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Non-Tech : Climate Change, Global Warming, Weather Derivatives, Investi
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To: Sam Citron who wrote (146)4/27/2007 8:11:52 AM
From: Sam Citron   of 442
 
JPMorgan Environmental Index - Carbon Beta

The JPMorgan Environmental Index – Carbon Beta (JENI-Carbon Beta) is the first high-grade corporate bond index designed to address the risks of climate change in a rigorous way. A collaboration between JPMorgan and Innovest Strategic Investment Advisors, a world leader in providing environmental analysis to institutional investors, JENI-Carbon Beta is designed to enable credit investors to make return-driven investment decisions that systematically take the risks and opportunities created by global warming into account.

The JENI-Carbon Beta covers all industry sectors and is based on the JPMorgan US Liquid Index (JULI), an established benchmark for the U.S. investment-grade corporate bond market. A relative carbon beta score, reflecting relative positioning to either benefit from or be burdened by costs relating to climate change, is calculated monthly for each issuer by Innovest. The JULI is then "tilted" according to the carbon beta scores of issuers to create the JENI-Carbon Beta. For example, the JENI-Carbon Beta might be underweight an issuer for which reduction of carbon emissions will be especially costly, relative to its sector, while overweighting an issuer that appears to have unusual revenue potential in a carbon-constrained environment. Backtesting confirms that the JENI-Carbon Beta closely replicates the return characteristics of the JULI liquid, while reducing investor exposure to the financial risks arising from climate change.

jpmorgan.com
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