The emergence of net zero emissions policies is currently one of the most important topics among asset owners and managers. In this research paper, we investigate the integrated approach, which is implemented by equity and fixed-income mutual funds and ETFs. The objective of this method is to deal with the multi-faceted dimensions of net zero investing, in particular the decarbonization and transition dimensions. For that, we need to assess the metrics that capture the self-decarbonization and the green intensity of issuers. We also investigate the tracking, diversification and liquidity risks of net zero portfolios compared to business-as-usual benchmarks. Our results show that net zero investing goes beyond the simple exercise of dynamic decarbonization, and is not always a free lunch. This research paper will be completed soon by a second part dedicated to the core-satellite approach, which is a more appropriate approach for multi-asset portfolios, thematic investing and the strategic asset allocation of asset owners.
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