Greening the Swiss National Bank's Portfolio

Ruediger Fahlenbrach and Eric Jondeau

No 21-59, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: We analyze the carbon footprint and emissions of the Swiss National Bank's (SNB) U.S. equity portfolio and compare its carbon performance to those of the world's largest asset manager, BlackRock, and to the Norwegian Government Pension Fund Global (GPFG). The SNB portfolio does as well as BlackRock's but has a significantly worse carbon footprint than the portfolio of GPFG. Few firms are responsible for much of the carbon emissions of the SNB portfolio so that carbon conscious investment approaches have a large impact on portfolio emissions but little impact on performance, diversification, or tracking error. We explore several avenues to reduce the carbon footprint of the SNB's portfolio, while not altering its financial performance. If the SNB excluded the firms with the highest carbon intensity rep- resenting 1% of the portfolio value and reinvested in the companies with the lowest intensity in the same sector, the total financed carbon emissions would be reduced by 22% in 2019, with no impact on the portfolio's financial performance.

Keywords: Portfolio carbon footprint; Decarbonized financial investment (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2021-08
New Economics Papers: this item is included in nep-ene, nep-env and nep-isf
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Journal Article: Greening the Swiss National Bank’s Portfolio (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp2159

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