%0 Journal Article %A Jennifer Sireklove %T Fossil-Free Investing %D 2016 %R 10.3905/jii.2016.6.4.129 %J The Journal of Index Investing %P 129-133 %V 6 %N 4 %X 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 %U https://jii.pm-research.com/content/iijindinv/6/4/129.full.pdf