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Greening the Swiss National Bank's Portfolio

Author

Listed:
  • Rüdiger Fahlenbrach

    (Ecole Polytechnique Fédérale de Lausanne; Swiss Finance Institute; European Corporate Governance Institute (ECGI))

  • Eric Jondeau

    (University of Lausanne - Faculty of Business and Economics (HEC Lausanne); 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.

Suggested Citation

  • Rüdiger Fahlenbrach & Eric Jondeau, 2021. "Greening the Swiss National Bank's Portfolio," Swiss Finance Institute Research Paper Series 21-59, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp2159
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    References listed on IDEAS

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    More about this item

    Keywords

    Portfolio carbon footprint; Decarbonized financial investment;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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