Building a Carbon-Free Equity Portfolio

13 Pages Posted: 16 Feb 2015

See all articles by Patrick Geddes

Patrick Geddes

Aperio Group

Lisa R. Goldberg

University of California, Berkeley; Aperio Group

Robert Tymoczko

Aperio Group

Michael Branch

Aperio Group

Date Written: February 14, 2015

Abstract

Endowments, foundations and individual investors considering the divestment of carbon industries need to know the potential impact on risk and return. In this paper, we analyze the cost of divesting from broad market indices. Our key findings are: • Optimized carbon-free portfolios closely tracked the U.S. market since 1988 and the global market since 1997; • Carbon-free portfolios in markets with large concentrations in Oil, Gas and Consumable Fuels have historically incurred significant tracking error; • On average, divesting has transferred assets from the Energy Sector to Utilities and Materials.

Keywords: Divestment, Endowment, Foundation, Individual Investor, New Institutional, Oil, Carbon-free, Energy, Utilities, Materials, Tracking Error

JEL Classification: G11

Suggested Citation

Geddes, Patrick and Goldberg, Lisa R. and Tymoczko, Robert and Branch, Michael, Building a Carbon-Free Equity Portfolio (February 14, 2015). Available at SSRN: https://ssrn.com/abstract=2565094 or http://dx.doi.org/10.2139/ssrn.2565094

Patrick Geddes

Aperio Group ( email )

3 Harbor Drive
Suite 315
Sausalito, CA 94965
United States

HOME PAGE: http://www.aperiogroup.com

Lisa R. Goldberg (Contact Author)

University of California, Berkeley ( email )

Department of Statistics
367 Evans Hall
Berkeley, CA 94720-3860
United States

Aperio Group ( email )

3 Harbor Drive
Suite 315
Sausalito, CA 94965
United States

Robert Tymoczko

Aperio Group ( email )

3 Harbor Drive
Suite 315
Sausalito, CA 94965
United States

Michael Branch

Aperio Group ( email )

3 Harbor Drive
Suite 315
Sausalito, CA 94965
United States

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