Firstly, despite a volatile market, correlation between returns of the portfolios was very high with immaterial impact on performance. Tracking errors for these climate-aligned portfolios continues to be low.
Given the significantly reduced carbon footprint of FIONA portfolios, we encourage investors to consider these strategies as a free option to protect against climate-related asset-price volatility in the future.
Secondly, the sector-free Case 2 FIONA portfolio underperformed slightly. This was driven by poor Q1 performance of ‘low-carbon’ sectors such as healthcare combined with strong performance in the financial sector. Lastly, the sector-fixed Case 1 FIONA portfolio outperformed even more slightly. This was driven by intra-sector relative outperformance of stronger climate names in consumer staples, financials and industrials.