Measuring sustainability performance: comparing an SDG score with ESG ratings

Measuring sustainability performance: comparing an SDG score with ESG ratings

09-09-2022 | 投資觀點

Investors are seeking more powerful tools to measure how sustainable companies are. In this article we compare Robeco's SDG score with traditional ESG ratings and explain why it can help investors create sustainable investing strategies that pursue positive impacts and avoid negative effects.

  • Jan Anton van Zanten
    Jan Anton
    van Zanten
    SDG Strategist
  • Joop  Huij
    Head of Indices

Speed read

  • Investors disagree on how best to measure corporate sustainability performance
  • Our new paper introduces the Robeco SDG score and compares it to ESG ratings
  • Unlike ESG ratings, the SDG score reliably captures both positive and negative impacts

Sustainable investing is hot. Estimates suggest that sustainably invested assets grew 55% from 2016 to 2020, reaching 36% of total assets under management1. More than two-thirds of the USD 35.3 trillion that is invested sustainably involves ESG-integration. However, despite their prominence, the ESG ratings that are used to create such strategies are under fire.

For example, tobacco companies, and mining giants can get top-notch ESG ratings. This suggests ESG ratings fail to thoroughly capture companies’ environmental and social impacts. There is also a lack of correlation between ESG ratings from different providers, creating ‘aggregate confusion’ over what it is that ESG ratings measure. Such critiques led Bloomberg to identify an “ESG mirage” and the Economist dubbed ESG to be “three letters that won’t save the planet”.

Faced with serious disagreement over how to best measure which companies are sustainable, how might investors identify those companies that contribute to a better world and exclude those that have a negative impact?


Introducing an SDG score and comparing it to ESG ratings

In our new working paper, we contend that the Sustainable Development Goals (SDGs) are an important blueprint for sustainable investors. Academics posit that sustainable investing is ‘a generic term for investments that seek to contribute toward sustainable development’. The 17 SDGs with their 169 underlying targets thereby identify what specific sustainable development objectives investors ought to pursue. The fact that the SDGs were adopted by all United Nations member states ensures that they are globally valid.

From this point of departure, we introduce the Robeco SDG score, which has been used for many years in our investment strategies, as a novel metric of sustainability performance. This score measures to what extent companies positively or negatively contribute to the SDGs. The score ranges from -3, indicating that a company has high negative impacts, to +3, signaling that the company makes high positive contributions.

This presents an interesting question: how might we test which metric – the SDG score or an ESG rating – best captures companies’ sustainability impacts? And does this SDG score offer something new relative to established ESG ratings? 

In our paper we test whether the SDG score and four prominent ESG ratings align with: (i) investors’ revealed sustainability preferences; (ii) sustainable investing regulation; and (iii) climate science.

Do sustainability metrics align with investors’ revealed sustainability preferences?

Our first test looks at whether the SDG score and ESG ratings agree with the observed sustainable investing behavior of actual investors.

First, we assess if these metrics can identify companies that investors believe have negative impacts by comparing the SDG scores and ESG ratings of companies that are excluded by asset owners. With exclusion lists, asset owners avoid investing in companies with severe negative impact, such as those violating human rights, digging up thermal coal, or producing tobacco. We expect a useful sustainability metric to assign poor scores to companies on such exclusion lists.

Second, we assess if these metrics can pinpoint companies that investors believe to have positive impact by comparing the SDG and ESG performance of companies invested in by mainstream sustainable thematic funds. We look at three sectors: sustainable energy; water; and healthcare where useful sustainability metrics should assign good scores.

For this first test, we find that nearly all companies on asset owners’ exclusion lists get negative SDG scores while companies in sustainable thematic funds receive positive SDG scores. Notwithstanding some differences among providers, ESG ratings for excluded and sustainable thematic companies are comparable to the broader benchmark. Hence, the SDG score aligns with investors’ revealed sustainability preferences. ESG ratings do not.

Do sustainability metrics align with sustainable investing regulation?

Our second test determines if the SDG score and ESG ratings comply with the EU Taxonomy. Again, we look at both negative and positive impact.

First, the EU Taxonomy stipulates what types of corporate behavior violate the ‘do-no-significant-harm’ (DNSH) principle. We expect companies that cause significant environmental harm, and thus violate this principle, to get poor sustainability scores. Second, the EU Taxonomy sets technical screening criteria that define which types of corporate activities provide solutions for promoting environmental sustainability. We expect companies that generate most of their revenues from such activities to achieve good sustainability scores.

Using Sustainalytics EU Taxonomy data, we find that the SDG score for all companies that violate the DNSH principle is negative. In turn, the SDG score for companies that have over 66% of revenues from EU Taxonomy-aligned activities is typically very positive. In contrast, ESG ratings for both types of companies tend not to differ that much from the benchmark. Thus, the SDG score is in line with this specific sustainable investing regulation, while ESG ratings tend not to be.

Sustainable Investing Open Access Initiative
Sustainable Investing Open Access Initiative
A collaborative effort to optimize the impact of SDG Investing
Learn more

Do sustainability metrics align with climate science?

Our final test is based on climate science. We posit that the majority companies with extremely high greenhouse gas emissions should get poor sustainability ratings.

We assess this by looking at combined scope 1 and 2 emissions, and scope 3 emissions. Looking at the top-100 GHG emitters, we find that most get a negative SDG score, while ESG ratings for these companies are generally comparable to the benchmark’s scores. This shows that the SDG score aligns with climate science. ESG ratings do not.

Conclusion: an SDG score and ESG ratings can complement one another but should never be confused

On all three tests, the SDG score proved its validity while the four traditional ESG ratings either failed the tests, or only partially captured companies’ impacts. These findings demonstrate that ESG ratings should not be understood as measuring companies’ contributions to sustainable development. We therefore caution against using concepts like ESG, sustainability, and impact interchangeably.

A practical implication is that sustainable investment strategies that solely integrate ESG ratings are likely to continue to invest in companies responsible for negative impacts, while missing investments in companies that make positive contributions. This implies investors could fall short of meeting their – and their clients’ – sustainability objectives. This is not to say that ESG ratings are useless. These tend to gauge the financial risk that companies face from sustainability issues. They could therefore complement an SDG score, in order to support financial performance, while targeting positive impact on the SDGs.

To read the full research report find it here: Corporate Sustainability Performance: Introducing an SDG Score and Testing Its Validity Relative to ESG Ratings by Jan Anton van Zanten, Joop Huij - SSRN

1 GSIA. (2021). Global Sustainable Investment Review. Retrieved 8 July 2022 from: http://www.gsi-alliance.org/wp-content/uploads/2021/08/GSIR-20201.pdf

Important information

The contents of this document have not been reviewed by any regulatory authority in Hong Kong. If you are in any doubt about any of the contents of this document, you should obtain independent professional advice. This document has been distributed by Robeco Hong Kong Limited (‘Robeco’). Robeco is regulated by the Securities and Futures Commission in Hong Kong.
This document has been prepared on a confidential basis solely for the recipient and is for information purposes only. Any reproduction or distribution of this documentation, in whole or in part, or the disclosure of its contents, without the prior written consent of Robeco, is prohibited. By accepting this documentation, the recipient agrees to the foregoing
This document is intended to provide the reader with information on Robeco’s specific capabilities, but does not constitute a recommendation to buy or sell certain securities or investment products. Investment decisions should only be based on the relevant prospectus and on thorough financial, fiscal and legal advice.
The contents of this document are based upon sources of information believed to be reliable. This document is not intended for distribution to or use by any person or entity in any jurisdiction or country where such distribution or use would be contrary to local law or regulation.
Investment Involves risks. Historical returns are provided for illustrative purposes only and do not necessarily reflect Robeco’s expectations for the future. The value of your investments may fluctuate. Past performance is no indication of current or future performance.



1. 一般事項


此網站由Robeco Hong Kong Limited(「荷寶」)擬備及刊發,荷寶是獲香港證券及期貨事務監察委員會發牌從事第1類(證券交易)、第4類(就證券提供意見)及第9類(資產管理)受規管活動的企業。荷寶不持有客戶資產,並受到發牌條件所規限。荷寶在擴展至零售業務之前,必須先得到證監會的批准。本網頁未經證券及期貨事務監察委員會或香港的任何監管當局審閱。

2. 風險披露聲明

Robeco Capital Growth Funds以其特定的投資政策或其他特徵作識別,請小心閱讀有關Robeco Capital Growth Funds的風險:

  • 部份基金可涉及投資、市場、股票投資、流動性、交易對手、證券借貸及外幣風險及小型及/或中型公司的相關風險。
  • 部份基金所涉及投資於新興市場的風險包括政治、經濟、法律、規管、市場、結算、執行交易、交易對手及貨幣風險。
  • 部份基金可透過合格境外機構投資者("QFII")及/或 人民幣合格境外機構投資者 ("RQFII")及/或 滬港通計劃直接投資於中國A股,當中涉及額外的結算、規管、營運、交易對手及流動性風險。
  • 就分派股息類別,部份基金可能從資本中作出股息分派。股息分派若直接從資本中撥付,這代表投資者獲付還或提取原有投資本金的部份金額或原有投資應佔的任何資本收益,該等分派可能導致基金的每股資產淨值即時減少。
  • 部份基金投資可能集中在單一地區/單一國家/相同行業及/或相同主題營運。 因此,基金的價值可能會較為波動。
  • 部份基金使用的任何量化技巧可能無效,可能對基金的價值構成不利影響。
  • 除了投資、市場、流動性、交易對手、證券借貸、(反向)回購協議及外幣風險,部份基金可涉及定息收入投資有關的風險包括信貨風險、利率風險、可換股債券的風險、資產抵押證券的的風險、投資於非投資級別或不獲評級證券的風險及投資於未達投資級別主權證券的風險。
  • 部份基金可大量運用金融衍生工具。荷寶環球消費新趨勢股票可為對沖目的及為有效投資組合管理而運用金融衍生工具。運用金融衍生工具可涉及較高的交易對手、流通性及估值的風險。在不利的情況下,部份基金可能會因為使用金融衍生工具而承受重大虧損(甚至損失基金資產的全部)。
  • 荷寶歐洲高收益債券可涉及投資歐元區的風險。
  • 投資者在Robeco Capital Growth Funds的投資有可能大幅虧損。投資者應該參閱Robeco Capital Growth Funds之銷售文件內的資料﹙包括潛在風險﹚,而不應只根據這文件內的資料而作出投資。

3. 當地的法律及銷售限制




4. 使用此網站



5. 投資表現



6. 第三者網站

本網站含有來自第三方的資料或第三方經營的網站連結,而其中部分該等公司與荷寶沒有任何聯繫。跟隨連結登入任何其他此網站以外的網頁或第三方網站的風險,應由跟隨該連結的人士自行承擔。荷寶並無審閱此網站所連結或提述的任何網站,概不就該等網站的內容或所提供的產品、服務或其他項目作出推許或負上任何責任。荷寶概不就使用或依賴第三方網站所載的資料而導致的任何虧損或損毀負上法侓責任,包括(但不限於)任何虧損或利益或任何其他直接或間接的損毀。 此網站以外的網頁或第三方網站皆旨在作參考之用。

7. 責任限制




8. 知識產權


9. 私隠

荷寶保證將會根據現行的資料保障法例,以保密方式處理登入此網站的人士的數據。除非荷寶需按法律責任行事,否則在未經登入此網站的人士許可,不會向第三方提供該等數據。 請於我們的私隱及Cookie政策 中查找更多詳情。 

10. 適用法律


如果您已閱讀並理解本頁並同意上述免責聲明以及同意荷寶收集和使用您的個人資料,用於私隱及Cookie政策 所列的收集和使用個人資料的目的(包括用於直接推廣荷寶的產品或服務),請點擊“我同意”按鈕。否則,請點擊“我不同意”離開本網站。