Myron Scholes and Ashwin Alankar, PhDs, received the Harry M. Markowitz 2022 Special Distinction Award for their research into effective strategies for making portfolios carbon neutral.

The award recognizes the seminal and transcendent impact of Harry’s work as a financial economist and was established to support future research and innovation in practical asset management. Candidates for the annual award are chosen from among papers published in Journal of Investment Management (JOIM) in a calendar year.

Myron holds the position of Chief Investment Strategist at Janus Henderson Investors. He is a Nobel Laureate in Economic Sciences and co-originator of the Black-Scholes options pricing model, for which he was awarded the Nobel Prize in 1997. Ashwin is the Head of Global Asset Allocation at Janus Henderson Investors. The two co-authored the paper “Carbon Emissions and Asset Management” in the JOIM.

The central finding is that asset managers can effectively create a carbon neutral portfolio while optimizing it solely based on risk and return considerations by using carbon credits, and this strategy can be implemented for less than 10 basis points in costs.

This approach was compared to popular methods of screening assets for exclusion based on carbon emissions and activist investing, where asset managers cajole companies into reducing emissions. Both methods were found to be less effective in terms of costs and outcomes, as their success is difficult to measure.

Myron Sholes, Chief Investment Strategist at Janus Henderson Investors, said: “It was an honor to receive an award for a paper that we believe has significant implications for how net zero can be achieved. When asset managers have an alternative to ESG screening and activist investing, we can both influence positive progress toward net zero while seeking the risk-adjusted returns our clients want.”

Ashwin Alankar, Head of Global Asset Allocation at Janus Henderson investors, said: “The conversation about achieving net zero has been too binary in focus so we’re happy to introduce a cost-effective alternative strategy into the industry. We believe a more robust carbon credit market brings balance to punitive measures such as taxation and accelerates innovation while helping ESG-focused investors meet their goals. We appreciate the recognition for our work on this front.”

The authors published in the paper in the July 2022, in Vol. 20, No.4 of the JOIM. The official awards ceremony takes place March 26-28, 2023, at UC San Diego.

Notes to editors

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Candidates for the annual award are chosen from among papers published in JOIM in a calendar year. Final selection consists of Nobel Prize Laureates.

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