Over the 2010s, the assets of public pension plans generated significantly higher returns than their assumed, or actuarial, rates of return. In a sample of 69 US public plans with a total of $2.1 trillion of assets, the return outperformance of assets over the assumed returns was over 200 basis...

During the 2010s, the assets of public pension plans generated significantly higher returns than their assumed, or actuarial, rates of return. In a sample of sixty-nine U.S. public plans with a total of $2.1 trillion of assets, the return outperformance of assets over the assumed returns was...

Characteristics of companies associated with climate change predict excess equity returns. We show that firms with lower carbon emission intensities—with carbon emissions being a key component of the Paris Accord—have high excess returns. We present evidence that firms with lower carbon...

We construct fixed income portfolios for sovereign bonds and corporate bonds with sustainable insights. The climate methodology for sovereign bonds can be applied as an overlay on any benchmark and tilts towards sovereigns more prepared with the climate transition and away from those which are...

Environmental, Social, and Governance (ESG) signals are an important part of factor-based investing strategies as they can stem from the same economic rationales as general factor premiums. Because factors are broad and diversified, building portfolios by jointly optimizing factor exposures with...

We document significant spreads in style factors — value, size, quality, momentum, and low volatility — in each of the style box categories. This is also true even for the value and small size factors, which are reflected in the original definition of the style box framework. Some single...