçansa Çimento Sanayi ve Ticaret A.Ş. - - - - - D B BD B Akenerji Elektrik Üretim A.Ş. - - - - C C B B C B Aker ASA - - - - D - - C D BAker BP ASA - - - - - D C B B B Aksa Akrilik Kimya Sanayii A.Ş. - - - - - - - - - BAktia Bank Plc - - - - - - - DDB AkzoNobel B B C B B B A AC - Alaska Air Group - - - - - - CC C C Alaska Power & Telephone Company - - - - - D - - - - Albaraka Türk Katılım Bankası A.Ş. - - - - - - - C C B Alcatel - Lucent B A B C B A - - - - Alcoa Corp. - - - - - - AC B BALD SA - - - - - - - - D D Alfa Laval Corporate AB - - - - - - - C - C Alfa SAB de CV - - - - - - - - - D Alfresa Holdings Corporation - - - - - - - - - DAlgonquin Power & Utilities Corporation - - E - D E D D D D Allegion Plc - - - - - - D C BC Allergan plc B B A B B B B B BB Allete Inc. - - - - - E - - - - Alliance Data Systems - - - - - - D C D C Alliant Energy Corporation - - - - - - - - - C Allianz SE B AA AAB B B B C Continued on next page XX Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Allied Electronics Corporation Ltd (Altron) C D B B B C BC - DAllstate Insurance Company C C A B B B AB - B Alma Media Corporation C B C B - B B B B AAlmirall S.A. - - - - D E C C C B Alpek SAB de CV - - - - - - - D D D Alpha Bank - - - - - - - C BC Alphabet, Inc. - - - B A A A A A A Alps Alpine Co., Ltd. - - - - - - - - C C Alps Electric Co., Ltd. - E D D D D C C - - Alstom C B B B B - - B AAAlstria Office REIT-AG - - D D C B AAB B Altaba Inc. - - D - - - - - - - AltaGas Ltd. - - - D C C B B - B Altarea Cogedim - - - B B AAA- - - Alten - - D D E B B B AAAltran Technologies - - - - D D C - D C Altria Group, Inc. - C C C B B B AAB Alumina - C D C C D D D D D Amada Holdings, Ltd. - - - - - - - C B B Amadeus FiRe AG - - - - - - D D - - Amadeus IT Group, S.A. - - C B A B A AB B AMAG Austria Metall AG - - - E D B - - - - Ambev - Cia de Bebidas das Américas C C D C - - - - - - Continued on next page XXI Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Ambuja Cements - - - - - - B B C C Amcor - B B AAB AAB C Amdocs Ltd - - - - - C B C - D Amer Sports - E E D C D C C D D Ameren Corporation B B C B C C B C BB America Movil - - - - - - - C D C American Airlines Group Inc - - - - - E - D D BAmerican Axle & MFG Holdings Inc - - - - - - - - - C American Electric Power Company, Inc. B C C D C C B B - BAmerican Express C C B C C B B AB A American International Group, Inc. (AIG) - - - D D D B C C C American Tower Corp. C C - - - - - - - - American Water Works - - - - - D D D D B Ameriprise Financial, Inc. - - - - - - DCC C AmerisourceBergen Corp. - - - - - - CC D B AMG Advanced Metallurgical Group NV - - D D E D C D - - Amgen, Inc. C E B B C C C C C C Amkor Technology, Inc. - - - - - - - - - B Amlin C D D C D E C C - - AmorePacific Corporation - - - - B B B AC B AmorePacific Group - - - - B B A- - - - AMP - C C B B B B AAAAmphenol Corporation - - - - - - - - D C Continued on next page XXII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 ams AG - - C - E D C C C C Amsterdam Commodities NV - - - - - - - - - D ANA Holdings Inc. - - - - - - B AB B Anadarko Petroleum Corporation C B D - C D C C D D Anadolu Efes Biracılık ve Malt Sanayii A.Ş. - - - - - - - - BC Analog Devices, Inc. C - C B B C B B B B Anglo American B C A A B B B AA- - Anglo American Platinum B B B AA AA AAB Anglo Pacific Group - - - - - - C- - - - AngloGold Ashanti C C C B C C B B BC Anheuser Busch InBev B B B A A B AB B AAnritsu Corporation - - - - B C B B B B Ansaldo STS - B D B B C C C - - Ansell - - - - - - - D C B Anta Sports Products Ltd - - - - - - - - - D Anthem Inc C D C - D D C C C C Aon plc - - - C - - - D C - Aoyama Trading Co., Ltd. - - - - - - - - - D APA Group - C D D D D BC D- - Aperam - - - - D D B AB B APG SGA SA - - - - - - - C B AApple Inc. - - - - A A A A A A Applied Materials Inc. B D B - D E CB D D Continued on next page XXIII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Applus Services - - - - - - - C B B AptarGroup - - - - - C C B C BAptiv - - - C C D C C B B Aqua America Inc. - - - - - - - - - BAquarius Platinum D C E E D D C - - - Aquila Resources - D C B C - - - - - Aramark Corporation - - - - - - C C D - Arbonia AG - - - - D D - - - - ARC Resources Ltd. - - B B B C - C B B Arca Continental, SAB de CV - - - - - - - B C B Arcadis - - D B D B B BB B Arcadis Consulting (UK) Ltd C D - D - - - - - - Arçelik A.Ş. - - - - A B A A - AArcelor Mittal South Africa Ltd B D D C D D C C - - ArcelorMittal B - C - C C B C B AArcher Daniels Midland - - - - C D B C BB Arista Networks - - - - - - - - C C Arkema - - - - - C B AAB ARM Holdings C - E C C C B B B - Arnoldo Mondadori Editore SpA - - D C C C - - - - Arrium - C D C C D C - - - Arrow Electronics Inc. - - - - - - - D D C Arvind Ltd. - - - - - - C C D D Continued on next page XXIV Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Bemis Company C D C C C D BC C C Bendigo and Adelaide Bank - - - D E D C C C C Benesse Holdings, Inc. - C - - C B AAA A Berkeley Group C C C C - - B AC - Berner Kantonalbank AG BEKB - - B B B B A A A A Berry Global Group, Inc - - - - - D B B B B Beşiktaş Futbol Yatirimlari Sanayi Ve Ticaret A.Ş. - - - - - - - D- - - Best Buy Co., Inc. C B A A AA AA A A Bharat Forge - - - - - - D D D D Bharat Petroleum Corporation - - - - - - - - - D BHP - - - - - - - - A ABic - B A- - B AA AA ABic Camera Inc - - - - - - - D DDBidvest Group Ltd B C C B B C - - - - Biffa Plc - - - - - - - - - C Big Yellow Group - - C D B C B B C B Bilfinger SE - - - - - - D D D D Bilia AB - - - - D E - C - - Billabong International - C D - - - - - - - BillerudKorsnäs - - - C B A A AB ABiocon - - - - - - - - - C BioGaia AB - - - - C C B - - - Biogen Inc. B C B B C C B A AAContinued on next page XXXI Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 bioMérieux - - - - - - - C C D Birla Carbon - - - - - - C C D C BlackBerry Limited D - E D C C C C C C BlackRock - - E C D C B B AABMO Commercial Property Trust Ltd - - - - - - - - - C BMO Global Asset Management C C D D D - - - - - BMO Real Estate Investments Ltd - - - - - - - - - C BMW AG A A A A A A A A AABNK Financial Group Inc. - - - - - - D- - - - BNP Paribas B C C A AAAAAABNY Mellon C B B A A A A A A A Boardwalk REIT - - - E E E C C D DBobst Group - - - - D E E - - - Bodycote plc - - - - - - C C C C BOE Technology Group Co.,Ltd. - - - - - - - C - C Boeing Company B B B AB B AAAB Boliden Group B B B B B B AA- - - Bolloré SA - - - - - - D - B B Bolsas Y Mercados Espanoles - - - - E E - - - - Bombardier Inc. - - - B A - - - - - Bonava - - - - - - - D C B Bonavista Energy Corporation - - - - D - - - D C Bonduelle - - - C C - - - - - Continued on next page XXXII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Boral - D D D D D C C - - BorgWarner - - - - - - C C B B Borr Drilling Ltd - - - - - - - - - B Borregaard ASA - - - - - D B B A A Boryszew Maflow - - - - - - - - D C Boston Scientific Corporation - - - - - E - CC C Bouygues - - C - B B A AA ABovis Homes Group - - E D D - - - - D Boyner Büyük Mağazacılık A.Ş. - - - - - D - - - - BPER Banca - - - - - - D - - C bpost - - - - A B B C B B Brambles - C D - B C B B C B Brammer Plc - - - - - C B C - - Braskem S/A - - - - B AA A A ABravida Holding - - - - - - - D D D Brembo SpA - - - - C B AA A A Brenntag AG - - - - - - - - C C BRF S.A - - - B B C AC D C Bridgestone Corporation - C C B B B AAAABrisa - Auto-Estradas de Portugal SA B B C - - - - - - - Brisa Bridgestone Sabanci Lastik Sanayi ve Ticaret A.Ş. - - - - - - - - B ABristol-Myers Squibb B D B B B C AAC C Continued on next page XXXIII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 British Airways B C - - - - - - - - British American Tobacco C A B B B B AAB A British Land Company B AA A AB A B AB Britvic - D D D B C C C C C BRMALLS Participações - - - - - E D - - - Broadcom Corporation D C D B B A- - - - - Broadridge Financial Solutions Inc - - - - - - - C C C Broadspectrum - D E D - - - - - - Brookfield Asset Management Inc. - - D D D D - - - - Brother Industries, Ltd. - D C - B C B C B B Brown-Forman Corporation C B B A AA AB C - BRP - - - - - D C C C D BT Group A B B A A B A A A A BTG - - - D D D C D D - Bucher Industries AG - - - - - - DD D D Bunge - - - - - E C C C B Bunzl plc B B C C B C B B B BBurberry Group C E D C C B B AAABurckhardt Compression AG - - - - - D C - - - Bureau Veritas - - - C C D C C B B Buzzi Unicem - - C B B B - - - - BWP Trust - D D - C D D D C D BYD - - - - - - DDD- - Continued on next page XXXIV Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 C&C Group plc - - AA- - C B B BB C.H. Robinson Worldwide, Inc. - - - - - - D D - C CA Technologies C D B B C D B AA- - Cable and Wireless Worldwide C A B - - - - - - - Cabot Corporation - - - - - - C C C B CAE Inc. - - - - - - - D D C Caesars Entertainment - - - - AAA AAA Cairn Energy - C D D C D C C BBCairn India - - - - - - C - - - CaixaBank - C B B A A A A AACalbee, Inc. - - - - - - - D D D California Resources Corp - - - - - - - B B ACallcredit Information Group - - - - - E CC- - C Calsonic Kansei Corporation - - - - - D AB - B Cambian Group - - - - - E - - - - Cameco Corporation - - D D C C C C - - Canadian Imperial Bank of Commerce (CIBC) C C C D C D C C D B Canadian National Railway Company B B C - A AA A A ACanadian Natural Resources Limited - - - D - - C D D D Canadian Pacific Railway - - D D AB B B C B Canadian Tire Corporation, Limited - - D D B AAB C B Canary Wharf Group Plc - - - - - - - C C B Canon Inc. B C B - AAA B AAContinued on next page XXXV Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Canon Marketing Japan Inc. - D - - - - - - - - Cap Gemini - - C B A B AAB A Capita Group B C - - - - - - - C Capital & Counties Properties - - D C B B B A B B Capital One Financial C D D - C D C C C C Capital Power Corporation - - D - C C C C D ACapitaLand Limited - - - C B B B B B B Capitec Bank Holdings Ltd - - - - E E C - - - Cardinal Health Inc. D D D - E D C C D C Cargotec Corporation C E E - D E - C C C Carillion - - - A A - - - - - Carl Zeiss AG - - - - - - - - B B Carlsberg Breweries A/S C C C B C D C C C B Carnival Corporation C B B - C B B B D BCarrefour B B D B C B B AA A Cascades Inc. - - - - - - - - - D Casino Guichard-Perrachon - - - C B C B B B ACasio Computer Co., Ltd. - D D - B C C C C C Castellum - - D D - B AAB ACatcher Technology Co Ltd - - - - - - C - - - Caterpillar Inc. - D - - - - - - - - Cathay Financial Holding - - - C C C C B B ACathay Pacific Airways Limited - D C - B C B B B B Continued on next page XXXVI Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Catlin Group Ltd D D D C C B - - - - Caverion - - - - - D BC D C CBRE Group, Inc. C D E - B B B B C C CCL Industries - - - - - D B C C B CDW Corporation - - - - - - - D - - Ceconomy AG B B C AAAAA- - - Cegereal - - - - - - D C B B Çelebi Hava Servisi A.Ş. - - - - D D D C D C Celestica Inc. - - C C B B B B B B Celgene Corporation D E C C B C B C B B Cellnex Telecom SA - - - - - - B B B A Celsia SA ESP - - - - - D B C C C Cementos Argos SA - - - - - B B B B B Cemex - C C B B B AAB A Cenovus Energy Inc. - C C B B B AB - - Centamin plc - - - - - - - C C C CenterPoint Energy, Inc. - - - E - - - - - - Centerra Gold Inc. - - E D - E C D D D Centrais Eletricas Brasileiras S/A (ELETROBRAS) - - D - B C - C C B Centrais Eletricas de Santa Catarina SA CELESC - - - - - E D D D D Central Japan Railway Company - - - - E E C D BB Centrica B AB B A B A AAA CENTROTEC Sustainable AG - - C D - - - - - - Continued on next page XXXVII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 CenturyLink - E E D C C C B C B Cermaq Group ASA C C C B B C B B B BCEWE Stiftung & Co. KGaA D - C B C B AAB B CEZ - - - - - - - - D D CG Power and Industrial Solutions Limited - - - - - - D D - - CGG SA - - - E - - - - - - CGI Group Inc. - - - D C D C BC C Challenger - - - - E E D D - - Chang Hwa Bank - - - - - - - - - B Charles River Laboratories International Inc. - - - - - - - - - B Charles Schwab Corporation - - E E D E D D C C Charoen Pokphand Foods PCL - - - - D C B B BC Charter Hall Group - - C - C C C C - C Charter Hall Retail REIT - E - - - - - - - - Chaun-Choung Technology Corp - - - - - D CC- - - Check Point Software Technologies Ltd - - - - - - - D- - - Cheil Worldwide - - - - C E D - - - Chemours Co/The - - - - - - - - - C Chevron Corporation B B B AAB B B - - Chicony Electronics Co. Ltd - - - - - D D D - - Chime Communications - - - - - E C - C C China Agri-Industries Holdings Ltd - - - - - - D D- - - China Airlines - - - - - C AB AB Continued on next page XXXVIII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 China Citic Bank - - - - - - - DDD China Construction Bank - - - - - - - D D D China Development Financial Holdings - - - - - - D C B BChina Everbright International - - - - - - - - - B China Mobile - - - - - B A A A AChina Petrochemical Development Corp. - - - - - - - - - B China Petroleum & Chemical Corporation - - - - - - - - D D China Shenhua Energy - - - - - - - - - DChina State Construction International Holdings Ltd - - - - - - D D D C China Steel Corporation - - C B B B B AB B China Telecom - - - - - - - DD D China Unicom - - - - - - - - - DChina Vanke - - - - - - - D D - Chocoladefabriken Lindt & Sprüngli AG - - - E E E D C C C Chorus - - - E C D C C B BChow Tai Fook Jewellery Group - - - - - - - - - B Chr. Hansen Holding A/S - D D D C D BC D D Christian Dior - - E E B C - - - - Chubb Limited A B A A B B AAB B Chubu Electric Power Co., Inc. - - - - - - - - - B Chugai Pharmaceutical Co., Ltd. - - E - B D C C C B Chunghwa Telecom C C E D D C C C - D Church & Dwight Co., Inc - - - - - - - C B B Continued on next page XXXIX Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Cia Energética de São Paulo S.A. - CESP - - - - D E C CD - Cia Energetica do Rio Grande Norte - COSERN - - - - - - D- - - - Cia Paranaense de Energia - COPEL - - E - D D B C C C Cia Saneamento de Minas Gerais - COPASA - - - - E D D D D C Cia. Brasileira de Distribuicao (CBD) Grupo Pao de Acucar - - - - D D C C D BCia. Siderurgica Nacional - CSN C E D D - - - C D D CIE Automotive - - - C - D C C C C Cielo SA - - - E E D CC C B Cigna D - E C B C B B B B CIMIC Group - D B - B C C C C C Çimsa Çimento Sanayi ve Ticaret A.Ş. - - - - C C AB B B Cincinnati Financial Corporation D E E C C D C C C C CIR SpA - - - - - - - B C - Circassia Pharmaceuticals - - - - - - C- - - - Cisco Systems, Inc. A A B A A A A A A A Citigroup Inc. B B B B B A AAAA Citizen Watch Co.,Ltd. - - C D C D C C BBCitizens Financial Group Inc - - - - - - - C C C City Developments Limited - D D C B B C AA A Citycon Oyj C C D - - B B B C B CJ Cheiljedang - - - - D C B B C B Clariant AG - - C B B B B B B B Continued on next page XL Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Darfon Electronics Corp - - - - - - - C B B Darling Ingredients Inc - - - - - - - - - C Darty plc - - - - - D B- - - - Dassault Systemes - C D B B C C - - - Datatec - - - - - - C C C B David Jones - C B A B - - - - - DaVita Inc. - - - - - - - C - B DB Insurance - - - - D D B - - - DBS Group Holdings - - - - - - D C B B DCC PLC - - C - C E C C C C De La Rue - - D E D C C C C BDean Foods Company A B B B C BC - - - Deere & Company B C C C C C C C C C Delhaize Group - D D B B B B - - - Dell Inc. - - - - - - A- - - - Dell Technologies - - - - - - - B C B Delta Air Lines - B - - B C B C B ADelta Electronics, Inc. - D B B A B AAB ADelta Electronics (Thailand) plc - - - - - - B B B B Delta Lloyd NV - - - - - - D D - - Denka Company Limited - - - - - B B AB ADenso Corporation - - D - C D B B BBDentsply Sirona Inc. - - - - E D C C D - Continued on next page XLVII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Dentsu Aegis Network - C - C C B B B B - Dentsu Inc. - C B - B C AB C ADerichebourg Multiservices - - - - - - C D - - Derwent London C C C C C C B B B B Detour Gold Corporation - - - - - - C D C BDeutsche Bahn AG - - - - - A AA A A Deutsche Bank AG B B A A B B B - C C Deutsche Beteiligungs AG - - - - E E C C D D Deutsche Börse AG C B B B B C B AC B Deutsche EuroShop AG - - - - - - D D D D Deutsche Lufthansa AG - B C B B B B AB B Deutsche Post DHL Group A AB B B A AAAB Deutsche Postbank AG - D D C D C C C D - Deutsche Telekom AG A C C B B AA A A A Deutz AG - - - - - - C- - - D Devon Energy Corporation C D C B B C B C B B Dexus Property Group - B B - A A A AAA DGB Financial Group - - C - C B AAAB DIA - - - - - C AAAB Diageo Plc B AA A A A A A A ADialog Semiconductor plc - - - - - D D D D- - Diasorin SpA - - - - - D C C - - DIC Asset AG - - D D - - D - D D Continued on next page XLVIII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 DIC Corporation - C D - B AAAB B Diebold Nixdorf - - - - - E C C C C DiGi.Com Berhad - B E B - - - - - - Digital Realty Trust Inc - - - - - - - - - ADignity - E - D E C B C B B Dillard’s Inc. - - - - - - - D D D Dimension Data Holdings - - B - - - - - - - Direct Line Insurance Group - - - - - C C B BB DirecTV - - B - - - - - - - DISCO Corporation - - C B B B C C C B Discovery Holdings Ltd C D C B C C B C C C Distell Group Holdings - - - - - - - - B B Divi’s Laboratories - - - - - - - - - D Dixons Carphone - - - - - - C C B B DKSH Holding AG - - - - - - D D D C DNA Plc - - - - - - - B B B DNB ASA B D E B B B AA A A DNO International ASA - D D D D E C C D B DOF ASA - C E D C B B B C B Dometic - - - - - - CD DDDominion Energy C D C - - - - - B ADomino Printing Sciences - E E C B C - - - - Domino’s Pizza Group plc - E E E D C C C C BContinued on next page XLIX Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Domtar Corporation - - - E E E D D C C Don Quijote Holdings Co., Ltd. - - - - - - - - - C Donlim - - - - - - - C- - C Doosan Corp - - - - - E C - - - Doosan Heavy Industries & Construction - - - - A C AAD C Doosan Infracore - - D - C - - - - - dormakaba Holding AG - - - - - - B- - B B Dover Corporation - E D C C C B B B B Dowa Holdings Co., Ltd. - D C - C - - D D C Downer EDI - D C B C B B C C B DP World - - - - - AAAA ADr Pepper Snapple Group Inc - E D B B B AB - - Dr. Reddy’s Laboratories - - - - - - C AB C Drägerwerk AG - - E D E D - - - - Drax Group - D C C B - - - - C DS Smith Plc - D D C C C B B B - DSV A/S - - - E E D D D D D DTE Energy Company C D D C - C BC D B Duet Group - - - - - - D- - - - Duke Energy Corporation C C C C C C C C D B Dunkin’ Brands Group - - - - - E C C D B Duran Doğan Basım ve Ambalaj A.Ş. - - - - - - C C B B Duratex S/A - - - - B C AB B B Continued on next page L Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Dürr Aktiengesellschaft - - - - - E - D D D DXC Technology - - - - - - - - - C E.I. du Pont de Nemours and Company B B B A B B AAC - E.ON SE A B C B B A AAB B E.Sun Financial Holding Co - - - - - C C C B B East Japan Railway Company - - - C D B AAB B Eastman Chemical Company - - - - - C B C BBeasyJet - - - - - - D - - - Eaton Corporation B B A AAB AAB AEbara Corporation - D C - B C C C C B eBay Inc. C C D D D D C B B AEbos Group - - - - - - D D - - Ebro Foods S.A. - - - - E - D D D D ECA - - - - - - D - - - Eclat Textile Co Ltd - - - - - - D D C C Ecocem - - - - - - - - D - Ecolab Inc. B A B A B B AAAAEconocom - - - - E - - - - - Ecopetrol Sa - - - - C D D - - - Ecorodovias Infraestrutura e Logística S.A - - - - C B A AAB Ecova, Inc. - - - - - B B C - - Edenred Brasil - - - - - D C C - - Edenred SA - - - - E D - - C C Continued on next page LI Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 EDF B D B B B AA AA A Edison SpA - C D - - - - - - - EDP - Energias de Portugal S.A. B AB - B A A AAAEDP - Energias do Brasil S.A. - - - - C B B B C C Edwards Lifesciences Corp - - - - - D C C D C Eiffage - - - - D D D D C B Eisai Co., Ltd. - - - - - - AB B A Ekornes ASA - C B B E C B B - - Eldorado Gold Corporation - - E E E E C C D C Electric Power Development Co.,Ltd (J-POWER) - - - - - - - C C BElectrocomponents - B B B B B AAB B Electrolux B C B A AB A A A AElekta D D B B A B - DD C Elementis plc - - - - B B - C B C Eletropaulo Metropolitana Eletricidade de São Paulo S/A - - - - D D C C - - Eli Lilly & Co. C C C B B C AB AB Elia System Operator - - - - - - - C BBElisa Oyj - C B - A B B A AAElpida Memory, Inc. - D D - - - - - - - ElringKlinger AG - - C C D D C C - D Eltek AS - - - - - D C C - - ELTEL - - - - - - D D - D Continued on next page LII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Emaar Properties - - - - - - - D - - Embraer S.A. - - C - - - - C - - EMC Corporation B B B A AA A - - - Emeco Holdings - E E E - - - - - - Emera Inc. - - B B C D B B B B Emerson Electric Co. - - - - - - DD D C Emira Property Fund - D D C C C AB B B Emmi AG - - - - - - - B - BEmpire Company Limited - - C D - - D C D C Empresa de Energia de Bogota S.A. E.S.P. - - - - - C - C D D Empresas CMPC - - - - D E D C C B Empresas COPEC S.A. - - - - - - - D D C Ems-Chemie Holding AG - - - C C C - - - - Enaex - - - - - B - AB - ENAGAS - B B B B B A AB A Enauta Participações S/A - - - - - - - - D C Enbridge Inc. B C C C C B B C C - EnBW Energie Baden-Württemberg AG - - C C A B B AB B Endesa B AC B A AB A- - AEneco Groep - - - - - - - C B B Enel Distribuição São Paulo - - - - - - - - D B Enel SpA - A B B B B A A AA ENEOS Holdings, Inc. - - - - - - - - D - Continued on next page LIII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Energa SA - - - - - - - D D D Enerplus Corporation - - C C C D C C C C Ene-Vision Corporation - - - - - - - - - C Engie B B B B AAA A A A Engie Insight - - - - - - - - - B Eni SpA A B A B B B A AAAEnka İnşaat ve Sanayi A.Ş. - - - - - - - - BB Entergy Corporation B B B A A A - - - - Entra Asa - - - - - B B A B - EOG Resources, Inc. - - - - - - D DD D EOH Holdings - - - - - - C- - - - Equinix,Inc. - - - - - - B AC B Equinor - E C B C B AA- - B Eramet - - - - - - - - - D Ercros - - D D D D C - - - ERG S.p.A - - - - - - B AB B Ericsson B B C B A B B B B C Erste Group Bank AG - - D D C D - - - - Esprinet SpA - - - - - - D - - - Essar Oil - - - - A - AA- - - Essar Steel Limited - - - - - - - D - - Essentra - D E C E E D D D C Essilor International D D - - D E B A- - - Continued on next page LIV Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 EssilorLuxottica - - - - - - - - A- - Essity - - - - - - - - - AEstee Lauder Companies Inc. C C C A AB B AB AEtsy, Inc. - - - - - - - - - AEurasian Natural Resources Corporation - - C D - - - - - - Eurazeo - - - - - - C C C B Eurobank Ergasias SA - - - - - - D D - - Eurocash S.A. - - - - - - - - - D Euromoney Institutional Investor PLC C - - - - E D C D D Euronav N.V. - - - - - - D - - - Europcar Mobility Group - - - - - - - C C B Europris - - - - - - AB C B Euskaltel SA - - - - - - C C C BEva Airways Corp - - - - - - - C BB Eversource Energy B - C B C C B B C BEVN AG - - D D D C C C D C Evonik Industries AG - - - - B B AAB B Evraz Highveld Steel And Vanadium Limited - D - - - - - - - - Evry ASA - - - - - - - A- - A EXEDY Corporation - - - - - - C C BBExelon Corporation A C A A AB AB AB Expedia Group - E E E E E D D D C Expeditors International of Washington - D D C C C C C D C Continued on next page LV Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Experian Group B B D B B C B B B C Express Scripts Holding Company C E - - D D C C C - Exxaro Resources Ltd B AB B B B B B B B Exxon Mobil Corporation C B C B C C C C - - Ezaki Glico Co., Ltd. - - - - - - D - - - F5 Networks, Inc. - - - - E - - - D D Fabege - - - - - D - - - - Fairfax Media - - C - - - - - - - FamilyMart UNY Holdings Co., Ltd. - - - - - - - - - B Fanuc Corporation - - - - - - D D D BFar Eastern New Century Corporation - - - D - D B B B B Far EasTone Telecommunications - - - - - D B C C C Farmer Brothers - - - - - D AA AAFast Retailing Co., Ltd. - - - - - - B C B AFaurecia - - - - - D C B C AFBD Holdings Plc - - - - E E C C B B Federal Realty Investment Trust - - - - - - - - - C FedEx Corporation B D D B B B C B B AFeintool Group - - - - - - D D - - Femsa - Fomento Economico Mexicano - - - C - - B B- - - Feng Tay Enterprises Co Ltd - - - - - - C - - - Fenix Outdoor International AG - - - - - E - - - - Ferguson plc C B C B B C B AC B Continued on next page LVI Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Grieg Seafood - - - - - - - - - A GRIFOLS - E C B B B B B B B Grindrod Ltd C E B C D C BC B C Grontmij NV - - D D D D - - - - Groupe Eurotunnel - - - C C D D C - - Groupe Fnac-Darty - - - - - E D D D B Groupe PSA B B B AAAA AA Ã Groupe SEB - - - C C C C AC B Groupe Steria - AAA A - - - - - Growthpoint Properties - C B A B C AB B B Growthpoint Properties Australia - - - - - - C B B B Grupo ACS (Actividades de Construcción y Servicios) - - - - - - - - D - Grupo Bimbo, S.A.B. de C.V. - - - E D D C B B B Grupo BTG Pactual - - - - - - - C B BGrupo CCR - - - D B B AAA Ã Grupo de Inversiones Suramericana SA - - - - D B B B C BGrupo Ezentis - - - - - - - C D C Grupo Financiero Banorte SAB de CV - - C B B A AAC B Grupo Logista - - - - - B A A A A Grupo Nutresa S.A. - - - - C - C C C BGrupo Televisa S.A. - - - - - E C CC C GS Engineering & Construction - - C - C C A- - D B GS Yuasa Corporation - - - D D D C C BB Continued on next page LXIII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Guerbet - - - - - - - - - B Guess ?, Inc. - - - - - - - - - AGujarat Fluorochemicals - - - - - - - - - DGunnebo C C - - - - - - - - H&M Hennes & Mauritz AB C D D A A B AAAA H&R AG - - D D - - - - - - H&R Block Inc - - - - - - - - D- - H&R Group - - - - - - - - - D H&R Real Estate Investment Trust - - - - - - - CD D H2O Retailing Corporation - - - - - - - - - DHaier Electronics Group Co Ltd - - - - - - - - - DHakuhodo DY Holdings Incorporated - - - - - - - B B B Halliburton Company C E D D D C B C D C Halma - - E D C C C C C B Hamamatsu Photonics K.K. - - - - - - B B BB Hamburger Hafen und Logistik AG - - E D D D D D D D Hana Financial Group - - - - - - AAB AHanesbrands Inc. - - - - - D B C AAHang Lung Properties - - - - - - - - - C Hang Seng Bank B D - - - D D D DD Hanjin Shipping Co Ltd - - C - C - - - - - Hankook Tire & Technology Co., Ltd. - - C - B B AAAAHankyu Hanshin Holdings, Inc. - - - - - - - - - C Continued on next page LXIV Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Hannon Armstrong Sustainable Infrastructure Capital, Inc - - - - - - - - C C Hannover Rück SE - D C C C C B B C C Hanon Systems - - - - - - - D D - Hansae Co., Ltd - - - - - - D - - C hanseWasser Bremen GmbH - - - - - D B- - - - Hansol Paper Co - - - - - B B C C - Hanwha Chemical Corp - - C B B - - - - - Hanwha Corp. - - - - C - C - - - Hanwha Group - - - - - D C - - - Hanwha Q CELLS GmbH - - D - - - - - - - Hanwha Techwin - - B - B - - - - - Hargreaves Lansdown - - - - - - - - - D Harman International Industries Inc - - - D C D B C - - Harmony Gold Mining Co Ltd B B B A A A A A AB Hasbro, Inc. - D B B B C C C C C Havas - - - D D D - CC C Hays - - E D C C C D D D HCL Technologies - - - - - - B- - C BHCP Inc. - - D A- - - - - - - HDFC Bank Ltd - D - - D - C - - B Healthpeak Properties, Inc. - - - - - - - - AAHeidelbergCement AG - C C C B AA AAA Continued on next page LXV Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Heijmans Nv-Cva - - D - C D AB B B Heineken NV - D B B A B AAC B Helical Plc - - - D D D C C C C Hellenic Petroleum - - - - - - - - - BHellenic Telecommunication Organisation SA - - - - - - B B B B Helvetia Group - - - D D C B B B B Hengan Intl Group - - - - - - - - - C Henkel AG & Co. KGaA B C C B B B B B C C Henry Boot plc - - - - E D - - - - Henry Schein Inc. - - - - - - - - - D Hera - B D B B B B AB B Heritage Oil - - - - E - - - - - Herman Miller - - - - - E D C D C Hermes International - - - - - - - - - B Hero Motocorp Ltd - - - - - - - - - D Hertz Global Holdings - - - - - - C C CC Hess Corporation B B B B B B AAAAHewlett Packard Enterprise Company - - - - A A A A A A Hexpol AB - - E D D D C C C C Hikma Pharmaceuticals C - - C B B B C - B Hill & Smith Holdings - - E E E E C D D D Hillshire Brands Company B - D - - - - - - - Hilton Food Group plc - - - - - - D- - C B Continued on next page LXVI Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Hilton Worldwide, Inc. - - - - - B AB B A Hindustan Zinc - - - - - - C B B B Hino Motors, Ltd. - - - - - - B B BC Hirose Electric Co., Ltd. - - - - - - C C - - Hiscox - - C C C C B C C C Hispania Activos Inmobiliarios S.A.U. - - - - - - - B B - Hitachi Cable, Ltd. - C D - - - - - - - Hitachi Capital Corporation - - - - - - - C BC Hitachi Chemical Company, Ltd. - - - - C D C B BB Hitachi Construction Machinery Co., Ltd. - C C - B B AAB AHitachi High-Technologies Corporation - D D - - D C C C B Hitachi Metals, Ltd. - - - - - C B C B BHitachi Rail STS - - - - - - - - C D Hitachi, Ltd. - C C - A A B B AAHK Electric Investments - - - - B B B BC C HNI Corporation - - - - - - - C C C Hochtief AG B - C A B B B B B B Hoist Finance - - - - - - D D- - - Hokuriku Electric Power Company - D - - - - - - - - Holidaybreak Plc C D - - - - - - - - Holmen C C A B A B AB CCHologic, Inc. - - - - - - - D D D Home Product Center,Plc - - - - - - D- - - - Continued on next page LXVII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Home Retail Group B C C B B C B - - - Hon Hai Precision Industry - - - - - D D DC D Honda Motor Co., Ltd. B A B A AAAAAB Honeywell International Inc. - - - B C D C B B B Hong Kong Exchanges and Clearing Limited C C D D D B B B C C Hongkong & Shanghai Hotels Ltd - - - - B C B C - C Hongkong Land Company Limited - - - - - - B B - - Horiba Ltd. - - - - - - - D C BHormel Foods C - D D C D C C C C Hornbach Holding AG & Co. KGaA - - D - - E D D - - Hosken Consolidated Investments D D C D D D B B BB Host Hotels & Resorts, Inc. - D C A A A A AAA Hotel Shilla Co., Ltd. - - - - D D D - - - Hoya Corporation - - E - E E D D - D HP Inc - - - - - - - A Ã A HSBC Holdings plc A AB A A B A AB AHSS Hire Group - - - - - - D- - - - HTC Corporation - - - E D D C C C B Huatai Securities - - - - - - - DDC Hub Group Inc - - - - - E D D D - Huber + Suhner AG - - - C C A A A- - - HudBay Minerals Inc. - - C D C C C C D C Hudson’s Bay Co. - - - - D - - - - - Continued on next page LXVIII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Hufvudstaden B C B B B B B B - - Hugo Boss AG - - - - B C AB C D Huhtamäki Oyj - - - - E C B C C C Hulamin - - - - - E CD - BHumana Inc. C D C B B B AAB AHunting - - - - E - - - - D Huntington Bancshares Incorporated - - D C D D C C B B Huntsman Corporation - - - - - - - - - D Husky Energy Inc. C - D C B B B B B B Husqvarna AB D - E C C C B B B BHyatt Hotels - - - - - B B B B B Hydro One Limited - - - - - - - D C D Hyosung Corporation - - - - - C B - D D Hypoport AG - - - - - - D - - - Hyprop Investments Ltd - - - - D C AAB B Hyundai E&C - - B - A A A A A AHyundai Glovis Co Ltd - - - - - - AA AAHyundai Marine & Fire Insurance Co., Ltd. - - - - C C B C - - Hyundai Merchant Marine - - C - B B - B - B Hyundai Mobis Co Ltd - D C B B B AB BB Hyundai Motor Co B B B B B C A AA A Hyundai Steel Co - - B - AAA- - BAIamgold Corporation - - - - - E C D C - Continued on next page LXIX Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Iberdrola SA A C A B A A A AAAIberia Lineas Aereas de Espana SA - D - - - - - - - - Ibiden Co., Ltd. - C C - C D C C C D ICA Gruppen B B C - - - - - - - Icade - - - B B B A AAAICF International - - - - - - C C AAICICI Bank Limited - E - - - - - - - - ICL - B B B A B AAB AID Logistics - - - B AD B - - - Idacorp Inc - - - - - D C C D - IDBI Bank Ltd - - - - - - D - - - Idemitsu Kosan Co., Ltd. - - - - - - - - - B IDFC Bank Ltd - - - - - - - C - - IDFC Ltd - - - - - - C- - - - IGM Financial Inc. - - - C B B AAA A IGO Ltd - - - - - - - - D - IGT PLC - - - - - C B AC C IHI Corporation - - - - A B AB B B IHS Markit Ltd. - - - - - - CC D C Illinois Tool Works Inc. C C E C D E C C C C Illovo Sugar Ltd - - D C C C B - - - Illumina Inc - - - - - - - DDC Iluka Resources - - - - - - D - - - Continued on next page LXX Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 IMA SpA - - - - D C C C C C Imerys - B B B B B B B C B IMI plc - - - - B D C C D D Immobiliare Grande Distribuzione SpA - - - - - E C C C D Impala Platinum Holdings B C B B B C AB C B Impax Asset Management Group plc - - - - - - - - - D Impax Environmental Markets D E E E D E D D D - Imperial Brands C D D B C B B AB A Imperial Holdings C D D C C C B C B B Imperial Oil - C D D D D D D - - Inapa - Investimentos, Participações e Gestão, SA - - - - - - D - - D Inchcape - - - - - - - - C C Incitec Pivot - D D C D B C C D C Independence Group - - - - - E D D - C Indian Hotels Co. Ltd. - - - - - - C C C C Indian Oil Corporation - - - - - - C C D C Inditex C D B B AB A AAAIndivior - - - - - - C CC C Indo Tambangraya Megah Pt - - - - - E C C D C Indorama Ventures PCL - - - - - - B B B B Indra - E D D C C C C AB Indus Holding AG - - C - C B A A A A Indusind Bank - - - - - - AAAAContinued on next page LXXI Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Industrial Alliance Insurance and Financial Services Inc. - - - - - - - - D C Industrial And Commercial Bank Of China Limited - - - - - - - D- - - Industrial Bank of Korea - - C - C C B - AAIndustrias Peñoles - - - - E E - - D - Industrivärden - - E E D D C C C C Infigen Energy - E - - - D B - - D Infineon - D D - D C B B B B Infinis - - - - - C - - - - Informa C E E D C - - - - - Infosys Limited - D C - - - AA A AING Group B D B B A A A A A A Ingenico - - - - B B B B B B Ingersoll-Rand Co. Ltd. - - - - - - - A- - AIngredion Incorporated - - - - - - - C B AInmarsat - - - - - C B B B B Inmobiliaria Colonial - - - - - - - C C C Innate Pharma SA - - - - - E - - - - Innogy SE - - - - - - - - - C Innolux Corporation - C - - B B AB B B Inpex Corporation B C D - B C AC C B Inscape Corporation - - - - - - D D C D Insurance Australia Group - B A B A B AB C B Continued on next page LXXII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Kesko Corporation C B B B AA AAAB Keurig Dr Pepper - - - - - - - - - B Kewpie Corporation - - - - - - - - - D KeyCorp - - B A B B AAB AKeyera Corp. - - C D D D B C D D Keysight Technologies Inc - - - - - - - - - C Kia Motors Corp - - - - - - - - - A Kier Group B B C C C C B C C - Kikkoman Corporation - - - - C B AB BAKilroy Realty - - - - - - - B B B Kimberly-Clark Corporation D C D C C B AAB AKimco Realty - - - C B B B AB B Kinden Corporation - - - - - - - - DDKindred Group - - E D D D C C C BKingfisher A B B B AB B AA- - Kingspan Group PLC - - - - B A A A - A Kinnevik AB C D D - - - - - - - Kinross Gold Corporation - D D B C C C C C C Kintetsu Group Holdings Co.,Ltd. - C C C B B B B C B Kion Group AG - - - - - - - - B B Kirby Corporation - - - - - E - - - - Kirin Holdings Co Ltd B AA- - A A A A AA Kiswire Ltd. - - - - - - C- - - - Continued on next page LXXIX Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Kiwi Property Group - C D A B A AAB AKlabin S/A - - - - B C AB A A KLA-Tencor Corporation - - - - - - - D- - - Klepierre D D D B B B A A A AKlöckner & Co SE - - - E - - D D- - - Klövern - - - - C D C - - B KLP - - - - - - - - C B Knoll, Inc. - - - - - D - D D D Kobayashi Pharmaceutical Co., Ltd. - - - - - - - - - C Kobe Steel., Ltd. - - - - D E C D D D Kobenhavns Lufthavne - - C C B - - - - - Kohler Co. - - - - - - - - - C Kohl’s Corporation C C C B C C C D C AKoito Manufacturing Co., Ltd. - - - - - - C C C C Kokuyo Co., Ltd. - C C - B C B C C C Kolon Industries, Inc. - - - - - - - CC D Komatsu Ltd. C C D A A B A A A A Komax AG - - - - - D - - - - Kone Oyj B B B AAA A AAA Konecranes C D D - D C B C B B Kongsberg Automotive Holding ASA - - - - - - - D D C Kongsberg Gruppen ASA - D D C D E B C - - Konica Minolta, Inc. - B B - A B A A AAContinued on next page LXXX Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Koninklijke DSM - D D C C C A A AAKoninklijke KPN NV (Royal KPN) - B A A A B A A AA Koninklijke Philips NV A A AA A A A A A A Kontron AG - - D D D D C D - - Koppers Holdings Inc - - - - - - CCC C Kordsa Teknik Tekstil A.Ş. - - - - - - - - C B Kordsa Teknik Tekstil AŞ - - - - - - D D - - Korea District Heating Corp. - - C - A AA AAAKorea Electric Power Corp - - - B B B A AAAKorea Gas Corp - - C - B B B - B B Korea South-East Power - - - - - - - B B B Korean Air Lines Co Ltd - - B - - C C - - - Korian-Medica - - - - - - - D - D KOSE Corporation - - - - - - - - - B Kotak Mahindra Bank - - - - - - C C C C KP Chemical Corp - - B - - - - - - - Krasnoyarskaya GES OAO - - - - - E CC- - - Kroger - - D D D C B B C C Krones AG - - E C C D D D D D Krug Inc. - - - - - E D D - - KSB AG - - E E E E C C - - KT Corporation - - B - A A A A AAKT&G - - - - - - D- - - - Continued on next page LXXXI Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Kubota Corporation - B - - B C AAAAKuehne + Nagel International AG B D B B B B B B C - Kuka AG - - - - - - D D D - Kumagai Gumi Co Ltd - - - - - - - - - B Kumba Iron Ore B B C B B A A AB B Kumho Petrochemical - - - - - - D - D - Kungsleden AB C C D C - - - - - - Kuraray Co., Ltd. - C C B C D BC - C Kurita Water Industries Ltd. - - - - D D C C C C Kyocera Corporation B C E - B C B B AAL3Harris Technologies INC - - - - - - - - C BLa Banque Postale - - - - - - - - - ALaboratory Corporation of America Holdings - - - - - - - - - B Lafarge S.A. A AB B B C - - - - LafargeHolcim Ltd B C B C B B AAB ALagardere S. C. A. - D E D D D C D D C Laird Plc - E D C C C BC - - Lam Research Corp. - - - - - C C C B B Lamprell Plc - - - - - E C C D C Lancashire Holdings - - - D D - C C C C Landsec - D B B AC AA A A Lanxess AG - - B B B C A A AA Larsen & Toubro B C B B A AC B - - Continued on next page LXXXII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Larsen & Toubro Infotech Ltd - - - - - - - D - BLas Vegas Sands Corporation - - C AAA A A A A Lassila & Tikanoja C D D - B B AAAALaurentian Bank of Canada - - - - - - D DDDLawson, Inc. - - - B B B AA- - - Lear - - - - - - - C C C Leasinvest Real Estate Sca - - - - - - - D- - - Legal and General C C C C C C C BB B Legg Mason, Inc. C E C B B C AC C B Leggett & Platt, Inc. - - - - - - - DDDLegrand C C D B C C B B AALeidos - - - - - - - - C B Lemminkainen Group - C E C C - - - - - Lennox International Inc - - - - - - AAB B Lenovo Group - B B - B B AAB ALeonardo C C C B C C B AAALeoni AG - - E D - D C CD C Lerøy Seafood Group - - - D C D B C C C Level 3 Communications, Inc. - - - - - B AAA - Levi Strauss & Co. - - - - - - - - - B Lewis Group - D D - - - - - - - Lexmark International, Inc. - - - - - D C C C C LG - - - - C B AAAA Continued on next page LXXXIII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 LG Chem Ltd - B B B A AA AAB LG Display - - C - B B A A A A LG Electronics - - A - A A A A B A LG HAUSYS - - B - C C AAB B LG Household & Health Care - - - - C C B B B B LG Innotek - - B - B A A AB A LG International - - - - - D C C D - LG Life Sciences - - - - C B A- - - - LG Uplus - - - - B A A AAA Li & Fung Limited - - B B B D C C D C Liberty Global plc - - - - C B AAC C Liberty Holdings Ltd (incorporating Liberty Life Group Ltd) C C D D C E C C B B Liberty Property Trust - - - - - - C - - - Life Healthcare Group Holdings Ltd - - - E C D C C D DLight SA - - - - D D C C D D Lincoln National Corporation - - - - D D B B B B Lindab AB C C C - - - - - - - Linde AG B C B AB B B AC - Linde PLC - - - - - - - - AALinear Technology Corp. - - - - D D CD - - Link Real Estate Investment Trust - - C C B D B - - - Lintec Corporation - - - - - - - CD D Continued on next page LXXXIV Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Linx SA - - - - - - - D - - Lion Corporation - C C B B B B C B B Liontrust Asset Management PLC - - - - - - - - - DLite-On Technology Corporation - - - - B B AB B A Lixil Group Corporation - - D - B B B B B ALloyds Banking Group B B B B B B A A A A Loblaw Companies Limited - - E D D E C C D C Lockheed Martin Corporation B A A A A AA A A ALogitech Europe S.A. - - - - - - - - D - Logitech International SA - - - D C D C C - C Lojas Americanas S/A - - - - E E D C C C Lojas Renner S.A. - - - - C C AC C B London Stock Exchange - - E D B B AAAALonmin B C B B B B AB B B Lonza Group AG - - E D C E D D D D Loomis AB - - - - - - - D - - L’Oréal B C B - A A A A A A Lotte Chemical Corp - - - - B B AB C - Lotte Shopping - - - - C - - - - - Lowe’s Companies, Inc. C - C D D D B B C B LS Electric Co Ltd - - - - - - - - D - LSI Corporation B C B B - - - - - - Lukoil OAO - - - - - - D D - D Continued on next page LXXXV Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Lululemon Athletica Inc. - - - E - D B C - - Lundbeck A/S - B D B A B A A AA Lundin Energy AB - - - - - - - - A- - Lundin Mining Corporation - - - - D D C C B B Lundin Petroleum B D D C B D BC - B Luxshare Precision Industry - - - - - - - - D - LVMH B C D C B C - - - D Lynas Corporation - - - - - E - - - - LyondellBasell Industries N.V. - - - - - - - C C D M&T Bank Corporation B C C D D D C - - - Macerich Co. - - - - - A A AA A Macquarie Group - C C B B D B C C B Macy’s, Inc. - - - - - - DD C C Maeda Corporation - - - - - - - - - C Magellan Financial Group - - - - - - C C C C Magna International Inc. - - E E E - D D D C Magyar Telekom Nyrt. - - - - - - - C C B Mahindra & Mahindra - - - - - - B B B AMahindra & Mahindra Financial Services - - - - - - B B C C Mahindra Lifespace Developers Limited - - - - - - B B D B Mainstream Renewable Power - - - - - - - C AAMaire Tecnimont SpA - - - - - - DC B B Maisons du Monde SA - - - - - - - B AAContinued on next page LXXXVI Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Makita Corporation - - - - - - - - - D Malayan Banking - - D - - E C C D D Mallinckrodt plc - - - - - - - CD C Man Group plc C D - - - - - - - C MAN SE C D B B A A- - - - - Mando - - - - - - D- - - - Manitoba Telecom Services - - - D D D C - - - ManpowerGroup - - - - - - C C C C Manulife Financial Corp. - - C C C D B B B B MAPFRE C C C B B A A A AAMaple Leaf Foods Inc. - - E E D E C - C C Marfrig Global Foods S/A - - - - C C B B C B Marico - - - - - - - - - C Marine Harvest Group - C - B C C AA- - - Marks and Spencer Group plc B B A B B B B B BB MARR SpA - - - - - - DDD D Marriott International, Inc. B B B B C C B B C B Mars - - - - - C AAB AMarsh & McLennan Companies, Inc. D C B B B B AB AB Marshalls C D D B B B B B B D Marston’s PLC - E - D - - - - - - Martinrea International Inc. - - - - - - CD - - Marubeni Corporation - B C C B C B B B AContinued on next page LXXXVII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Marui Group Co., Ltd. - - - - - - AAA A Marvell Technology Group, Ltd. - - - - - D - - DC Masco Corporation B C C C B - - CD CMasdar - - - - - - - C - - Massmart Holdings Ltd B C C B C C C AB - MasterCard Incorporated - - - - - - D C C B Matsui Securities Co., Ltd - - - - - - DD- - - Mattel, Inc. - - - D C D C D - D Maurel Et Prom - - - - - E C B AAMaxim Integrated Products, Inc. - - - - - D - - D C Mayr-Melnhof Karton Aktiengesellschaft - - - - - - C D C C Mazda Motor Corporation - C C - B B AAB AMcBride plc C - C C C D B - - - McCormick & Company, Incorporated C C C C C D C C C C McDonald’s Corporation - - D D C D C C C C McKesson Corporation - - - - - - D C C B Mead Johnson Nutrition Company - - D - - - - - - - Meda AB C D C C B B B - - - Mediaset Espana Comunicacion SA - - - E B B AB B AMediaTek - - - - - - D D - - Medibank Private - - - - - - - D D D Mediclinic International - - - B A AA AB B Mediobanca - - - - B C B - - D Continued on next page LXXXVIII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Nestlé A AA A AA A A A A NetApp Inc. - E D C B C B B C BNetaş Telekomünikasyon A.Ş. - - - - D D D D D C Netcare Limited C B B B B C B B B B NeuStar Inc - - - - - D - - - - New Gold Inc. - - - E D D C - - - New World Development - - - - - - - C C C New Zealand Oil & Gas - - - - - E - - - - Newcrest Mining C E E - - - - - - - Newell Brands - - - - - - - - D D Newell Rubbermaid Inc. D - - D E E - - - - Newmont Mining Corporation C C C B C D B B AB News Corp - - - - B B AAB B Nexans - - - - D D C B A ANexen Inc. - - C - - - - - - - Nexen Tire - - - - D D - - - - Nexity - D C - B B AB A ANext B C B B B D - B B B Nextdc - - - - - - - - - D NGK Insulators, Ltd. - C B - - C B B B ANGK Spark Plug Co., Ltd. - - C C B C C B D B NH Foods Ltd. - - - D C D C C C BNH Hotel Group - C B C AA B B AB Continued on next page XCV Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 NH Investment & Securities Co., Ltd. - - - - - - D D D DNIB Holdings Ltd - - - - - - - - - C Nibe Industrier - - - - - C B C - - Nichirei Corporation - - - - C C AC B B Nidec Corporation - C - C - - D - D D Nielsen Holdings - - - - - - D B C C Nifco Inc. - - - - - - - - - C Nihon Kohden Corporation - - - - D D D C BBNike Inc. - - D D C D C B C B Niko Resources Ltd. - - - - - - D - - - Nikon Corporation - - C C C D AB AA Nippon Express Co., Ltd. - - - - C D C C B BNippon Kayaku Co., Ltd. - - - - C C C C BBNippon Light Metal Holdings Company, Ltd - - - - - - C C C C Nippon Paint Holdings Co., Ltd. - C C C - - - - - - Nippon Paper Industries Co Ltd - - - - C D D D D D Nippon Sheet Glass Company, Ltd - - D - B B B B B B Nippon Shinyaku Co., Ltd. - - - - - - - - - D Nippon Shokubai Co., Ltd. - D D E D D C C D C Nippon Steel Corporation C C C D B C B B B B Nippon Suisan Kaisha Ltd - - - - - - DD D D Nippon Telegraph & Telephone Corporation (NTT) - - E - A B AAB B Nippon Television Holdings - - - D - - - - - - Continued on next page XCVI Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Nippon Yusen Kaisha Line - B A AB AAAA ANishimatsu Construction Co Ltd - - - - - - - - - ANiSource Inc. C D - D C E D C C C Nissan Chemical Industries, Ltd. - - - - - - D C B B Nissan Motor Co., Ltd. C C C A A A A AAA Nissha Co., Ltd. - C D - - D C C B B Nisshin Seifun Group Inc. - - - - - - - - - B Nisshinbo Holdings Inc. - C C - C C B C C C Nissin Foods Holdings Co., Ltd. - - - - - - - - - B Nitto Denko Corporation - E D C C D D B B B NKT Holding A/S C E D C - - - - - - NMDC - - - - - - - C D D NN Group NV - - - - - C B C B C Nobia - E D D D D C C C C Noble Energy, Inc. C D C C C C C C C - Noble Group - B B AB - - - - - NOK Corporation - C C - C - C C C B Nokia Group A AA AA A AAAANokian Tyres - - - E E D C B BB Nolato AB - - - - - D C C C C Nomura Holdings, Inc. C E B B B B AAAANomura Real Estate Holdings, Inc. - - - - - - - - - B Nomura Research Institute, Ltd. - - - - - B AB B A Continued on next page XCVII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Nordax Group - - - - - - DD- - - Nordea Bank Abp - - - - - - - - BB Nordex SE - - - - - E C C D C Nordic Semiconductor ASA - - E D C C B C BC Nordnet AB - - D E - - - - - - Nordstrom, Inc. C D C C C D B B B B Norfolk Southern Corp. C B B B B AB C C B Noritz Corporation - - - - - - - - C B Norma Group - - - - - E - - - C Norsk Hydro B D D C C C C C C D Northam Platinum Ltd B B D B C D B C C B Northern Star Resources - - - - - - - D - - Northern Trust C D D B C D B AC - Northgate Plc - - - - - E - - - - Northrop Grumman Corp C C A A A AAAAANorthumbrian Water Group B B B - - - - - - - Norway Royal Salmon - - - - - - - - - B Norwegian Cruise Line Holdings Ltd - - - - - - - - - BNorwegian Property ASA - - D C B C AAB B Novartis B A B B B B AAAANovatek Microelectronics Ltd - - - - - D D - - - Novatek OAO - - - - E E D D- - DNovellus Systems - D - - - - - - - - Continued on next page XCVIII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Novion Property Group - AA AAA- - - - - Novo Nordisk A/S A B B B B B A A A A Novozymes A/S B B B AA AA AAB NRG Energy Inc - C B B C B B B AANSI NV - - - - - - - D- - - NSK Ltd. - C C B B C B B B B NTN Corporation - C D B D C AAB B NTPC Ltd - - - - - - - - - D NTT Data Corporation - B B B B B AAAANTT DoCoMo Inc. - D D - B C B AAB NTT Urban Development Corporation - B B B B B B B C - Nutrien Ltd. - - - - - - - - - D Nvidia Corporation D D C B C C AB AANXP Semiconductors - - - - - - - - D D Nyrstar NV - - D D - D C C D D Obayashi Corporation - B B - B B AB BAObrascon Huarte Lain (OHL) - B B B AA A A A- - OC Oerlikon - - - - - - D - - - Ocado Group - - - - - - - C B B Occidental Petroleum Corporation - C D E E D C C C C Oceana - - B B B B AB B B Odfjell SE - D D D C D C C C C Odontoprev S/A - - - - E E C- - - - Continued on next page XCIX Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Office Depot, Inc. - - - - - - - C D C Office2Office PLC - - - - D E - - - - OFS Brands - - - - - D C C C - OGE Energy Corp. - - - - - E C CD D Oi S.A - - E - D D B C C C Oil Search - B D D D D C C C C Oji Holdings Corporation - B B - C C B B B B Olam International - - E - - C B BC C Old Mutual Group B B B B B B B B B - Olympus Corporation - C C A A B AAB AOmnia Holdings Ltd - - - - - C B B B C Omnicom Group Inc. - E D D E - - - D D Omron Corporation - D B - B C B B B AOMV AG - B D B B AAAAAON Semiconductor - - - - - D C D D D Oneok Inc. - - - - - E D D D D Ono Pharmaceutical Co., Ltd. - - - - C C B AA A Ontex Group NV - - - - - - C C C BOP Financial Group - - E B C C B B B AOpera Software ASA - - - - - - - D- - - Ophir Energy plc - - - - - - C C D D Oracle Corporation - E D C C B A A A AOrange B E A B A B B AAA Continued on next page C Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Orbia Advance Corporation - - - - - - - - C D Orbis Corp - - - - - E - - - - Orica - C - - D D C C C B Oriental Land Co Ltd. - - - - - - - - - DOriflame Cosmetics AB - - - C A B B BB B Origin Energy - C C B C D B C D B Origin Enterprises PLC - - - - - - - - D- - Oriola Oyj - - - - - - - D C B Orion Oyj D D - - - - - - - D ORIX Corporation - E C D C D C C D - Orkla ASA C C D C B B B AB AOrmat Technologies Inc - - - - - - D D D D Orocobre - - - - - - - - - D Orora - - - - - - B C BB Orpea - - - - - - - - - DØrsted - - - - - - B C B A Osaka Gas Co., Ltd. - B C B B B AB AAOsram Licht AG - - - - - - - - - BÖssur hf. - - - - - - D D - - Österreichische Post AG - - B A B B B A AA Otsuka Holdings Co., Ltd. - - - - - - D C B B Outokumpu Oyj B B B A B B BB C C Outotec Oyj B C B - - - - - - B Continued on next page CI Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Oversea-Chinese Banking Corporation - - - - - - DD- - DOvintiv Inc - - - - - - - - B - Owens Corning - - - - - B A A A A Owens-Illinois - - - - D D C C B B Oxford Instruments Plc - - - - D C C - - - OZ Minerals - C D D - - D D - - Paccar Inc - - - - B AAAA A Pacific Basin Shipping Ltd. - - - - D - - - - - Pacific Horizon Investment Trust - - - - - E C - - - Pacific Industrial Services - C B C - - - - - - Packaging Corporation Of America - - - - - - - - - C Pact Group Holdings - - - - - E - - - - Pagegroup - - - E E - - - - - Palfinger AG - - - - - - B C C C Pall Corporation C D D C C E D - - - Panalpina Welttransport Holding AG - - E D C C B B AA Panasonic Corporation A B A AB B AAAA PanAust - - C D C C B C C - Pandox - - - - - - - C B B Parex Resources Inc - - - - - - - - C C Parexel - - - - - - - C D C PARK24 Co., Ltd. - - - - - - - D- - - Parker-Hannifin Corporation D D C B B C B BB B Continued on next page CII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Partners Group - - E E - - - DDDPartnership Assurance Group plc - - - - - D D - - - Pattern SpA - - - - - - - - - D Patterson Companies, Inc. - - - E E - - - - - Peab AB - C C B B C B BB B Pearson C D D B C C B B C B Pegasus Hava Taşımacılığı A.Ş. - - - - - B B B B B Pegatron Corporation - - - - C D C C D C Pendal Group Limited - - - - - - D D D C Pengrowth Energy Corporation - - - B C D C - - - Pennon Group B B C AB C B B C B People’s Insurance Co Group of China Ltd - - - - - - - - DDPepsiCo, Inc. B AB B B B B AAAPerkinElmer, Inc. C D D D D E D D D D Pernod Ricard C C E - B B AB AA Perpetual Limited - D E - E D C D C D Persimmon C C D C D D D C C C Persol Holdings Co Ltd - - - - - - DD- - - Petra Diamonds Ltd - - - - D C C C B B PetroChina Company Limited - - - - - - - - DDPetrofac - E D B B C B C C B Petróleo Brasileiro SA - Petrobras C C C - C C AB B B Petroleum Geo-Services ASA C D D D C D C C - C Continued on next page CIII Table 7 – continued from previous page Firms 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Peyto Exploration & Development Corp. - - - - - - - C - - Pfizer Inc. B B A B B B B B AB PG&E Corporation A B B B B AA AB B PGS ASA - - - - - - - - C - Pharos Energy plc - - - - - - - - D - Philip Morris International B B A B A A A A A A Phoenix IT Group - - - - - E - - - - PhosAgro OAO - - - - - - - - - C Piaggio & C SpA - - - - - B B AC B Pick ’n Pay Stores Ltd B AB A A B A B B APierre & Vacances Center Parcs Group - - - - - - - D C D Pınar Entegre Et ve Un Sanayi A.Ş - - - - - - - D B B Pınar Süt Mamulleri Sanayi A.Ş. - - - - - B AAB B Pinnacle Foods Group - - - - - - B B B - Pinnacle West Capital Corporation C - - - D D B AB A Pioneer Corporation - C B - - C B - C - Pioneer Foods - - D - D C B C B B Piraeus Bank - - - - C C B B B B Piramal Enterprises - - - - - - D - D D Pirelli - - - - - - - AA A Pitney Bowes Inc. D E D D B A AAC B PJSC Lukoil - - - - - - - - D - PJSC Gazprom - D E C C D C C C C Continued on next page CIV