The benchmarks of a Sovereign Wealth Fund (SWF) should take into account the economic and political context behind the creation of the SWF and the role the SWF plays as one part of a government's overall policy. The first benchmark of legitimacy ensures that the capital of the SWF is not...

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...

Using data on 1,312 US equity active mutual funds with $3.9 trillion in AUM, we analyze the link between funds' “bottoms up” holdings-based environmental, social, and governance (“ESG”) scores and funds' active returns, style factor loadings, and alphas. We find that funds with high ESG...

Factors - historically broad and persistent sources of return - can be used with simple equity-bond Reference Portfolios to meet the multiple challenges facing official reserve institutions. First, Reference Portfolios can be constructed to reflect the risk appetite of stakeholders, provide...