Materiality-Weighted Portfolio Carbon Footprint: A More Accurate Measure for Transition Risk
研究发现，总碳足迹不适合衡量转型风险，而基于行业重要性加权的碳足迹（聚焦于受业务压力最大的排放）能更清晰揭示风险信号，并与股票表现、盈利和信用风险有更强关联。
The total carbon footprint of a portfolio is often used to assess both climate impact and transition risk. However, we found that these goals require different approaches. While every metric ton of CO<sub>2</sub> affects the climate equally, not all emissions carry the same financial risk. Transition risk depends on where emissions originate and the business context. A materiality-weighted carbon footprint—focused on emissions most exposed to business pressure by sub-industry—provides a clearer risk signal. For example, value-chain (Scope 3) emissions often contribute less to risk than direct (Scope 1) emissions. In the MSCI ACWI Index, this approach retains 78% of Scope 1+2, 62% of Scope 3 downstream, and only 6% of Scope 3 upstream emissions. Over the past decade, materiality-weighted emissions showed stronger links to equity outperformance, earnings, and credit risk than total emissions, even after controlling for industry and style. This may explain why past academic studies using total emissions found limited and often diverging links to financial performance.