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Low carbon credit relative returns have recovered after an extensive oil price rally between 2020Q2 and 2021Q1. Excess return over 6 years is 32bp per annum or 1.9% cumulatively, with a Sharpe ratio of 1.4.
(1 Sep 2021)
Reasonably, after an oil price rally of almost 100% in 12 months, we would expect credits with higher relative exposure to carbon emissions to underperform. But our analysis suggest that the opposite actually is true: even with a steep rise in oil prices, relative low carbon bonds outperformed higher carbon emitting ones.
(21 April 2021)