Regime Shifts in Energy Markets After the Paris Agreement: Sustainability-Oriented Portfolio Optimization

Year 2025, Issue: Özel Sayı 3, 25 - 43, 31.12.2025

Süreyya Temelli

https://doi.org/10.33203/mfy.1834714

https://izlik.org/JA22NG45BU

Abstract

This study explores whether the global energy transition accelerated by the Paris Climate Agreement has produced clear regime shifts in the financial behavior of clean and traditional energy assets. Using daily data for ICLN, XLE, and the S&P 500 index, the analysis evaluates three key periods from 2015 to 2024: the pre-transition phase, the post-COVID energy shock, and the recent normalization period. For each subperiod, annualized returns, volatility, beta coefficients, and risk-adjusted performance metrics such as Sharpe, Sortino, and Treynor ratios are calculated. Portfolio optimization based on the Markowitz mean–variance framework identifies changes in minimum-variance and maximum-Sharpe allocations. Findings show that clean energy outperforms before 2020, both asset classes exhibit unusually high returns during 2020–2023, and clean energy weakens after 2023 due to rising financing costs and policy uncertainty, while traditional energy remains more resilient. Overall results highlight the need for dynamic risk management and regime-sensitive sustainable portfolio strategies.

Keywords

Energy transition , Sustainability , Portfolio Optimization , Financial Markets

Project Number

yok

Paris Anlaşması Sonrası Enerji Piyasalarında Rejim Değişimi: Sürdürülebilirlik Odaklı Portföy Optimizasyonu

https://izlik.org/JA22NG45BU

Abstract

Bu çalışma, Paris İklim Anlaşması sonrasında hızlanan küresel enerji dönüşümünün finansal piyasalarda yarattığı rejim değişimlerini incelemekte ve yenilenebilir enerji (ICLN) ile geleneksel enerji (XLE) varlıklarının risk-getiri dinamiklerini dönemsel olarak değerlendirmektedir. 2015–2024 dönemine ait veriler üç alt dönemde analiz edilmiştir: geçiş öncesi dönem, COVID-19 sonrası enerji arz şoku dönemi ve normalleşme dönemi. Her dönem için yıllıklaştırılmış getiriler, volatilite, beta katsayıları ve Sharpe, Sortino ile Treynor oranları hesaplanmıştır. Markowitz ortalama–varyans yaklaşımıyla minimum risk ve maksimum Sharpe portföyleri oluşturulmuştur. Bulgular, enerji piyasalarının sürdürülebilirlik politikaları ve makroekonomik koşullara duyarlı, doğrusal olmayan bir yapıya sahip olduğunu göstermektedir. 2015–2020 döneminde temiz enerji daha iyi performans sergilerken, 2020–2023 döneminde her iki fon da yüksek getiri üretmiştir. 2023 sonrası dönemde finansman maliyetleri temiz enerjiyi zayıflatmış, geleneksel enerji daha dayanıklı kalmıştır. Portföy sonuçları rejim değişimlerinin optimal bileşimleri etkilediğini doğrulamaktadır.

Keywords

Enerji Dönüşümü , Sürdürülebilirlik , Portföy Optimizasyonu , Finansal Piyasalar

Ethical Statement

Yazar, bu çalışmada bilimsel ve etik ilkelere uyulduğunu ve kullanılan tüm kaynakların düzgün bir şekilde alıntılandığını beyan eder

Project Number

yok

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