Portfolio Construction and Management
First published:
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Integrating climate risk considerations within portfolios: An investor’s viewpoint
Nasreen Kasenally and Michael Baldinger
Foreword: Preparing for change: Notes from an asset management leader
Preface
Introduction
The evolution of portfolio theory
Factor investing for practitioners
Introduction to alternative risk premium investing
Systematic credit investing
Enhanced risk parity and factor investing: ATP’s surplus investment strategy based on risk allocation to investment factors
Integrating climate risk considerations within portfolios: An investor’s viewpoint
Bridging theory and practice: Setting investment objectives
Bridging theory and practice: Developing an investment strategy and implementing a solution
Optimisation of trading portfolios under regulatory capital constraints
The wealth management perspective
The asset management challenge
Ignorance is bliss: Applying risk management techniques from alternatives to long only investing
The digitalisation of portfolio construction – Part 1
The digitalisation of portfolio construction – Part 2
Sustainable investing (SI) is one of the fastest growing areas in finance. According to the Global Sustainable Investment Alliance (GSIA, 2019), global sustainable investment assets in the five major markets – Europe, the US, Japan, Canada and Australia/New Zealand – grew by 34% in two years. As an investment approach, SI covers many themes and considerations, but latterly the role of environmental factors has risen to the top of the agenda, both within the investment community and beyond.
In this chapter, we will assess the ways in which investors can consider climate change in the context of their portfolios. Our starting point is an assessment of the role of environmental, social and governance (ESG) integration in its broadest context, and the additional insights it offers when evaluating investments. We then explore the specific considerations of environmental factors, particularly climate change.
Given the growing significance of climate as a driver in the investment process, at UBS Asset Management (UBS-AM) we have developed an investor framework called the Climate Aware framework. To explain the approach in practice and explain the significant role of engagement, we
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