TY - JOUR T1 - Fossil-Free Investing JF - The Journal of Index Investing SP - 129 LP - 133 DO - 10.3905/jii.2016.6.4.129 VL - 6 IS - 4 AU - Jennifer Sireklove Y1 - 2016/02/29 UR - https://pm-research.com/content/6/4/129.abstract N2 - This article describes the performance impact of a fossil fuel reserve or energy sector screen on an S&P 500 Index–based portfolio. We find that although the average return and volatility of a screened portfolio are not meaningfully different from the Index over the long run, in the short run, performance differences can be quite notable. Fossil-free investors should be prepared to incur significant tracking error from such a strategy.TOPICS: Analysis of individual factors/risk premia, ESG investing, performance measurement ER -