Feria Domínguez, José ManuelRodriguez-Carrillero, DavidGuerra-Martinez, José Carlos2024-01-192024-01-192018-02-01Utilities Policy, Volume 50, 2018, Pages 124-13210.1016/j.jup.2017.12.001https://hdl.handle.net/10433/19428This paper analyzes the historical risk-adjusted performance of CO2 emission allowances traded on SENDECO2 (the reference market for Southern Europe) by using the daily spot prices of the European Union Allowances (EUAs) and Certified Emission Reductions (CERs) from 2008 to 2012. We revisit the Sharpe-ratio, taking into account the modified version proposed by Ferruz and Sarto (1997), to propose a new performance indicator, the Sharpe-VaRFS, estimated by Monte Carlo simulation. Due to the existing imbalances between demand and supply for allowances, both the EUA and CER markets underperform when compared with financial stock markets, being unattractive to potential investors.enAttribution-NonCommercial-NoDerivatives 4.0 Internationalhttp://creativecommons.org/licenses/by-nc-nd/4.0/CO2 allowancesRisk-adjusted performance indicatorsValue at riskSharpe-VaR ratioMonte Carlo simulationSENDECO2journal articlerestricted access