IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-04907526.html
   My bibliography  Save this paper

Cross-Asset Climate Betas

Author

Listed:
  • Jean-Charles Bertrand

    (HEC Paris - Ecole des Hautes Etudes Commerciales)

  • Guillaume Coqueret

    (EM - EMLyon Business School)

  • Nicholas Mcloughlin
  • Stéphane Mesnard

Abstract

This article documents the sensitivity of asset returns to proxies of climate risk. We first construct a novel "extreme weather index" by combining meteorological observations with weather-related catastrophes data. We utilize this index, alongside a news-based indicator focused on climate concerns, to estimate climate "betas" for a cross section of asset classes. We deploy these betas in the context of adapting multi-asset portfolios to shocks in climate events or heightened media attention. We find that introducing new asset classes to a simple equity–bond portfolio, such as commodities, has an outsized impact compared with simply adjusting the type of investment strategy used within a pre-determined asset allocation. These additional asset classes improve portfolio diversification during times of climate stress but introduce a higher degree of tracking error and reduce risk-adjusted performance over the full sample period, highlighting a trade-off for portfolio construction.

Suggested Citation

  • Jean-Charles Bertrand & Guillaume Coqueret & Nicholas Mcloughlin & Stéphane Mesnard, 2025. "Cross-Asset Climate Betas," Post-Print hal-04907526, HAL.
    • Handle: RePEc:hal:journl:hal-04907526
    DOI: 10.3905/jpm.2025.1.672
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-04907526. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.