Performance and Impact: Can Low Carbon Equity Portfolios Generate Healthier Financial Returns?
13 Pages Posted: 7 Nov 2014
Date Written: September 22, 2014
The authors combine characteristics-based stock screening using carbon emissions with four different weighting schemes to investigate if those techniques generate risk adjusted out-performance and quantifiable environmental impact. The results show that environmental impact and risk-adjusted out-performance can both be obtained using a carbon screened universe of stocks and non-market-capitalization weighting schemes. This has implications for investment managers who seek to reduce their portfolio carbon in a fiduciary compliant manner.
Keywords: Carbon, Minimum Variance, climate change, smart beta, modern portfolio construction techniques, corporate financial performance, fiduciary duty
JEL Classification: G00,G1,Q5
Suggested Citation: Suggested Citation