In this research insight MSCI Barra explores the mitigation of misaligned risk and alpha factors by modifying the optimisation process. Firstly it reviews how to decompose a set of alphas into two components – one that is related to risk model factors, and one that is not. Then it shows how penalising the residual alpha in portfolio optimisation may improve a portfolio’s exposures and ex-ante information ratio.
Singapore’s two largest asset owners, GIC and Temasek, see attractive opportunities in climate adaptation solutions – a relatively underfunded area compared to decarbonisation. The former has already made selective adaptation investments and said the opportunity set across public and private debt and equity could increase to $9 trillion by 2050.
Alternative private equity vehicles underperform the associated main fund, new research from Harvard's Josh Lerner and MIT's Antoinette Schoar has shown for the first time - but skilled limited partners flip the script.
We all know past performance is not indicative of future results, but a new study finds evidence that US public pensions are basing performance forecasts on their own prior experiences anyway.
A new report from the Principles for Responsible Investment states that investment consultants must put ESG issues at the core of the advice they offer, to build a sustainable finance system.
Focusing Capital on the Long Term has published a paper with 10 things asset owners and managers can do to negotiate deals that align their incentives – and thinking – with longer time horizons.
A new report from the PRI and PwC states that global investors can perform their fiduciary duty and create a boon in market opportunities and jobs by actively pursuing the SDGs.
Investors play an important role in facilitating corporate collaborations to improve sustainability says a leading Harvard academic in sustainability.
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