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Cross-Asset Climate Betas

11 July 2025

Articles

A new academic paper for investors who consider that understanding and managing climate risk is no longer optional.

In this publication titled Cross-Asset Climate Betas, published in the Journal of Portfolio Management, our experts explore how asset returns respond to climate risks across various asset classes and strategies. By combining both "hard" weather data and "soft" media-based indicators, they provide insights on how to optimise asset allocation and build more climate resilient portfolios.

Watch our experts, Jean Charles Bertrand and Stéphane Mesnard, summarise the key takeaways in 4 minutes, or dive into the full report for deeper insights.

Cross-Asset Climate Beta

Watch our experts, Jean Charles Bertrand and Stéphane Mesnard, summarise the key takeaways in 4 minutes, or dive into the full report for deeper insights.

Key Highlights:

Asset classes exhibit varying sensitivities to climate risks, with equities, commodities, and property showing positive climate betas, while bonds often demonstrate negative or negligible sensitivity
A dual approach combining weather-based (hard) and news-based (soft) climate measures provides a comprehensive framework for assessing climate risks and their implications for portfolio construction
Increasing climate resilience in portfolios improves performance during climate stress periods but introduces higher tracking errors and volatility, presenting a trade-off for investors

Read the publication

Source: The Journal of portfolio management, March 2025, Volume 51, Number 5.
This academic publication provides a high level overview of an academic paper. It is for marketing purposes and does not constitute investment research, investment advice nor a recommendation to any reader of this content to buy or sell investments. It has not been prepared in accordance with legal requirements designed to promote the independence of investment research and is not subject to any prohibition on dealing ahead of its dissemination.
For illustrative and informational purposes only and should not be construed as a recommendation for any investment product or strategy.
The views expressed above were held at the time of preparation and are subject to change without notice.