Co₂liseum is a portfolio strategy and analytical system for fixed income professionals seeking to manage the climate performance of their credit portfolios.
Developed by the Anthropocene Fixed Income Institute's Portfolio team, Co₂liseum is a unique, open source system that offers two core features.
Quantitative Transition Assessment (QTA) is an easy-to-use ranking methodology for assessing the climate risk exposure of your portfolio across a wide range of securities. QTA is available to all investors managing corporate credit portfolios.
For qualified portfolio managers, Co₂liseum also offers a selection of model portfolios provided by AFII, consisting of hypothetical trades undertaken in a real time environment to test transition focused investment strategies.
Inputting your portfolio into Co₂liseum provides the QTA value and credit metrics, enabling comparisons with benchmarks and Co₂liseum’s model portfolios.
QTA provides investors with a dashboard giving an overview of a portfolio’s climate transition risk exposure. The QTA value is compared to a variety of market benchmarks and emissions intensity metrics across different sectors. You can upload your bond portfolios and apply the same methodology we deploy to maintain our model portfolios.
- At a portfolio level, QTA scores its current net zero alignment and the transition path towards net zero.
- It gives investors the ability to track the score over time as their portfolio evolves.
- Decision-making is supported by highlighting top contributors across climate metrics.
QTA is fully transparent in its methodology and alerts users to any data or modelling changes. Unlike many existing solutions, which often lack instrument-level differentiation and overlook positioning in present offerings in the market or in-house solutions, our approach addresses these bond-level challenges.
We also recognise that portfolios differ in sector and geographic exposure, so the system allows for flexible, portfolio-specific scoring that adjusts to varying credit risk profiles.
Our Co2liseum Model Portfolio offers qualified portfolio managers a fundamental perspective on applying climate factors in a real-world market context.
- Track the AFII team’s hypothetical allocations in a model portfolio devised to demonstrate a climate-integrated fixed income strategy.
- Evaluate the model’s financial and climate performance relative to a mainstream portfolio on a web-based analytical platform.
- Stay ahead of industry trends in sustainable investing.
Embedding climate policies into practical fixed income portfolio management is challenging. Key questions must be answered, such as, which climate metrics should you use? How do you handle duration and capital structure? Should it be spot or forward-looking data and what about missing data? How should you account for hedges, derivatives, or ETFs?
Co2liseum is a first-of-its-kind model portfolio run by AFII’s team of experienced market professionals. The strategy is implemented in real-time, with full transparency, as the team seeks to combine risk-return vectors with climate impact targets.
