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Research and White Paper

Managing Climate Risk in Investment Portfolios

Investors are increasingly concerned about how climate change and a transition to a low-carbon economy could impact the risk and return profile of their portfolios. In this case study, we selected a sample portfolio representative of a global actively managed fund in terms of its risk-return characteristics and used the MSCI Climate Value-at-Risk model to examine the different dimensions of climate-related risks. We show how Climate VaR can be used to measure climate risks for the portfolio as a whole, as well as further explore which sectors, countries and securities were driving these risks in the portfolio.

CATEGORIES: Environmental: Climate