Your mutual funds may have a dirty little secret, but someone has just published an exposé.

In fact, according to the first carbon-footprint analysis of over $11 trillion in global funds and ETFs, all 10 of the world’s top asset managers have fund lineups with a higher average carbon footprint than an S&P 500 benchmark.

Oakland, Calif.-based non-profit investor advocacy center As You Sow and Zurich-based sustainability analyst South Pole Group released the data on Thursday showing that the biggest fossil fuel heavyweight among major asset managers is Dimensional Fund Advisors, whose funds have an average carbon footprint that is 161 percent higher than that of the S&P 500.

“Carbon footprint analysis follows the ownership logic,” said Stephen Scofield, director of financial industry solutions, North America, for South Pole Group, in a conference call. “If you as an investor own these companies through a fund, then you also own a percentage of what that company produces in terms of pollution through its operations. … You’re financing the emissions of portfiolio companies in which you may be invested.”

The data was made public Thursday via Fossil Free Funds, a website and digital tool that allows users to search through the data. For the analysis, the firms used data provided by a climate carbon footprint that was measured as approximate tons of carbon dioxide released per each $1 million of investment.

Dimensional’s Social Core Equity fund, DSCLX, which attempts to screen portfolios based on certain social issues, happens to allow a lot of carbon dioxide into its holdings, the analysis said. The portfolio has a carbon footprint 85 percent greater than that of the MSCI All World Index, according to the analysis, with 13 percent of the portfolio made up of companies like Royal Dutch Shell, BP and Suncor.

After Dimensional, SPDR State Street Global Advisors placed second with a carbon footprint 141 percent higher than the S&P 500, BlackRock’s iShares placed third with a carbon footprint 123 percent higher, and Franklin Templeton Investments ranked fourth with a carbon footprint 99 percent higher.

In comments via e-mail, a Dimensional spokesperson noted that DSCLX does not aim to reduce carbon exposure, but instead uses social screens based on investment guidelines by the U.S. Conference of Catholic Bishops.

Dimensional does offer two sustainability equity strategies, according to the spokesperson. The first, the U.S. Sustainability Core 1 Portfolio, has just over three percent of its portfolio exposed to fossil fuel companies, and is recognized by As You Sow for being free of coal-firing utilities and miners. The second, the International Sustainability Core 1 Portfolio,  has a little over 4 percent of its portfolio exposed to fossil fuel companies, and is recognized for being free from the 15 largest coal polluters.
The massive data set includes funds in the U.S., U.K., Germany, France, Denmark and Hong Kong.

Andrew Behar, CEO of As You Sow, said on the conference call that the data reveals that some companies that acknowledge sustainability or climate risk fail to invest accordingly.

For example, BlackRock, despite a recent report on portfolio climate risk, still offers funds that have outsized carbon footprints. The BlackRock Emerging Europe Fund, or BEEP, has a carbon footprint 1,695 percent higher than that of the MSCI All World Index and 1,045 percent higher than the iShares MSCI Emerging Markets ETF.

“BlackRock has made major statements on climate risk, yet they retain funds with very high carbon footprints,” Behar said. “That’s what this is all about, knowing what you own, owning what you own and adjusting your portfolio accordingly.”

The BlackRock Basic Value Fund has more than 21 percent of its holdings flagged as fossil fuel extractors or polluters and represents 373 percent more carbon emissions than the Russell 3000 index.

When asked for comment, a BlackRock spokesperson said that the company acknowledged a greater demand for investment products that consider environmental, social and governance (ESG) factors. Funds like BEEP and MABAX have not had ESG mandates. Rather than divesting entirely from fossil fuel-related companies within its fund lineup, BlackRock offers investors the option to select from a lineup of ESG funds on its platform.

“We believe that investors can no longer ignore climate change,” said the company in a released statement. “We are at the start of a long-term educational journey for both ourselves and the market about carbon risk in portfolios, which is why this year we incorporated ESG and carbon-specific data into our Aladdin risk management platform. We do provide clients with sustainable and low-carbon portfolios through our Impact platform. Those clients have entrusted us with approximately $200 billion.”

Even the State Street S&P 500 Fossil Fuel Free ETF, SPYX, holds 40 fossil fuel companies, according to the analysis, including coal-fired utilities like Southern Company and Duke Energy and companies with reserves like Philips66 and Halliburton.

State Street and Dimensional Funds Advisors did not respond to calls for comment Thursday afternoon.

As You Sow also identifies 58 “socially responsible” funds that have no major fossil fuel producers or consumers within their holdings and low carbon footprints. The list is replete with entries from socially responsible fund families like Calvert, Parnassus and Green Century.

Fossil Free Funds, the free web tool, enables advisors and investors to find out the carbon footprint of their portfolios and investments, reporting what portion of their funds are dedicated to the extraction and consumption of fossil fuels.

Behar says that though there’s a moral question regarding fossil fuel consumption, funds heavily concentrated in carbon-producing companies also carry financial risks.

As regulations become more restrictive and penalties on polluters are made more onerous, many fossil fuel companies risk having their carbon assets stranded. While this might account for losses within 5 percent of the holdings of most plain index funds, other more concentrated strategies risk losses in large portions of their portfolios.

“As governments and policymakers around the world have sent strong signals to the business and financial communities, it’s shifted the spotlight for those communities to take more action,” said Scofield.

Such concerns have led institutional investors like CalPERS to embrace carbon footprint analysis as part of the way they mitigate or avoid the financial risks associated with climate change and policy.

Behar hopes that the data makes that kind of analysis easier on a retail and individual level.

“As demand increases and as investors become more aware of carbon risk from inside of their portfolios, investment vehicles start to shift,” Behar said. “That’s already happening, a lot of major funds are already out of coal and coal companies are going bankrupt. We’re going to see the same thing in oil and gas moving forward as people start to move more money into carbon constrained investment portfolios.”

Fund holdings can be actively screened against various lists of the largest carbon emitters on the planet, like “The Filthy 15,” a list of the largest American coal companies, or The Carbon Underground 200, an index from Fossil Free Indexes that identifies the top 200 publicly traded coal and natural gas companies. Holdings can also be screened against Morningstar’s industry classifications in oil/gas, coal and utilities.

In addition to the screens, the tool also tells investors the approximate total carbon dioxide emitted per $1 million invested within a fund, and allows them to compare that total against various benchmark indexes.

The tool allows end-investors to calculate the carbon footprint of their 401(k) plan holdings. If Fossil Free Funds users find that their 401(k) doesn’t offer low-carbon or carbon-free investment options, the site prompts them to contact their plan provider and sponsor to demand changes within the plan.

“Most companies aren’t offering any fossil free options, and that encourages climate risk,” Behar said. “This really should be evaluated because the choices are so limited in any particular workplace.”