The influence of the carbon intensity of investment portfolios on their return and volatility

In society, people have become more and more aware of the climate crisis. This awareness is also present in the financial sector. At Caceis Bank clients such as pension funds cope with the increasing importance of Environmental, Social and Governance related information of their investment portfolios. One of the main challenges in the realm of sustainability for institutional investors like pension funds is to combine the moral objective of a climate-neutral society with the financial objective of an investment portfolio with an optimal return and risk profile. This research investigates to what extent these objectives can be reached simultaneously.