Sitemap

A list of all the posts and pages found on the site. For you robots out there, there is an XML version available for digesting as well.

Posts

Future Blog Post

less than 1 minute read

Published: January 01, 2199

This post will show up by default. To disable scheduling of future posts, edit config.yml and set future: false.

Blog Post number 4

less than 1 minute read

Published: August 14, 2015

This is a sample blog post. Lorem ipsum I can’t remember the rest of lorem ipsum and don’t have an internet connection right now. Testing testing testing this blog post. Blog posts are cool.

Blog Post number 3

less than 1 minute read

Published: August 14, 2014

This is a sample blog post. Lorem ipsum I can’t remember the rest of lorem ipsum and don’t have an internet connection right now. Testing testing testing this blog post. Blog posts are cool.

Blog Post number 2

less than 1 minute read

Published: August 14, 2013

This is a sample blog post. Lorem ipsum I can’t remember the rest of lorem ipsum and don’t have an internet connection right now. Testing testing testing this blog post. Blog posts are cool.

Blog Post number 1

less than 1 minute read

Published: August 14, 2012

This is a sample blog post. Lorem ipsum I can’t remember the rest of lorem ipsum and don’t have an internet connection right now. Testing testing testing this blog post. Blog posts are cool.

portfolio

Portfolio item number 1

Short description of portfolio item number 1

Portfolio item number 2

Short description of portfolio item number 2

publications

Paper Title Number 2

Published in Journal 1, 2010

This paper is about the number 2. The number 3 is left for future work.

Recommended citation: Your Name, You. (2010). "Paper Title Number 2." Journal 1. 1(2).
Download Paper | Download Slides

Paper Title Number 3

Published in Journal 1, 2015

This paper is about the number 3. The number 4 is left for future work.

Recommended citation: Your Name, You. (2015). "Paper Title Number 3." Journal 1. 1(3).
Download Paper | Download Slides

Paper Title Number 4

Published in GitHub Journal of Bugs, 2024

This paper is about fixing template issue #693.

Recommended citation: Your Name, You. (2024). "Paper Title Number 3." GitHub Journal of Bugs. 1(3).
Download Paper

We examine the asset pricing implications of sustainability in commodity prices. We focus on metals and agricultural commodities, for which we collect environmental footprint data, namely greenhouse gas emissions and water consumption. We first build green-minus-brown portfolios based on these footprints. Our findings yield no evidence that sustainability is priced in the cross-section of commodity returns, so that a green tilt does not change the expected performance. Second, we document strong benefits when diversifying equity and bond allocations with low-carbon commodities: a 22% welfare improvement when the commodity share is 20%. Such allocations also allow important footprint reductions at the portfolio level. These results underline the role and opportunities of sustainability in commodity markets. They also reveal the interest in extending green portfolios to commodities which, in turn, have the potential to broaden the impact of sustainable investing.

Recommended citation: Coqueret, Guillaume and Tavin, Bertrand and Zhou, Yuxin, Sustainable commodity factors (January 31, 2025). Available at SSRN: https://ssrn.com/abstract=4698258 or http://dx.doi.org/10.2139/ssrn.4698258
Download Paper