Anthropocene Fixed Income Institute

 We find robust outperformance of a low carbon credit portfolio versus its traditional benchmark (36bp p.a., 1.51 Sharpe) using a robust out-of-sample and apples-for-apples universe comparison. The analysis is based on the S&P Dow Jones IG corporate bond indices in its traditional and carbon efficient versions. The carbon efficent index was constructed in 2018 and is based on our ECOBAR model.

( 27 Jan 2021)