Report

Building benchmarks portfolios with decreasing carbon footprints

Bank of International Settlements
December 16, 2021

by Eric Jondeau, Benoit Mojon and Luiz Awazu Pereira da Silva
In this paper, we build portfolios with a progressively falling carbon footprint, which passive investors could use as a new Paris-consistent (PC) benchmark while keeping their risk-adjusted returns at the same level as those of business-as-usual (BAU) benchmarks.

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Building benchmarks portfolios with decreasing carbon footprints

by Eric Jondeau, Benoit Mojon and Luiz Awazu Pereira da SilvaIn this paper, we build portfolios with a progressively falling carbon footprint, which passive investors could use as a new Paris-consistent (PC) benchmark while keeping their risk-adjusted returns at...

Bank of International Settlements