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Using Trucost’s EU Taxonomy Revenue Share dataset, investors can calculate the proportion of a company’s “green” revenues that have the potential to contribute to the low carbon transition.
Constructing a “Green” & “Brown” portfolio with a green revenue percentage factor derived from Trucost’s EU Taxonomy Revenue Share dataset results in an average spread between the Green and Brown portfolio over the time period of just -3bps, which is statically equivalent to zero.
Within equities that have exposure to green revenue of greater than 1%, the equities with the highest exposure (Quintile 1) outperform those with the lowest (Quintile 5) by 2.62% on average annually.
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