Environmental Portfolios—Evidence from Screening and Passive Portfolio Management

Environmental portfolios via screening or optimization with respect to ecological criteria are not clear-cut concepts. Often, they urge investors to reduce the asset universe, which is accompanied by diversification losses. In this article, we show that a simple passive asset selection strategy base...

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Autores principales:	Julian Amon, Margarethe Rammerstorfer, Karl Weinmayer
Formato:	article
Lenguaje:	EN
Publicado:	MDPI AG 2021
Materias:	asset selection ecological investment benchmarking performance Environmental effects of industries and plants TD194-195 Renewable energy sources TJ807-830 Environmental sciences GE1-350
Acceso en línea:	https://doaj.org/article/794f1d5fbb7b45f8b9903d1b7f714903
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spelling	oai:doaj.org-article:794f1d5fbb7b45f8b9903d1b7f7149032021-11-25T19:02:55ZEnvironmental Portfolios—Evidence from Screening and Passive Portfolio Management10.3390/su1322126472071-1050https://doaj.org/article/794f1d5fbb7b45f8b9903d1b7f7149032021-11-01T00:00:00Zhttps://www.mdpi.com/2071-1050/13/22/12647https://doaj.org/toc/2071-1050Environmental portfolios via screening or optimization with respect to ecological criteria are not clear-cut concepts. Often, they urge investors to reduce the asset universe, which is accompanied by diversification losses. In this article, we show that a simple passive asset selection strategy based on environmental criteria allows ecological investors to adjust their portfolios without compromising or even reducing risk-adjusted financial performance. In detail, we show that screening does not lead to a significant financial performance reduction. Moreover, we propose an asset selection based on an environmental criteria that improves the portfolios’ financial performance, and further improves its potential positive environmental impact. Our results suggest that a combination of a screening and an environmental-scoring-based asset allocation seems to be a viable option for environmentally responsible investors leveraging the advantages of both strategies. Furthermore, we construct a risk factor CMP (clean minus polluting) and document a significant factor loading when added to the Fama–French five-factor model, suggesting the existence of a risk premium based on a firm’s environmental performance.Julian AmonMargarethe RammerstorferKarl WeinmayerMDPI AGarticleasset selectionecological investmentbenchmarkingperformanceEnvironmental effects of industries and plantsTD194-195Renewable energy sourcesTJ807-830Environmental sciencesGE1-350ENSustainability, Vol 13, Iss 12647, p 12647 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	asset selection ecological investment benchmarking performance Environmental effects of industries and plants TD194-195 Renewable energy sources TJ807-830 Environmental sciences GE1-350
spellingShingle	asset selection ecological investment benchmarking performance Environmental effects of industries and plants TD194-195 Renewable energy sources TJ807-830 Environmental sciences GE1-350 Julian Amon Margarethe Rammerstorfer Karl Weinmayer Environmental Portfolios—Evidence from Screening and Passive Portfolio Management
description	Environmental portfolios via screening or optimization with respect to ecological criteria are not clear-cut concepts. Often, they urge investors to reduce the asset universe, which is accompanied by diversification losses. In this article, we show that a simple passive asset selection strategy based on environmental criteria allows ecological investors to adjust their portfolios without compromising or even reducing risk-adjusted financial performance. In detail, we show that screening does not lead to a significant financial performance reduction. Moreover, we propose an asset selection based on an environmental criteria that improves the portfolios’ financial performance, and further improves its potential positive environmental impact. Our results suggest that a combination of a screening and an environmental-scoring-based asset allocation seems to be a viable option for environmentally responsible investors leveraging the advantages of both strategies. Furthermore, we construct a risk factor CMP (clean minus polluting) and document a significant factor loading when added to the Fama–French five-factor model, suggesting the existence of a risk premium based on a firm’s environmental performance.
format	article
author	Julian Amon Margarethe Rammerstorfer Karl Weinmayer
author_facet	Julian Amon Margarethe Rammerstorfer Karl Weinmayer
author_sort	Julian Amon
title	Environmental Portfolios—Evidence from Screening and Passive Portfolio Management
title_short	Environmental Portfolios—Evidence from Screening and Passive Portfolio Management
title_full	Environmental Portfolios—Evidence from Screening and Passive Portfolio Management
title_fullStr	Environmental Portfolios—Evidence from Screening and Passive Portfolio Management
title_full_unstemmed	Environmental Portfolios—Evidence from Screening and Passive Portfolio Management
title_sort	environmental portfolios—evidence from screening and passive portfolio management
publisher	MDPI AG
publishDate	2021
url	https://doaj.org/article/794f1d5fbb7b45f8b9903d1b7f714903
work_keys_str_mv	AT julianamon environmentalportfoliosevidencefromscreeningandpassiveportfoliomanagement AT margaretherammerstorfer environmentalportfoliosevidencefromscreeningandpassiveportfoliomanagement AT karlweinmayer environmentalportfoliosevidencefromscreeningandpassiveportfoliomanagement
_version_	1718410346874535936

Environmental Portfolios—Evidence from Screening and Passive Portfolio Management

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