Hudson et al (2010)
Hudson, Julie, Hubert Jeaneau, Shirley Morgan-Knott, Rachel Ashton, Simon Iley, and Maylan Chang. The UBS Europe Carbon Optimized Index. UBS Investment Research. June 23, 2010.
From the report: "The UBS ECO Index, launched in March 2008, is designed to provide a transparent solution to potential investment needs for a “low carbon” investment vehicle. This index is sector neutral relative to its benchmark (the Dow Jones STOXX® 600 Index), while under-weighting the more carbon-intensive and over weighting the less carbon-intensive companies within the sectors on the basis of Trucost data. We estimate the “carbon footprint” of the UBS ECO Index (as defined by Trucost) to be 42% lower than the benchmark. PAS analysis for the ECO index suggests a predicted tracking error of 0.68% (Table 1, top left) as at June 23rd 2010.
"PAS style analysis shows a tilt towards Growth (+3.4%) and an underweighting of Value (-3.5%), as well as a small tilt towards Mid Cap (+2.0%) and a tilt away from High Free Cash Flow Yield (-2.2%). Geographic exposure is close to benchmark. Sector exposure is also very close to the benchmark. The track record to date is a very small under performance."