Carbon Footprint Methodology

AiLA Carbon Footprint

  • As described in the AiLA index methodology documentation, the indices are defined by daily (so-called actual) asset weights, which are expressed as a percentage of the allocated capital.
  • Here we describe the approach used to associate a carbon emission footprint with the AiLA commodity products, calculated as metric tons (MT) of CO2 emissions for a given amount of capital invested.
  • The carbon footprint is calculated by the following steps
    • Aggregate the total weight associated with each type of commodity, e.g. each futures market.
    • For a given product allocation, determine the underlying quantity of each type of commodity.
    • Calculate the corresponding carbon emission footprint, using public CO2 emission conversion factors.

(* Note that in this document CO2 will be used in the sense of CO2 equivalent green-house-gas emissions)

No. Contracts Per Commodity

  • Given the standardized futures contract size, the quantity of each commodity is calculated in terms of number of contracts for a given weight at close of business day (𝑡).
  • Each day the commodity weight (𝑤 𝐶 ) is calculated by summing the weights across different contracts (𝑖).
  • For an easy/conservative comparison between long-only vs long-short indices, the sum does not take the sign associated with long and short positions into account.
  • The corresponding number of lots (𝑁 𝐶 ) is then calculated from the allocated capital (A), commodity weight and contract price.
  • The commodity contract price (𝑝 𝐶 ) is either based on the spot or front contract price at the close of day (𝑡), i.e. not necessarily the price of the contracts held in the AiLA product, together with lot size and FX rate.

Emission Per Contract

  • CO2 equivalent conversion factors are used from public sources, such as [EPA] and [EEA], and normalized to MT CO2 per contract for each commodity.
  • Currently the emission factors used corresponds to,
    • Petroleum, natural gas and coal: emissions related to its consumption (typically the dominating fraction).
    • Other commodities: emissions related to its production.
    • Further work is planned to improve the emission factors, with the ambition to cover scope 1, 2 and 3 sources in the footprint as appropriate as possible.
  • Historical results use recent fixed conversion factors, i.e. not point-in-time. However, values are expected to be updated as current estimates evolve.
  • It should be noted that the footprint for a given notional value will evolve with the commodity price.

(*) [EPA] US Environmental Protection Agency,
[EEA] European Environment Agency,
[FAO] UN Food and Agriculture Organization,

Product Footprint

  • The total CO2 footprint is reported at commodity as well as portfolio level, based on the capital allocated and current portfolio composition.
  • The resulting CO2 footprint values are typically smaller for the AiLA products than standard commodity indices.
  • The footprint of the AiLA products vary over time, due to the opportunistic allocations, however, often show a relatively uniform average profile over the calendar year.
  • The tendency of a smaller CO2 footprint for the AiLA product is partly due to deploying a lower percentage of the allocated capital, but also due to lower weights on commodities with large footprint, e.g. cattle and petroleum.

AiLA Summary


  • For a more like-with-like comparison, all numbers are shown w.r.t. a 1B USD allocation, despite that several products do not have such capacity.
  • Footprint values are sometimes low, during certain periods or in general, due to few allocation opportunities.
  • For products including Carbon EUA the corresponding weights are excluded from the reported values, in order to be conservative.

Average footprint [million MT CO2 per 1B USD allocated]

Name 2017 2018 2019 2020 2021 2022*
AiLA-S003 1.33 1.34 1.36 1.3 0.69 0.65
AiLA-S004 1.77 2.58 2.22 3.09 1.74 0.42
AiLA-S005 0.36 0.38 0.46 0.49 0.38 0.44
AiLA-S006 1.82 1.45 1.28 2.02 2.36 0.23
AiLA-S012 1.05 1.07 1.13 0.8 0.56 0.56
AiLA-S016 0.4 0.48 0.23 0.44 0.68 0.37
AiLA-S019 2.11 2.38 2.02 3.19 2.72 1.55
AiLA-S022 1.37 1.62 1.89 1.92 0.84 0.9
AiLA-S023 0.17 0.23 0.25 0.11 0.06 0.15
AiLA-S030 1.11 1.92 2.22 1.61 1.54 0.58
AiLA-S031 0.44 0.47 0.47 0.14 0.07 0.25
AiLA-S033 1.17 1.09 1.18 1.05 0.9 0.61

*As of 6th June 2022