hongkongzh
Indices insights: Do investors act on shifts in climate concerns?

Indices insights: Do investors act on shifts in climate concerns?

25-08-2022 | 投資觀點

A novel ‘polluting-minus-clean’ portfolio tends to underperform in periods of heightened climate policy uncertainty, and vice versa. Therefore, it can be of practical relevance to investors as it helps to distinguish climate leaders from laggards.

  • Joop  Huij
    Joop
    Huij
    Head of Indices
  • Thijs Markwat
    Thijs
    Markwat
    Portfolio strategist
  • Lucian Peppelenbos
    Lucian
    Peppelenbos
    Climate & Biodiversity Strategist
  • Simon Lansdorp
    Simon
    Lansdorp
    PhD, Portfolio Manager

Speed read

  • We introduce a novel portfolio that is long ‘polluting’ stocks and short ‘clean’ stocks
  • It typically underperforms in months with heightened climate concerns, and vice versa
  • It also tends to lag in months with anomalously high temperatures, and vice versa

In the previous ‘Indices insights’ article,1 we outlined how the carbon footprint metric is useful for mapping out portfolio-level or entity-level decarbonization pathways. However, we also determined that it is less effective in differentiating between climate leaders and laggards. For this purpose, additional stock-level climate data that captures other dimensions is required.

In this article, we start to address this issue by introducing a novel long-short polluting-minus-clean (PMC) portfolio, similar to the carbon portfolio that is put forward in a recent research paper.2 It is based on a portfolio that takes long positions in a basket of stocks that contribute negatively to one or multiple climate-related SDGs (‘polluting’), and short positions in a basket of stocks that contribute positively to climate-related SDGs (‘clean’). As such, the PMC portfolio tracks the difference in returns between the polluting and clean companies.

訂閲荷寳月報,獲取最新投資觀點
訂閲荷寳月報,獲取最新投資觀點
訂閱

PMC portfolio picks up on climate policy uncertainty trends

To assess the insights that can be drawn from the PMC portfolio, we first scrutinized its performance over time in relation to sentiments regarding climate change. Specifically, we tested whether companies that contribute negatively to climate-related SDGs are more negatively impacted by an (unexpected) rise in concerns around climate change compared to those that contribute positively to climate-related SDGs.

As a proxy and robustness test for the level of climate concerns, we referred to the climate policy uncertainty (CPU) and temperature anomaly indices, respectively. The former is based on the volumes of text-based newsflow linked to climate change as this reflects uncertainty around future climate policy, while the latter identifies months with anomalously high or low temperatures.

Figure 1 | PMC portfolio tends to underperform in months with heightened climate policy uncertainty

Source: Robeco. The sample period is from January 2006 until August 2021.

In Figure 1, Panel A illustrates the monthly changes in the CPU index alongside the cumulative returns of the PMC portfolio. The orange bars denote the months in which there was a relatively significant upward shift in the CPU index, which corresponds to months characterized by rising climate concerns. Similarly, the blue and grey bars reflect the months during which climate concerns decreased significantly and were stable, respectively.

Panel B depicts the average performance of the PMC portfolio across different regimes based on sentiment regarding climate change. In periods of rising, stable and subsiding climate concerns, it delivered an annualized return of -4.0%, 1.3% and 1.4%, respectively. This outcome is in line with our expectations and allows us to conclude that climate laggards tend to be more negatively affected during periods of increased climate policy uncertainty compared to climate leaders.

PMC portfolio is also sensitive to anomalous temperatures

As a robustness test, we also analyzed the performance of the PMC portfolio in months with anomalous temperatures. We assumed that concerns around climate change increase in periods when the average temperature is anomalously high, and vice versa. The results are shown in Figure 2.

Similar to the previous outcomes, the PMC portfolio underperformed on average in months when average temperatures were anomalously high as it generated an annualized return of -4.8%. By contrast, it delivered a significantly higher annualized return of 4.4% during months with anomalously low average temperatures.

Figure 2 | PMC portfolio tends to underperform in months with anomalously high temperatures

Source: Robeco. The sample period is from January 2006 until August 2021.

Data and methodology

The starting point of our analysis is the S&P Global LargeMidCap universe. Using Robeco’s proprietary SDG framework, we identify stocks that either contribute positively or negatively to climate-related SDGs.

The PMC portfolio is constructed by taking long positions in stocks that have an SDG score of -2 or -3 for either SDG 7 (affordable and clean energy), SDG 11 (sustainable cities and communities) and SDG 13 (climate action), and short positions in stocks that have an SDG score of 2 or 3 on either one of the same SDGs. As SDG scores for individual companies are not available before 2017, we construct the long and short legs for that period by sorting stocks on the RobecoSAM carbon intensity measure using the 30th and 70th percentiles, respectively.3

To analyze the performance of the PMC portfolio across different regimes based on climate concerns, we rely on two measures: CPU and temperature anomaly indices.4 The CPU index is constructed by focusing on the textual similarities of authoritative texts on climate change – for example frequently used word combinations in Intergovernmental Panel on Climate Change (IPCC) reports – with articles in the Wall Street Journal in a month. Months with high volumes of news linked to climate change indicate heightened uncertainty around future climate policy, and vice versa.

For instance, climate policy uncertainty peaked in December 2009 when the COP15 event took place and in November 2015 which was the month before the COP21 event when the Paris Agreement was adopted. The month-to-month difference in the CPU index indicates either increases or decreases in climate concerns. The three climate regimes (increasing, stable, decreasing) are defined by using the 25th and 75th percentiles of the month-to-month changes in the CPU index over the full sample period.

Similarly, we split the sample into three climate regimes based on the 25th and 75th percentiles of the detrended temperature anomaly index. This is based on data from the Global Land-Ocean Temperature Index sourced from the National Centers for Environmental Information. A temperature anomaly is defined as a deviation from the 20th century average reference temperature.5

Conclusion

In our analysis, we assessed the performance of a novel PMC portfolio across different regimes based on climate concerns. In line with our expectations, we found that it tends to underperform in periods of heightened climate policy uncertainty, and vice versa. Moreover, we performed a robustness test and saw that it also lags in periods of anomalously high average temperatures, and vice versa. As a result, we believe the PMC portfolio can be used practically by investors to help distinguish climate leaders from laggards.


The Indices insights series provides new insights focused on index investing, particularly on the topics of sustainable investing, factor investing and/or thematic investing. The articles are written by the Sustainable Index Solutions team and often in close cooperation with a Robeco specialist in the field. The team has vast experience in research and portfolio management and has been designing sustainable, factor and thematic indices since 2015 for a large variety of clients: sovereign wealth funds, pension funds, insurers, global investment consultants, asset managers and private banks. The team can also tailor sustainable indices to cater to client-specific needs.

 

1  Huij, J., Lansdorp, S., Peppelenbos, L., and Markwat, T., June 2022, “Can carbon emissions data identify leaders and laggards”, Robeco article.
2 Huij, J., Laurs, D., Stork, P. A., and Zwinkels, R. C. J., November 2021, “Carbon beta: A market-based measure of climate risk”, SSRN working paper.
3 The PMC portfolio is very similar to the ‘polluting-minus-clean’ factor introduced by Huij, J., Laurs, D., Stork, P. A., and Zwinkels, R. C. J., November 2021, “Carbon beta: A market-based measure of climate risk”, SSRN working paper.
4 For a detailed explanation on the construction of this data, please refer to the academic paper in the above footnote.
5 See: https://www.ncei.noaa.gov/access/monitoring/global-temperature-anomalies/

Indices insights
Read all articles

重要聲明

此文件之內容未經香港證監會(SFC)審核。若你對此文件的內容有任何疑問,請尋求獨立並專業的意見。此文件由 Robeco Hong Kong Limited (以下稱“荷寶”) 分發,荷寶受香港證監會監管。

此為機密文件,僅供接收者參考。任何未經荷寶事先書面同意,即複製或分發全部或部分此文件或披露其內容的行為是被禁 止的。接收此文件,即表示接受上述條款。

此文件僅供閱讀方瞭解荷寶的特殊投資能力,並不構成向貴方推銷荷寶投資基金和其他金融產品的行為。投資決策僅依據相關產品說明書、財經及法律意見而定。請詳閱有關銷售文件以得悉基金之詳情及所涉及的風險因素。

本文件的內容來源於我們認為可靠的資訊。 本文件向任何管轄區或國家的個 人或實體的分發及使用建立在不違背該管轄區或國家法律法規的基礎上。

投資附帶風險。歷史回報數據僅供解釋說明之用,並不構成對荷寶未來表現預期的影響。貴方的投資組合價值可能會有波 動,過往的投資業績並不保證將來的投資表現。

Logo

免責聲明

1. 一般事項

請細閱以下資料。 

此網站由Robeco Hong Kong Limited(「荷寶」)擬備及刊發,荷寶是獲香港證券及期貨事務監察委員會發牌從事第1類(證券交易)、第4類(就證券提供意見)及第9類(資產管理)受規管活動的企業。荷寶不持有客戶資產,並受到發牌條件所規限。荷寶在擴展至零售業務之前,必須先得到證監會的批准。本網頁未經證券及期貨事務監察委員會或香港的任何監管當局審閱。

2. 風險披露聲明

Robeco Capital Growth Funds以其特定的投資政策或其他特徵作識別,請小心閱讀有關Robeco Capital Growth Funds的風險:

  • 部份基金可涉及投資、市場、股票投資、流動性、交易對手、證券借貸及外幣風險及小型及/或中型公司的相關風險。
  • 部份基金所涉及投資於新興市場的風險包括政治、經濟、法律、規管、市場、結算、執行交易、交易對手及貨幣風險。
  • 部份基金可透過合格境外機構投資者("QFII")及/或 人民幣合格境外機構投資者 ("RQFII")及/或 滬港通計劃直接投資於中國A股,當中涉及額外的結算、規管、營運、交易對手及流動性風險。
  • 就分派股息類別,部份基金可能從資本中作出股息分派。股息分派若直接從資本中撥付,這代表投資者獲付還或提取原有投資本金的部份金額或原有投資應佔的任何資本收益,該等分派可能導致基金的每股資產淨值即時減少。
  • 部份基金投資可能集中在單一地區/單一國家/相同行業及/或相同主題營運。 因此,基金的價值可能會較為波動。
  • 部份基金使用的任何量化技巧可能無效,可能對基金的價值構成不利影響。
  • 除了投資、市場、流動性、交易對手、證券借貸、(反向)回購協議及外幣風險,部份基金可涉及定息收入投資有關的風險包括信貨風險、利率風險、可換股債券的風險、資產抵押證券的的風險、投資於非投資級別或不獲評級證券的風險及投資於未達投資級別主權證券的風險。
  • 部份基金可大量運用金融衍生工具。荷寶環球消費新趨勢股票可為對沖目的及為有效投資組合管理而運用金融衍生工具。運用金融衍生工具可涉及較高的交易對手、流通性及估值的風險。在不利的情況下,部份基金可能會因為使用金融衍生工具而承受重大虧損(甚至損失基金資產的全部)。
  • 荷寶歐洲高收益債券可涉及投資歐元區的風險。
  • 投資者在Robeco Capital Growth Funds的投資有可能大幅虧損。投資者應該參閱Robeco Capital Growth Funds之銷售文件內的資料﹙包括潛在風險﹚,而不應只根據這文件內的資料而作出投資。

3. 當地的法律及銷售限制

此網站僅供“專業投資者”進接(其定義根據香港法律《證券及期貨條例》(第571章)和/或《證券及期貨(專業投資者)規則》(第571D章)所載)。此網站並非以在禁止刊發或提供此網站(基於該人士的國籍、居住地或其他原因)的任何司法管轄區內的任何人士為對象。受該等禁例限制的人士或並非上述訂明的人士不得登入此網站。登入此網站的人士需注意,他們有責任遵守所有當地法例及法規。一經登入此網站及其任何網頁,即確認閣下已同意並理解以下使用條款及法律資料。若閣下不同意以下條款及條件,不得登入此網站及其任何網頁。

此網站所載的資料僅供資料參考用途。

在此網站發表的任何資料或意見,概不構成購買、出售或銷售任何投資,參與任何其他交易或提供任何投資建議或服務的招攬、要約或建議。此網站所載的資料並不構成投資意見或建議,擬備時並無考慮可能取得此網站的任何特定人士的個別目標、財務狀況或需要。投資於荷寶產品前,必須先細閱相關的法律文件,例如管理法規、基金章程、最新的年度及半年度報告,所有該等文件可於www.robeco.com/hk/zh免費下載,亦可向荷寶於香港的辦事處免費索取。 

4. 使用此網站

有關資料建基於特定時間適用的若干假設、資料及條件,可隨時更改,毋需另行通知。儘管荷寶旨在提供準確、完整及最新的資料,並獲取自相信為可靠的資料來源,但概不就該等資料的準確性或完整性作出明示或暗示的保證或聲明。 

登入此網站的人士需為其資料的選擇和使用負責。 

5. 投資表現

概不保證將可達到任何投資產品的投資目標。並不就任何投資產品的表現或投資回報作出陳述或承諾。閣下的投資價值可能反覆波動。荷寶投資產品的資產價值可能亦會因投資政策及/或金融市場的發展而反覆波動。過去所得的業績並不保證未來回報。此網站所載的往績、預估或預測不應被視為未來表現的指示或保證,概不就未來表現作出任何明示或暗示的陳述或保證。基金的表現數據以月底的交易價格為基礎,並以總回報基礎及股息再作投資計算。對比基準的回報數據顯示未計管理及/或表現費前的投資管理業績;基金回報包括股息再作投資,並以基準估值時的價格及匯率計算的資產淨值為基礎。 

投資涉及風險。往績並非未來表現的指引。準投資者在作出任何投資決定前,應細閱相關發售文件所載的條款及條件,特別是投資政策及風險因素。投資者應確保其完全明白與基金相關的風險,並應考慮其投資目標及風險承受程度。投資者應注意,基金股份的價格及收益(如有)可能反覆波動,並可能在短時間內大幅變動,投資者或無法取回其投資於基金的金額。若有任何疑問,請諮詢獨立財務及有關專家的意見。 

6. 第三者網站

本網站含有來自第三方的資料或第三方經營的網站連結,而其中部分該等公司與荷寶沒有任何聯繫。跟隨連結登入任何其他此網站以外的網頁或第三方網站的風險,應由跟隨該連結的人士自行承擔。荷寶並無審閱此網站所連結或提述的任何網站,概不就該等網站的內容或所提供的產品、服務或其他項目作出推許或負上任何責任。荷寶概不就使用或依賴第三方網站所載的資料而導致的任何虧損或損毀負上法侓責任,包括(但不限於)任何虧損或利益或任何其他直接或間接的損毀。 此網站以外的網頁或第三方網站皆旨在作參考之用。

7. 責任限制

荷寶及(潛在的)其他網站資料供應商概不就此網站內容或其所載的資料或建議負責,而該等內容、資料或建議可予更改,毋需另行通知。 

荷寶並無責任確保及保證此網站的功能將不受干擾或並無失誤。荷寶概不就有關荷寶(交易)服務電郵訊息的後果承擔任何責任,該等電郵訊息可能無法接收或發出、損毀、不正確接收或發出或並無準時接收或發出。 

荷寶亦不就因登入及使用此網站而可能導致的任何虧損或損毀負責。 

8. 知識產權

所有版權、專利、知識產權和其他財產,以及有關此網站資料的授權均由荷寶持有及獲取。該等權利不會轉授予查閱有關資料的人士。 

9. 私隠

荷寶保證將會根據現行的資料保障法例,以保密方式處理登入此網站的人士的數據。除非荷寶需按法律責任行事,否則在未經登入此網站的人士許可,不會向第三方提供該等數據。 請於我們的私隱及Cookie政策 中查找更多詳情。 

10. 適用法律

此網站受香港法律監管及據此解釋。因此網站導致或有關此網站的所有爭議應交由香港法庭作出專有裁決。  

如果您已閱讀並理解本頁並同意上述免責聲明以及同意荷寶收集和使用您的個人資料,用於私隱及Cookie政策 所列的收集和使用個人資料的目的(包括用於直接推廣荷寶的產品或服務),請點擊“我同意”按鈕。否則,請點擊“我不同意”離開本網站。

我不同意