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White Paper
Supply Chain Climate Exposure
May 1, 2022
To manage climate risks, investors need reliable climate exposure metrics, but such risks may be difficult to measure, particularly along the supply chain. Using broadly accessible data, we propose an intuitive metric that quantifies the exposure a company has to customers and suppliers. Our metric is related to scope 3 emissions and captures the strength of economic linkages as well as the overall climate exposure of a firm’s customers and suppliers.
White Paper
Looking Forward With Historical Carbon Data
March 14, 2022
Increasingly many allocators are interested in computing their portfolio’s carbon footprint. We show that historical emissions data are useful despite a substantial 1-2 years’ lag typically to when investment portfolios are built.
Working Paper
Sustainable Systematic Credit
September 7, 2021
Interest in sustainable investing is now expanding into fixed income. This paper assesses how measures of sustainability/ESG might be relevant for corporate bonds and analyzes how ESG measures can be incorporated into an investment process to achieve the joint object of maximizing risk-adjusted returns and a sustainability target.
White Paper
(Car)Bon Voyage: The Road to Low Carbon Investment Portfolios
December 21, 2020
We discuss how an investment portfolio could dramatically reduce its carbon footprint, potentially even achieving a ‘net zero’ carbon footprint. We discuss the pros and cons of techniques to achieve carbon reduction goals, including security selection, shorting high carbon footprint companies, and trading instruments such as carbon offsets and carbon permits.
Working Paper
Does ESG Help or Hurt Returns?
December 7, 2020
Combining several large data sets, we compute the empirical ESG-efficient frontier and show the costs and benefits of responsible investing.
Data Set
Responsible Investing: The ESG-Efficient Frontier – Original Paper Data
October 29, 2020
This the original data set used in “Responsible Investing: The ESG-Efficient Frontier” (Pedersen, Fitzgibbons and Pomorski). It contains the total returns of the value-weighted and equal-weighted portfolios used in the paper.
Working Paper
Responsible Investing: The ESG-Efficient Frontier
October 10, 2019
Combining several large data sets, we compute the empirical ESG-efficient frontier and show the costs and benefits of responsible investing.
Trade Publication
Hit 'Em Where It Hurts, ESG Investing 2.0
November 1, 2018
We suggest a new approach to ESG investing that we believe may be more effective in making negative investor views known to management — while at the same time potentially improving portfolio expected returns.
Journal Article
Assessing Risk through Environmental, Social and Governance Exposures
February 24, 2017
ESG investing may have a role in portfolios that extends beyond ethical considerations, particularly for investors interested in tilting toward safer stocks, and in a way that complements what is captured by traditional statistical risk models.
Journal Article
Long-Only Style Investing: Don't Just Mix, Integrate
June 30, 2016
We contrast two common approaches to long-only style investing: the “portfolio mix” and the “integrated portfolio.” Our results suggest that long-only factor or smart beta investors should consider integrating styles in portfolio construction.