Net-Zero Investing for Multi-Asset Portfolios Seeking to Satisfy Paris-Aligned Benchmark Requirements with Climate Alpha Signals
研究构建符合巴黎协定基准的多资产组合，涵盖股票、债券、房地产和大宗商品，在历史数据中表现与传统组合相当，且加入气候阿尔法信号后收益提升。
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.