Strategic asset allocation is the foundation of every investment process. The question three Erasmus researchers are now asking: does the classic framework still hold up in a world of structural transitions?
Annebeth Roor-Wubs, Dirk Schoenmaker and Karen Maas argue in a new paper that transitions — the energy transition, ageing, trade fragmentation, climate change and nature — are not external risk factors to be priced in after the fact. They are structural macroeconomic variables. They work through inflation, interest rates and growth, and hit sectors unevenly.
That has a concrete consequence for SAA. In the classic framework, allocation is set based on macro expectations for growth and interest rates. The authors' proposal: add transitions to that same macro layer, and analyse how they play through at country and sector level. That is where the vulnerabilities sit — and where they are now often missed.
For anyone who treats nature as a financial risk, this is the point that matters. Nature dependency and impact sit in exactly that macro and sector layer where allocation gets decided — not in a separate impact allocation carved out as a few percent alongside the portfolio.
This is academic work, not a supervisory framework. But it points in the same direction the prudential expectation is already moving: from nature and transition as a reporting question to an allocation and risk question. When a professor of banking and finance argues that in the Journal of Portfolio Management, it is no longer a marginal phenomenon.
The question for every CIO and CRO: does transition exposure sit in your macro scenarios and your allocation — or still only in your sustainability reporting?
Source: Roor-Wubs, A., Schoenmaker, D. & Maas, K., ‘Integrating Transitions and Impact Measurement in Strategic Asset Allocation’, Journal of Portfolio Management, 2026. Also published in Dutch as ‘Van relatieve SAA-optimalisatie naar doelgericht beleggen’, Financial Investigator, No. 4, 2026.