RT Journal Article
SR Electronic
T1 Fossil-Free Investing
JF The Journal of Index Investing
FD Institutional Investor Journals
SP 129
OP 133
DO 10.3905/jii.2016.6.4.129
VO 6
IS 4
A1 Jennifer Sireklove
YR 2016
UL https://pm-research.com/content/6/4/129.abstract
AB 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