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Boutique firm Alpha Centauri creates carbon ‘factor’ for series of low-carbon strategies
28 Avril 2017
par Sophie Robinson-Tillet / Responsible InvestorDans les média
Hamburg-based firm teams up with climate data house South Pole Group: Alpha Centauri, the German boutique with €3bn under management, has created a carbon 'factor' in order to launch a series of low-carbon strategies, including a hedge fund offering.
The Hamburg-based investment manager, which specialises in factor investing, has teamed up with climate data house South Pole Group to create a strategy based on its findings that investors already pay a premium for carbon intensity in European equities.
Alpha Centauri used the same approach it uses for conventional financial factors – perceived performance drivers such as value, momentum and currency – to isolate the aspect of a company's performance linked to its carbon exposure.
“We wanted to find out if there is a 'carbon factor' available: if capital markets are pricing carbon, and if so, how you capitalise on that," said Ulf Füllgraf, Managing Director, Alpha Centauri. Last year, the firm analysed the performance of European equities over a six-year period, based on carbon exposure. The time period was determined by the availability of carbon data.
“What we found is that companies with a lower carbon footprint performed better, even after eliminating all types of systematic risk such a geography, sector, conventional factors and currency. And conversely, carbon-intensive companies have underperformed. So it's not just that the capital markets have priced carbon: it's that lower exposure already receives a premium."
