Resumo:
Propsito do Trabalho:
This research seeks to demonstrate the impact of the use of futures Carbon Credit Future Contracts has on investment portfolios as the Market Risk and Expected Return, helping portfolio managers in the decision to take positions in the asset. Therefore we define our main question: there are financial benefits to include Future Carbon Credits in investment portfolios? With an odd pricing in the market, the Future Carbon Credit can act as mitigating risk when added to investment portfolios, ceasing to be simple positive socio-environmental assets to bring real benefits to the strategy of the Portfolio. It can be noticed that, in fact, to introduce Carbon Credit Futures can reduce the value at risk of investment portfolios however it should be a concern to balance what is the optimal amount of futures contracts inserted in the portfolio in order to not take positions that would make the portfolio less efficient. It was used a theoretical portfolio of USD 1000.00, so that the participation of Carbon Credit Futures positions varied between 100% short position and 100% long position in the portfolio and, for each 1% change in participation of EUA futures, it was created a hypothetical portfolio, with its expected return, market risk and modified Sharpe ratio.
Base da plataforma terica:
Through the Flexibility Mechanism, the agreements of the Kyoto Protocol opened space for undeveloped countries also join the scheme even that they did not committed to reduce their emissions of Greenhouse Gases (GHGs). It was also possible that companies from developed countries that reduces above their emissions quotas, could sell the reductions to companies that failed to achieve their goals. The Flexibility Mechanism therefore has two major forms that relate to this study: the Clean Development Mechanism (CDM), which includes developing countries in the trade scheme, and Emissions Trading (ET), aimed reductions surpluses commerce between developed countries. As for the functioning of the ET, when an industry in a country that has committed to reduce their emissions reduces beyond its goals, it receives a certificate authorizing the emission of polluting gases in the proportion of that surplus. This industry can, in turn, sell that license to another industry that failed to achieve its goal. The sale of these types of license between different countries are given through international agreements, where countries form blocks of Carbon Credits transaction. The largest is the European Union Emissions Trading System (EU ETS), which are included 31 countries that transact through the EU ETS among themselves and accept, in controlled proportions, Papers from the CDM countries that do not make the block. To be issued with a Carbon Credit from a CDM project, the amounts of CO2 and other gases saved or sequestered from the atmosphere by the project are measured and converted into carbon reduction called Certified Emission Reductions (CER) contracts. Industries who want to expand their production and therefore pollute more or that failed to achieve its goal of reducing its emissions in greenhouse gases can, through ET or CDM, buy Carbon Credits in the amount necessary for its goal is reached. That is, the company can buy the right to pollute in quantities proportional to the pollution that wishes to emit.
It works as if there is a transfer of financial resources from companies that pollute - or want to pollute - more than they should for companies that have managed to reduce their greenhouse gas emissions beyond that established by the Kyoto Protocol. Because there are fluctuations in the price of this type of contract, as with any commodity, the financial market has created CER and EUAs Futures Contracts, which meet the need that industries have to protect that price moves when they want to use them in the future. As mentioned previously, the reasons that CERs futures are less attractive are both by the old restrictions on their use in the compulsory EU ETS scheme and also by the decision of the European scheme no longer accept CERs produced from projects started after 2012, directly impacting on the price and liquidity active in this market. It is quite intuitive that the reasons that cause changes in market prices (returns) of financial assets (stocks, options, etc) and commodity futures diverge from each other. Mattos (2000) found evidences that this difference may become the use of agricultural commodities futures in portfolios advantageous.
Mtodo de investigao:
The BM&FBOVESPA index (IBOVESPA) represents approximately 85% of the total volume of transactions in the country and is an indicator widely used as a benchmark (benchmark) of several indexed portfolios. Although there are possibly more efficient portfolios than the theoretical portfolio measured by the IBOVESPA, Nakamura (2000) showed that it is reasonable to use as a benchmark BM&FBOVESPA in the stock market, especially because of the impossibility to construct theoretical portfolios of all possible actions and choose a due to the large number of shares traded in the market. Thus, the IBOVESPA is assumed as an ideal portfolio of stocks. Additionally, the American NASDAQ Index, the Brazilian Corporate Sustainability Index (ISE) and the Commodities Thompson Reuters / Jefferies CRB Index will be used in order to analyze the behavior of adding different amounts of carbon credits futures in other types of portfolios. The choice of assets to represent Carbon Credit Futures was based on reasons mentioned above and the most liquid and with greater attractiveness in stock market are USA type and so that is why this contract is most relevant for this study. It is worth noting also that the prices of CERs and EUAs are highly correlated, above 0.9 (Kossoy and Guigon, 2012), ie, it can be assumed that the findings of EUAs may also apply to CERs. USA futures are traded with maturities of every three months, December, March, June and September. Returns relating to the nearest maturity (first maturity) contract will be considered, as they have greater liquidity and are therefore closer to an efficient market. Closing prices of IBOVESPA, NASDAQ, ISE, Thompson Reuters/Jefferies CRB Commodities Index and first maturity contract of USA futures were extracted from a Bloomberg terminal and converted to US dollar currency. The period of collected data was from January 2, 2012 to June 24, 2013.
Resultados, concluses e suas implicaes:
The investor that includes Carbon Credits in portfolios normally expects to use their environmental characteristic as a mean of marketing promote the portfolio. But there is no evidence to show how these contracts affect the portfolios and the impact within risk and return by including Futures Contracts of Carbon Credit on investment portfolios. This research seeks to demonstrate the impact of the use of futures Carbon Credit Future Contracts has on investment portfolios as the Market Risk and Expected Return, helping portfolio managers in the decision to take positions in the asset. After creating hypothetical portfolios for each period, for every index analyzed, tables were built explaining the portfolios that meet the main points (lower risk, higher return and higher S) for every contract. The addition of Carbon Credit Futures produced throughout the period analyzed portfolios with lower market risk when compared with portfolios composed only by stocks, whether they are represented by IBOVESPA, ISE or NASDAQ, and also the composite portfolio only commodities futures, represented by Thompson Reuters / Jefferies CRB. The proportion of future carbon credits in the portfolio that minimizes the risk varied considerably over time, but it is noticed that there was a trend to small amounts added in a short position, on average 12.3%, and that these values vary set for the different types of portfolios, showing that the effect observed by the introduction of carbon credits is more universally valid, because it includes both portfolios formed by stocks (IBOVESPA, ISE and NASDAQ) as formed by commodities (CRB). Most of the analyzed period long series of negative returns for both indexes and for the future contracts were observed, since the Economical moment was of general crisis. It is difficult to analyze the results in relation to Expected return, showing the most favorable portfolios are composed in some periods by 100% of index and another periods, 100% in EUA futures. By combining the analysis of Expected return and Market Risk through the modified Sharpe ratio, it is seen that throughout the analyzed period were found optimal portfolios that contemplated carbon credits futures in its composition. It can be noticed that, in fact, to introduce Carbon Credit Futures can reduce the value at risk of investment portfolios however it should be a concern to balance what is the optimal amount of futures contracts inserted in the portfolio in order to not take positions that would make the portfolio less efficient. Carbon Credit Futures demonstrated to have a great power to reduce market risk, but their use in investment portfolios does not have a significant market penetration. The reasons that lead managers of investment portfolios to reject such papers need to be further studied and tested for consistency, mainly because there is a great potential of this paper in the secondary market, mainly in Brazil. This study found that there are financial advantages by introducing Future Carbon Credit in investment portfolios when it analyzes risk versus return of portfolios composed of these assets.
Referncias bibliogrficas:
Bataller, M.M et al. (2010). The EUA-sCER Spread: Compliance Strategies and Arbitrage in the European Carbon Market, Caisse des Dépôts.
Giovanini, D. et al. (2010). Análise do Mercado de Créditos de Carbono: Aplicação de projetos MDL no Brasil., V Encontro Nacional da Anppas, Florianópolis.
Kossoy, A.; Guigon, P. (2012). State and trends of the Carbon Market 2012, The World Bank.
Markowitz, H. (1952). Portfolio selection. Journal of Finance, v. 7 p. 77-91.
Mattos, F. (2000). Utilização de contratos futuros agropecuários em carteiras de investimentos: uma análise de viabilidade. São Paulo.
Nakamura, W. T. (2001). Estudo Empírico sobre a eficiência da carteira teórica do índice Bovespa. Revista de Administração Mackenzie. Ano 1, n.1, p. 67-81.
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