Carbon Considerations and Pricing in Global Asset Classes
Abstract
Angeleno Group (AG) is a venture capital and growth equity firm interested in pricing
carbon costs into their asset class valuations. AG hopes to understand the financial
impacts of carbon because companies with higher levels of carbon exposure are expected
to be riskier, which should be reflected in higher returns. In this analysis of a
portfolio of the S&P 500 from 2013 to 2022, performance is evaluated by considering
how a hypothetical carbon cost based on the constituents’ absolute emissions and carbon
intensity changes the portfolio’s volatility, returns, and Sharpe ratio. The carbon
impacts are analyzed from the perspective of AG and institutions such as endowments
and foundations.
Type
Master's projectDepartment
Nicholas School of the EnvironmentPermalink
https://hdl.handle.net/10161/27193Citation
Tran, Ben; Nair, Nidhi; Schofield, Hannah; McCarthy, Sean; & Verma, Snehal (2023). Carbon Considerations and Pricing in Global Asset Classes. Master's project, Duke University. Retrieved from https://hdl.handle.net/10161/27193.Collections
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