This project's mission is to make climate investing actionable. It includes both open source software and a free book to help you identify relative value trades, optimize portfolios, and structure benchmarks for climate aligned investing.
The software is a multi-factor equity returns model which adds a climate factor, or Brown Minus Green, to the popular Fama French and Carhart models. See the short video
This additional Brown Minus Green (BMG) return factor could be used for a variety of climate investing applications, including:
Calculate the market-implied carbon risk of a stock, investment portfolio, mutual fund, or bond based on historical returns
Determine the market reaction to the climate policies of a company
Optimize a portfolio to minimize carbon risk subject to other parameters, such as index tracking or growth-value-sector investment strategies.
Setting It Up
Install the required python modules (use pip3 instead of pip according to your python installation):
pip install -r requirements.txt
Initialize the Database using:
python3 scripts/setup_db.py -R -d
Trying It Out
Let's get the historical stock prices and returns of the MSCI World Index and its constituent sectors: