Attribution of Portfolios with Climate-Related Signals

Rapport
11-12-2024
Debarshi Basu
This paper explores the attribution of portfolio returns driven by climate-related signals, a critical factor for investment professionals navigating the transition to net zero.

 The transition to net zero is a topic relevant to many investors looking to mitigate the risk and take advantage of the investment opportunities associated with this critical shift. Measuring the risk and return of different approaches associated with the net-zero transition—such as current and future carbon emissions, the conservation of natural capital, and investments in new green technologies—is important for the allocation of capital, setting optimal taxes and subsidies, and assessing the real investments of governments and corporations (see IPCC 2023). But evaluating the returns and risk of different net-zero approaches can be difficult because companies may pursue more than one of these approaches simultaneously. Similarly, the majority of investors typically hold diversified portfolios anchored around a major market benchmark, and there may be several climate-related characteristics taken into account when constructing their portfolios. 

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Lees verder op: CFA institute

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