Data included in this project come from the following sources:
- The Fama French factors, risk free rate, and momentum come from the Developed 3 Factors and Developed MOM Factors from Dartmouth Ken French Data Library.
- CARIMA is a data series from [Carbon Risk Management (CARIMA) Manual
- Index returns and constituents are based on traded ETF's:
- MSCI World is from the iShares MSCI World Index ETF (ticker XWD)
- MSCI All Country World Index (ACWI) is from iShares MSCI ACWI ETF (ticker ACWI)
- MSCI ACWI Low Carbon Index is from iShares MSCI ACWI Low Carbon Target ETF (ticker CRBN)
- S&P 500 is from the iShares Core S&P 500 ETF (ticker IVV)
- S&P 500 Paris Aligned is from the iShares S&P 500 Paris-Aligned Climate UCITS ETF (ticker UPAB)
- S&P® Oil & Gas Exploration & Production Select Industry® Index is from the SPDR® S&P® Oil & Gas Exploration & Production ETF (ticker XOP)
- MVIS Global Low Carbon Energy Index is from the VanEck Low Carbon Energy ETF (ticker SMOG)
- List of ETFs corresponding to S&P 500 sectors
- List of ETFs corresponding to MSCI sectors
- Fixed income market data come are from these sources:
- Interest rate data is from Federal Reserve H15 using Monthly Averages.
- BBB OAS is from St Louis Fed BAMLC0A4CBBB using Frequenty=Monthly, Aggregation=End of Period
- High Yield OAS is from St Louis Fed BAMLH0A0HYM2 using Frequenty=Monthly, Aggregation=End of Period