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A Question of Ethics? Climate Alignment in Equity Portfolios
Introduction “Science, including the science of economics, can help discover the causes and effects of climate change. It can also…
Do Climate-Related Exclusions Have an Effect on Portfolio Risk and Diversification? A Contribution to the Article 9 Funds Controversy
Abstract Despite regulatory efforts to enhance consistency, the increase in funds claiming to be sustainable has led to polemics about…
The Multiple Prices of Sustainability: Comparing the Implications of ‘Do No Harm’ Exclusion Policies on Equity Portfolios
Abstract This paper evaluates and decomposes the financial and extra-financial impacts of ESG “do no harm” exclusions on equity portfolios.…
Macroeconomic Regimes for Conditional Simulations of Equity Portfolios
Abstract Changing macroeconomic conditions have the potential to strongly influence equity portfolio returns. This paper examines how key macroeconomic regimes…
Beyond Carbon Price: a Science-Based Quantification of Portfolio Financial Loss from Climate Transition Risk
Abstract This paper addresses climate transition risks in portfolio management by introducing a model that integrates firm-specific ‘green’ revenues, aligned…
Do ESG Scores and ESG Screening Tell the Same Story? Assessing their Informational Overlap
Abstract Environmental, Social, and Governance (ESG) considerations have become a cornerstone of sustainable investing. However, recent research by Scientific Portfolio,…
Attribution Analysis of Greenhouse Gas Emissions Associated with an Equity Portfolio: A Comparison of Existing Frameworks
Abstract Understanding the drivers influencing the greenhouse gas emissions associated with financial portfolios is crucial for constructing and monitoring a…
Do Exclusions Have an Effect on the Risk Profile of Equity Portfolios?
Abstract Exclusion/negative screening is the most popular filter used to integrate environmental, social, and governance (ESG) criteria into investment strategies.…
Institutional Equity Portfolios: How Can Asset Owners Build Coherent Sustainable Strategies?
Abstract The number of equity funds claiming to be sustainable continues to grow, as well as the regulatory transparency requirements…
The Perceived Advantages of Self-Indexing for Institutional Equity Investors
Abstract Institutional asset owners increasingly seek to customize index-linked strategies in order to take their ESG and climate preferences into…
Decomposition of Greenhouse Gas Emissions Associated with an Equity Portfolio
Abstract While methodologies to measure the alignment of a financial portfolio with climate objectives develop rapidly, historical and cross-sectional analysis…
Remember to Diversify Your Active Risk: Evidence from US Equity ETFs
Abstract In this article, we estimate the level of risk diversification for a universe of US equity ETFs and observe…
Look up! A Market-Measure of the Long-Term Transition Risks in Equity Portfolios
Abstract The transition to a low-carbon economy generates new regulatory, technological, market and reputational risks for the financial sector. These…