RT Journal Article
SR Electronic
T1 Net-Zero Investing for Multi-Asset Portfolios Seeking to Satisfy Paris-Aligned Benchmark Requirements with Climate Alpha Signals
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP jpm.2022.1.334
DO 10.3905/jpm.2022.1.334
A1 Philip Hodges
A1 He Ren
A1 Katharina Schwaiger
A1 Andrew Ang
YR 2021
UL https://pm-research.com/content/early/2022/01/28/jpm.2022.1.334.abstract
AB The authors embed Paris-aligned benchmark (PAB) requirements in an illustrative multi-asset portfolio containing developed and emerging market equities, sovereign bonds, corporate bonds, listed real estate, and commodities. By being PAB compliant, the immediate reduction and ongoing reductions in carbon emissions for each asset class are designed to limit average global temperature increases to 1.5°C, do not disinvest from any sectors, and build in forward-looking data on emissions for issuers for both corporations and governments, with certain exclusions of poor climate performers. In historical data, the authors show comparable performance of the multi-asset PAB portfolio and a balanced multi-asset portfolio without climate considerations. The outperformance is enhanced by alpha signals based on climate-related metrics and non-climate data.