AMUNDI "Measuring and Managing Climate Risks in Investment Portfolios”
Presentation of the Partner
About Amundi
Amundi, the leading European asset manager, ranking among the top 10 global players [1], offers its 100 million clients - retail, institutional and corporate - a complete range of savings and investment solutions in active and passive management, in traditional or real assets. This offering is enhanced with IT tools and services to cover the entire savings value chain. A subsidiary of the Crédit Agricole group and listed on the stock exchange, Amundi currently manages more than €1.95 trillion of assets [2].
With its six international investment hubs [3], financial and extra-financial research capabilities and long-standing commitment to responsible investment, Amundi is a key player in the asset management landscape.
Amundi clients benefit from the expertise and advice of 5,400 employees in 35 countries.
Amundi, a trusted partner, working every day in the interest of its clients and society
1- Source: IPE “Top 500 Asset Managers” published in June 2023, based on assets under management as at 31/12/2022
2- Amundi data as at 30/06/2023
3- Boston, Dublin, London, Milan, Paris and Tokyo
Presentation of the Partnership
Objectives
The Amundi “Measuring and Managing Climate Risks in Investment Portfolios” research chair at EDHEC-Risk Climate Impact Institute aims to investigate whether it is possible to identify a measure of climate-change risk, and if so, to investigate whether it can be used to construct optimal portfolios with respect to climate-change risk.
The first part involves the creation of a climate change news index, using a variety of language models and high-quality English-language newspaper sources (including the Financial Times for the first time in the literature). The second part aims to use this index to create climate-change risk hedged portfolios.
Research Outputs:
- EDHEC Outputs
Climate Salience and the Demand for Green Stocks by Mutual Funds, December 2024, EDHEC-Risk Climate Publication
Teodor Dyakov and Dominic O’Kane
In this publication, produced as part of the Amundi research chair, the authors investigate how extreme climate events influence mutual fund investment decisions. Leveraging a dataset of 5,189 actively managed funds across 24 countries (2009–2021), they show that heat anomalies drive increased demand for low-emission stocks. These shifts persistently impact asset prices, reflecting rational updates in climate risk perceptions. The study offers key insights into how climate awareness is reshaping capital allocation in global markets.
The Impact of Climate Change News on Low-minus-High Carbon Intensity Portfolios, June 2023, EDHEC-Risk Climate Publication
Dominic O’Kane and Jean-Michel Maeso
In this publication, produced as part of the Amundi research chair, the authors apply the latest natural language processing methods to construct and test such proxies from media articles over some fifteen years. Linguistic dictionary, lexical sentiment-based techniques, and state-of-the-art transformer-based models are used to capture daily variations in climate change concerns in leading newspapers over the 2005-2021 period. The authors build indices for five major news sources and their aggregation and study the relationship between index innovations and the changes in the values of portfolios of large capitalisation companies listed in the United States.
[Press release announcing the publication of the research: 12/09/23]
- Academic Outputs
Investigating the Influence of News Sources and Language Models on Climate Beta Estimates, Practical Application The Journal of Portfolio Management, Special Issue on Novel Risk
Dominic O’Kane and Jean-Michel Maeso
✔️ An index of unexpected climate news has a negative relationship with the returns of brown stocks.
✔️ Detecting an effect of climate news on brown stocks requires the aggregation of multiple news sources.
✔️ In constructing a climate news index, the most sophisticated language model did not outperform a simple attention-based model.
Investigating the Influence of News Sources and Language Models on Climate Beta Estimates, The Journal of Portfolio Management, Special Issue on Novel Risk
Dominic O’Kane and Jean-Michel Maeso
- Professional Outputs
Climate Salience and the Demand for Green Stocks by Mutual Funds Around the World, March 2024, Climate Finance special issue of the EDHEC Research Insights published in Investment & Pensions Europe supplement and Pensions & Investments supplement.
Dominic O’Kane and Teodor Dyakov
The impact of climate change news on green-minus-brown portfolios, Climate Finance special issue of the EDHEC Research Insights published in Investment & Pensions Europe supplement and Pensions & Investments supplement.
Dominic O’Kane and Jean-Michel Maeso
Interview: Research is essential to sustaining innovation in responsible investment, published in the inaugural Newsletter of EDHEC-Risk Climate Impact Institute in May 2023.
Timothée Jaulin, Head of ESG Development and Advocacy at Amundi
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
