  Sustainable investing refers to the integration of environmental and social
aspects in investors' decisions. We propose a novel methodology based on the
Triangulated Maximally Filtered Graph and node2vec algorithms to construct an
hedging portfolio for climate risk, represented by various risk factors, among
which the CO2 and the ESG ones. The CO2 factor is strongly correlated
consistently over time with the Utility sector, which is the most carbon
intensive in the S&P 500 index. Conversely, identifying a group of sectors
linked to the ESG factor proves challenging. As a consequence, while it is
possible to obtain an efficient hedging portfolio strategy with our methodology
for the carbon factor, the same cannot be achieved for the ESG one. The ESG
scores appears to be an indicator too broadly defined for market applications.
These results support the idea that bank capital requirements should take into
account carbon risk.
