Special Reports

The Emerging Importance of Carbon Emission-Intensities and Scope 3 (Supply Chain) Emissions in Equity Returns thumbnail

The Emerging Importance of Carbon Emission-Intensities and Scope 3 (Supply Chain) Emissions in Equity Returns

In this report ET Index Research investigates the relationship between equity returns and carbon intensity. The results indicated that portfolios of low-carbon intensity stocks have outperformed portfolios of high-carbon intensity stocks, and that this outperformance is significant. This relationship is found to persist after controlling for other known risk factors.

The Carbon Risk Factor (EMI – ‘Efficient Minus Intensive’) thumbnail

The Carbon Risk Factor (EMI – ‘Efficient Minus Intensive’)

In this report, ET Index Research investigates whether there is actually a systemic carbon risk factor now driving equity returns, in addition to the already known and accepted Market, Value, Size and Momentum factors. There is strong evidence for a carbon risk factor and it is labeled EMI (for ‘Efficient minus Intensive’). The EMI factor is found to attract a positive risk premium and to be uncorrelated with the other known risk factors.

The Effects of Responsible Investment: Financial Returns, Risk Reduction and Impact thumbnail

The Effects of Responsible Investment: Financial Returns, Risk Reduction and Impact

This report by ET Index Research CTO & Head of Research, Jonathan Harris, focuses on three key questions for responsible investors: does responsible investment lead to outperformance or underperformance; can responsible investing actually impact company behaviour; what is the optimal way to allocate an investment portfolio in a responsible way?