PCAF已實施15年，可能會遇到哪些投資β挑戰，GRESB如何幫助投資人克服這些障礙？
PCAF has been implemented for 15 years. What investment β challenges might it encounter, and how can GRESB assist investors in overcoming these obstacles?

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PCAF has been implemented for 15 years. What investment β challenges might it encounter, and how can GRESB assist investors in overcoming these obstacles?

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     Over the last 15 years, PCAF (Partnership for Carbon Accounting Financials) has played an important role in providing the financial institutions and entities the frameworks and standards to measure and disclose the GHG emission related to their financial assets, investments and loans. PCAF is considered as the key role tools for investigating the carbon footprint of portfolios, especially recently the governments and the investors have had more requirements of the transparent and accurate disclosure of climate-related risks. However, the “financial world” requires more and more sustainability from the investing practices, there are several challenges that arise, particularly when linking the GSG emissions to beta (β) - a measure of a portfolio’s risk relative to the market.

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     Investment beta (β) is used in finance to denote the volatility or systematic risk of a security or portfolio compared to the market. It plays an important role in understanding the risk-return profile of investments. A beta of 1 indicates that the investment's price moves in tandem with the market, while a beta greater than 1 suggests greater volatility, and a beta less than 1 suggests less volatility. When integrating PCAF’s framework and standards, the challenge is how to translate carbon data into meaningful financial risk metrics, such as beta. By deeply understanding this challenge, investors can make more informed decisions and address the complexities of sustainable investing.

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     As mentioned above, PCAF focuses on how to measure and disclose the GHG emissions, which is the important element to understand the carbon footprint of the investments. However, these standards do not directly address how carbon emissions can impact the risk systematic market. The investors have to face challenges about identifying the carbon risks, such as future carbon taxes, new environmental regulations, or market carbon fluctuations, which can significantly generate the volatility of their portfolios and their returns on investments (ROI). It is remarkably significant because the financial market is now gradually transferring to the low-carbon investment, which can interrupt several high-carbon industries (such as real estate, building, fossil fuel energy) and lead to the huge fluctuation of real estate prices. For instance, a company having huge weighted average investments in building factories can find difficulties to assess how the GHG emissions can affect their beta in the future market of many low-carbon regulations. The tools that PCAF provides are great for measuring the amount of GHG emissions, but there are no methodologies to transfer the amount into portfolios' beta.

     This forces investors to depend on the fragmented data, and have to develop their own model to assess them, which negatively impacts the efforts to generate the consistent beta to calculate the carbon-related risks. Furthermore, integrating carbon emissions into the traditional financial model like Capital Asset Pricing Model (CAPM) is still really hard because it still does not consider environmental factors to calculate the financial risks. Besides, the inconsistent reports among the different industries are considered as another challenge. Although there are several efforts to standardize carbon accounting, gaps in data make investors find it difficult to adjust the beta based on the carbon exposure. Therefore, the incomplete or incredible data disrupt the accurate measurement of systematic risks, and complicate investment decision-making and risk management in portfolios exposed to climate-related risks.

     To overcome beta challenges, GRESB can be considered as one of the most reasonable solutions at this time. While PCAF provides essential data for understanding the carbon impact of financial assets, GRESB complements PCAF by offering a broader framework that connects carbon performance with financial risk, particularly in the context of real estate and infrastructure investments. GRESB evaluates the performance of portfolios’ overall ESG (Environmental, Social, and Governance), including not only the amount of GHG emissions but also the other factors such as energy efficiency, water usage, and governance. This comprehensive viewpoint helps the investors to deeply understand the wider risks related to their portfolios. For example, an asset with a high carbon footprint may also have inefficient energy management practices, which can increase market volatility as energy prices rise or regulatory frameworks tighten. By using GRESB’s ESG data, investors can better measure how carbon risk integrates with other risk factors, ultimately improving their ability to adjust their beta in response to market changes.

     Also, GRESB provides the accurate tools which allow the investors to compare the ESG performance of real estate and construction portfolios with other companies in the same industry. It helps them to identify which company is leading the market with the lowest GHG emissions and which portfolios are equipped better to handle the carbon-related risks. For example, a GRESB-rated portfolio with a high environmental score may exhibit lower systemic risk due to its resilience to climate change, allowing investors to adjust their beta downward, reflecting the portfolio’s reduced risk profile. Besides, GRESB links the carbon performance with the financial factors like operation costs and asset value. For example, a portfolio of energy-efficient buildings may have lower operating costs, resulting in higher returns and potentially lower beta, as these assets are less affected by market fluctuations related to energy prices. Furthermore, GRESB supports scenario analysis and stress testing to assess the performance of portfolios under different climate change scenarios. This helps investors understand the long-term financial impact of carbon exposure, allowing them to make informed beta adjustments. By considering how assets may react during a low-carbon transition, GRESB helps investors future-proof their portfolios against climate-related risks and ensure more resilient investment strategies.

     In conclusion, even though PCAF is one of the most effective and efficient methodologies to measure and disclose the amount of GHG emission nowadays, it still can not measure the future systematic risks of portfolios related to climate change and carbon footprint. GRESB is the most suitable and reasonably complementary to fully fill the gaps of PCAF in assessing not only the carbon-related risks, but also several related factors. To have the highest performance of the portfolios, investors should combine both PCAF and GRESB to measure most aspects of environmental risks. Companies by themselves have to find solutions to quickly applying these standards because being proactive about sustainability now is not just a regulatory requirement - it is a competitive advantage on the market.

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資料來源 References

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Global Real Estate Sustainability Benchmark (GRESB): GRESB. (2024). GRESB Real Estate Reference Guide. Retrieved from: https://www.gresb.com/nl-en/

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Partnership for Carbon Accounting Financials (PCAF): Partnership for Carbon Accounting Financials. (2019). The Global GHG Accounting and Reporting Standard for the Financial Industry. Retrieved from [https://carbonaccountingfinancials.com/standard].

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Partnership for Carbon Accounting Financials (PCAF). (2022). GHG Emissions Real Estate Guidance 1.0. Retrieved from https://carbonaccountingfinancials.com/files/downloads/ghg_emissions_real_estate_guidance_1.0.pdf

GHG Protocol. (Year). Chapter 15: [Investments]. Retrieved from https://ghgprotocol.org/sites/default/files/2022-12/Chapter15.pdf

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