A Framework for Attributing Changes in Portfolio Carbon Footprint
开发了一个归因框架，帮助投资者区分投资组合碳排放变化中来自公司排放、经理决策和财务变量（如权重、企业价值）的不同影响，并生成归因树以便逐层分析。
Tracking a portfolio’s emissions profile over time is a key requirement for any type of climate-aware investment strategy. The challenge in tracking those profiles is that climate metrics are influenced by not only the emissions of companies in the portfolio but also portfolio managers’ decisions, as well as other financial variables such as weights in the portfolio or companies’ enterprise values. In this article, the authors develop an attribution framework that allows investors to disentangle these effects. They focus on financed emissions, which aggregate greenhouse gas emissions “owned” by a portfolio’s holdings, and financed-emissions intensity, which adjusts financed emissions by dividing it by portfolio value. Their approach is to first calculate contributions by looking at changes in a specific input variable while keeping all other input variables constant. Next, they account for effects of simultaneous changes. The results are organized in an attribution tree that allows for a systematic drill-down into the different effects.