Introduction Hurricanes, typhoons, droughts, wildfires, and other extreme weather events are causing record damage. Increasingly, climate change is impacting the economy and our daily lives and has come into focus as an existential threat to the world as we know
White paper: The Modern Dilemma Over the past year, the World Economic Forum’s Investors team, in conjunction with Baker McKenzie, interviewed a number of chief executives, IBC Chairpersons and Community of Chairperson (CoC) members, and surveyed legal requirements in a number
As business leaders manage the ever-changing economic, political, and technological landscape they face a significantly magnified exposure to risk and uncertainty. This creates a highly complex portfolio of potential risks that, if managed poorly, can lead to lost opportunities that
Reaffirming the philosophy that underpins our investment process Rosenberg Equities’ core investment belief is that earnings matter. Why? Because we believe that future earnings and fundamentals ultimately drive share prices. We seek to capitalise on this by building what we
Economists often seem to obsess about productivity. The stagnation of growth and incomes is often blamed on poor productivity growth. In particular, the “declining growth of total factor productivity…a measure of innovation” is the subject of much angst and hand
A critical examination of assumptions, outcomes, and glide path specification This paper defines key assumptions, derived from empirical data, to deliver highly accurate and representative simulations of participant outcomes. The paper constructs an alternative glide path design that we believe
Working Paper This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints. It appears that the mathematical problem is more complex than the traditional risk budgeting problem. The formulation of the optimization program
Occasional Paper Series This paper presents a tractable, transparent and broad-based domestic cyclical systemic risk indicator (d-SRI) that captures risks stemming from domestic credit, real estate markets, asset prices, and external imbalances. The d-SRI increases on average several years before
With the increased availability of non-cap-weighted indexes, investors can now make more efficient allocation decisions by more precisely mapping their investment goals and constraints to the strategies used to build their portfolios. This requires a deep understanding of their investment
Our Emerging Markets Debt team has been analyzing ESG indicators for sovereigns for eight years, and started working with Sustainalytics five years ago to build ESG coverage of its corporates universe. During that time, it has continually enhanced its ESG
Summary The concept of “best ideas” is well understood in an investment context, but it is seldom grasped with such clarity in a broader organisational setting. We ask how a process of distillation and refinement might be used in decision-making
The concept of “best ideas” is well understood in an investment context, but it is seldom grasped with such clarity in a broader organisational setting. We ask how a process of distillation and refinement might be used in decision-making and
Interest in ESG investing has grown incontestably in recent years. This study covers the analysis of the risk-return profile of ESG as a selection strategy on global developed markets, and the integration effects of ESG in an index-linked management process.
In this paper we propose a commodity strategy that incorporates cross-sectional factors grounded in the rich research available on commodity futures pricing. Over the period studied, the strategy exhibited an attractive return profile with no significant correlation to general commodity
In this paper we propose a commodity strategy that incorporates cross-sectional factors grounded in the rich research available on commodity futures pricing. Over the period studied, the strategy exhibited an attractive return profile with no significant correlation to general commodity
White Paper Overoptimism and overconfidence are two well-known psychological traits of our species. They are particularly dangerous in the late stages of an economic cycle where these terrible twins result in investors overestimating return and underestimating risk – a potentially
Why does value investing work? Why do other factor strategies work? For that matter, why does any active strategy—meaning, any strategy other than capitalization-weighted indexing—“work” in the sense of having a reasonable chance of beating the cap-weighted index other than
Occasional Paper Series Using a wide range of models we document a protracted fall in the natural (or neutral) rate of interest in advanced economies, driven by ageing, waning productivity growth, a rise in mark-ups, and a surge in risk
As a special initiative of the UN Secretary-General, the United Nations Global Compact is a call to companies everywhere to align their operations and strategies with ten universal principles in the areas of human rights, labour, environment and anti-corruption. Launched
It is an investment made with the intention of generating a positive social and/or environmental impact alongside financial returns. Impact investments exist across a diverse range of asset classes and geographies. Underlying investment candidates should demonstrate a clear “intentionality” within
We study whether the solvency problems of Spain’s weakest banks in the Great Recession have caused employment losses outside the financial sector. Our analysis focuses on the set of banks that were bailed out by the Spanish authorities. Data from
The policy news shock is constructed as the first principle component of the change in five interest rates. The first of these is the change in market expectations of the federal funds rate over the remainder of the month in
This paper is devoted to the question of optimal portfolio construction for equity factor investing. The first part of the paper focusses on how to make sure that a given equity portfolio has the targeted factor exposures, even before imposing
BIS Working papers Demographic shifts, such as population ageing, have been suggested as possible explanations for the past decade’s low inflation. We exploit cross-country variation in a long panel to identify age structure effects in inflation, controlling for standard monetary
Occasional Paper Series The article analyses recent developments in business investment for a large group of EU countries, using a broad set of analytical tools and data sources. We find that the assessment of whether or not investment is currently
