Waci carbon attribution drivers fi insights

中文标题

你的WACI有什么古怪？

State Street09/29/2026updated 10/17/2026

Unknown economy

Citable research brief

Core conclusion · Tlines extraction

State Street applies an emissions attribution framework to three indexes over December 2022 to December 2025. Index WACI fell 47.1% for S&P Developed LargeMidCap, 28.8% for S&P Emerging LargeMidCap and 21.9% for Bloomberg Global Aggregate Corporate. The authors caution that WACI moves may stem from normalization factors, market movements and index turnover, not only absolute company emissions; national DM emissions fell about 4.6% while EM emissions rose 7.1%, a divergence they say reinforces the need for attribution.

Institution: State Street
Published: 09/29/2026
Research topic: Not explicitly stated
Time horizon: 2022 · 2021

Key arguments

Index WACI declines can be driven by normalization factors, market movements, and index turnover, not only absolute company emissions.
The authors apply a three-layer carbon attribution framework (security contribution, contribution drivers, emissions intensity drivers) with an outlier-treatment modification.
Regional index WACI fell sharply even as DM national emissions fell slightly and EM emissions rose, a divergence requiring attribution to explain.
The framework can be extended to analyze WACI drivers at the sectoral level.

Key numbers

S&P Developed LargeMidCap WACI change: 162.5 to 85.9 (-47.1%)
S&P Emerging LargeMidCap WACI change: 455.9 to 324.7 (-28.8%)
Bloomberg Global Aggregate Corporate WACI change: 229.7 to 179.4 (-21.9%)
DM national emissions change, 2021-2024: -4.6%
EM national emissions change, 2021-2024: +7.1%

Main risks

Attribution results depend on data sources and methodology choices, including outlier treatment.
WACI is revenue-normalized, so revenue and currency shifts can move the metric independently of emissions.
Index reconstitution and market movements can alter WACI without any change in company emissions.

Corresponding source evidence

1,2 Often, such portfolios target metrics such as the weighted average carbon intensity (WACI), carbon footprint, financed emissions intensity, and others.
Measuring each driver against the 2022 WACI (set at 100%), higher sales reduced the WACI by 23 percentage points, lower portfolio weights by 24 points (i.e., reduced weights in holdings that had a higher WACI than the initial portfolio), new or deleted positions by 3.3 points, and lower carbon emissions by 1.1 points. · 2022
Measuring each driver against the 2022 WACI (set at 100%), higher sales reduced the WACI by 25.4 percentage points, interaction effects by 8.8 points, lower index weights by 4.2 points, new or deleted positions by 3.1 points, and changes in data coverage or outlier treatment by 2.4 points. · 2022

Context: the conclusion is Tlines' automated extraction, not the institution's wording. Quoted evidence is publisher wording. Scope and date must travel with the conclusion.

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