Performance and Impact: Can Low Carbon Equity Portfolios Generate Healthier Financial Returns?

13 Pages Posted: 7 Nov 2014

See all articles by Kyle Balkissoon

Kyle Balkissoon

Corporate Knights Capital

Toby Heaps

Corporate Knights Capital

Date Written: September 22, 2014

Abstract

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

Balkissoon, Kyle and Heaps, Toby, Performance and Impact: Can Low Carbon Equity Portfolios Generate Healthier Financial Returns? (September 22, 2014). Available at SSRN: https://ssrn.com/abstract=2519803 or http://dx.doi.org/10.2139/ssrn.2519803

Kyle Balkissoon (Contact Author)

Corporate Knights Capital ( email )

147 Spadina Avenue
207
Toronto, Ontario M5V 2L7
Canada

Toby Heaps

Corporate Knights Capital ( email )

147 Spadina Avenue
207
Toronto, Ontario M5V 2L7
Canada

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