Een groene beleggingsstrategie

De EF-I RE25 is een groene Investeringsstrategie, samengesteld uit 25 gelijk gewogen beursgenoteerde aandelen van over de hele wereld. De aandelen zijn allen van schone en duurzame energie bedrijven. De investeringsstrategie is ontworpen om alleen de aandelen te selecteren van leidende bedrijven die werkzaam zijn in de duurzame energie sector, waarvan de energie afkomstig is van voornamelijk biomassa, golf en getijden, fotovoltaïsche, zonne-, geothermische-, wind-, waterkracht energie of uit de brandstofcel sector.


A Global Renewable Investment Strategy


Q4 Performance 2015


Outperformers Analysed
Fund Comparison RobecoSAM Smart Energy Fund

In this research the stock performance of sustainable green energy companies will be investigated. There are several indicators of stock performance such as the volatility of stocks (beta), the risk-adjusted return of stocks (Sharpe ratio), the standard-deviation of a stock, the ‘R-squared’ of a stock which indicates the percentage of a stock’s movements that can be explained by movement of a benchmark index and the Alpha of a stock, or the active return of a stock against a market index which is used as a benchmark. Also will be investigated what anomalies and macroeconomic phenomena have effects on renewable energy stocks.

The aim of research is to examine the impact of changes in oil prices on the financial performance of renewable energy stocks using a vector auto regression model. As for the renewable energy companies, the research will focus on Renewable Energy companies that are included in the EF-I Database. The main contribution of this paper is to get a better understanding of the relationship between the fluctuations in oil prices and the impact on the stock performance of renewable energy companies.

Considering the fact that renewable energy is increasingly growing in importance and production costs are decreasing simultaneously, an investment strategy such as the EF-I RE25 can prove to be an interesting investment. However, not all renewable energy companies outperform the market and for that reason this research focusses on the attribution of different types of renewable energy sources to the overall portfolio.

As value stocks collect a premium for being undervalued relative to growth stocks, applying a value-minus-growth investment strategy is believed to earn positive returns. When stocks are undervalued compared to other stocks, one way to explain this is through a risk factor involved. Several studies entail the research into what factors are responsible for allowing stocks to trade at a discount resulting in the value premium. How can this effect be explained in renewable energy stocks? Is the value premium more present in some industries than others? It might be that the explanation for this be found can in the energy source or value chain position, the company is active in.

Climate change is more and more being recognized as a long-term investment theme. A common factor may account for the share prices of the companies that are well-positioned to handle climate change. The question now is if the returns of firms that are beneficiaries of climate change display common properties that are not captured by risk in use today, which could then indicate that there is a green factor. The companies of interest are companies which are involved in the provision of renewable energy.

According to earlier research and market data, renewable energy database as constructed by the Energy Finance Insitute, contains a significant number of companies that over multiple periods have shown negative excess returns on a risk adjusted basis. This paper will aim to identify sector specific factors that are affecting share price returns in the renewable energy sector. Can excess returns in the renewable energy sector be partially explained through the identification of sector specific risk factors, and subsequent implementation of these factors in a multi factor CAPM model?