全球第二大对冲基金提出测量供应链气候风险的新方法

据美国彭博新闻社2022年5月11日报道，由克里夫·阿斯尼斯共同创办的全球第二大对冲基金美国AQR资本管理公司日前提出了一种测量供应链气候风险的新方法。

今天，大多数投资者关注的是范围3的排放——企业供应链或客户使用其产品时产生的排放。 AQR资本管理公司表示，范围3的可用数据因公司而异，通常不准确。

AQR资本管理公司表示，更好、更准确的测量标准是关注公司客户和供应商的整体气候敞口。 换句话说，AQR资本管理公司测量的是一家公司与可能因气候相关风险而遭受损失甚至倒闭的合作伙伴开展业务的程度。

举个例子，AQR资本管理公司调查一家美国支付服务公司，这家支付服务公司表面上看起来和其他公司一样环保。AQR资本管理公司的初步调查发现，其范围1、范围2和范围3的排放量低于行业竞争对手。但根据AQR资本管理公司的数据，监管文件显示这家支付服务公司的客户包括3家在2011年总收入中约占21%的大型石油公司。

AQR资本管理公司的研究主管卢卡斯·波莫尔斯基说，这个例子——虽然是过时例子——突出了AQR资本管理公司的方法和范围3排放量的简单读数之间的关键区别。范围3将特定公司产品的排放与供应商和客户隔离开来——即使他们的总体排放量已知，这也是一个令人生畏的挑战。

相比之下，AQR资本管理公司的方法是专注于“经济联系”。这意味着要评估一家公司有多少间接气候风险，方法是确定其收入中有多少来自自身气候风险较大的客户，以及它在气候风险公司的供应上花了多少钱。波莫尔斯基说，这与这些暴露的原因是客户还是生产商的产品无关。它衡量的是一个被低估的风险，因为一个非常环保的公司可能在其供应链和客户链上间接暴露于气候风险。

波莫尔斯基说：“范围3确实很重要，也很有价值，但关于范围3的数据充其量是值得怀疑的。”

AQR资本管理公司管理着大约1100亿美元的资金，该公司表示，他们利用供应链数据进行交易是因为这些数据是可验证的，而且气候相关的风险在全球范围内只会不断增加。AQR资本管理公司表示，一些该公司客户也对使用其指标和策略表现出兴趣。  

波莫尔斯基表示，从投资者的角度来看，关键问题是他们的投资组合在整个供应链中面临的环境相关风险有多大。在极端情况下，如果一家公司的客户因气候相关原因破产，该公司面临的风险有多大？ 公司会因为客户的破产而损失有意义的收入吗?  

AQR资本管理公司的研究超出了上述气候风险的应用范围。波莫尔斯基说：“我们的措施还可以捕捉到潜在的离岸排放，即当一家公司从自己生产碳排放最密集的部件转向从供应商那里购买它们时。”

当投资者向企业施压要求它们变得更环保时，企业高管们可能会关闭它们碳排放最密集的资产，转而从第三方供应商那里购买相同的原料。这只是将碳转移到整个供应链，对全球排放没有净影响。 AQR资本管理公司的指标可以帮助投资者监控这种行为，而范围3的数据仍然很少。  

最后，AQR资本管理公司的研究为投资者提供了一种分析通过客户和供应商严重暴露于气候变化影响下的公司的方法。例如，如果一家公司的客户排放了大量的二氧化碳或拥有大量的化石燃料储备，那么这家公司就间接地继承了这种暴露，即使它本身可能看起来是“绿色的”。  

波莫尔斯基说：“虽然我们的测量方法与范围3的排放有相似之处，但我们的测量方法捕捉到的信息有些不同，而且利用许多投资者已经获得的数据，更容易评估，这是一个重要的优势。”

李峻 编译自 美国彭博新闻社

原文如下：

Investment Firm Discovers New Way to Measure Supply-Chain Climate Risks

AQR Capital Management, the investment firm co-founded by Cliff Asness, has come up with a new way to measure supply-chain climate risks.

Today, most investors focus on Scope 3 emissions—the emissions generated as a function of a company’s supply chain or through the use of its products by customers. AQR says the data available on Scope 3 vary from company to company and is often imprecise.

AQR says the better and more accurate metric is focusing on the overall climate exposure of a company’s customers and suppliers. In other words, AQR measures the extent to which a company does business with partner firms that may suffer, or even go out of business, because of climate-related risks.

As an example, AQR examined a U.S. payments services company that seems on its face as green as any business around. An initial AQR review found its Scope 1, Scope 2 and Scope 3 emissions were lower than industry competitors. But regulatory filings showed that the company’s customers included three large oil companies, which accounted for about 21% of its consolidated revenue as recently as 2011, according to AQR.

This example—while dated—highlights the key difference between AQR's methodology and a simple reading of Scope 3 emissions, said Lukasz Pomorski, AQR’s head of research. Scope 3 isolates the emissions from suppliers and customers that are attributable to a given company’s products—a daunting challenge even when their overall emissions are known.

By contrast, AQR’s approach is to focus on “economic linkages.” This means assessing how much indirect climate-risk exposure a company has by identifying what portion of its revenue comes from customers with large climate exposures themselves, and how much it spends on supplies from climate-risky firms. This is regardless of whether such exposures are attributable to the client or producer’s product, Pomorski said. It measures an underappreciated risk, because a very green firm may be indirectly exposed to climate risks across its supply and customer chains.

“It’s true that Scope 3 is important and relevant, but the data around Scope 3 are questionable at best,” he said. 

AQR, which oversees about $110 billion, says it trades on this supply-chain data because it’s verifiable and climate-related risks are only increasing globally. Some AQR clients also have shown interest in the metric and strategies that use it, the firm said.

From an investors’ perspective, the essential question is how exposed are their portfolios to environmental-related risks across the supply chain, Pomorski said. At the extreme, how at risk is a company if one of its customers goes bankrupt for climate-related reasons? Will the company lose meaningful revenue because of client’s bankruptcy?

AQR’s research goes beyond the climate-risk application outlined above.

“Our measure can also capture potential emissions offshoring, which occurs when a company switches from making the most carbon-intensive components in-house to buying them from suppliers,” Pomorski said.

As investors pressure companies to become greener, corporate executives may respond by shutting down their most carbon-intense assets and instead buying the same ingredients from third-party suppliers. This just shifts carbon across the supply chain, with no net effect for global emissions. AQR’s metric could help investors monitor such behavior while Scope 3 data remains sparse.

In the end, AQR's research provides a way for investors to analyze companies that are heavily exposed to climate change via their customers and suppliers. For example, if a company’s customer emits a lot of CO2 or has lots of fossil-fuel reserves, then that company indirectly inherits that exposure even if by itself it may seem “green.”

“While there are similarities between our measure and Scope 3 emissions, our metric captures somewhat different information and has a meaningful advantage of being much easier to assess, using data many investors already have access to,” Pomorski said.