The new aluminum compounds 1–3 modified by unsaturated alcohol, Me3−nAl(O(CH2)4OCHCH2)n (n = 1 (1), 2 (2), 3 (3)), are synthesized and investigated by multinuclear (1H, 13C, 27Al) NMR spectroscopy. The compounds 1–3 initiate living ring‐opening polymerization of ε‐caprolactone in bulk at 40–80 °C to afford polyesters with controlled molecular weight (Mn up to 35 000 g mol−1) and relatively narrow molecular weight distribution (Mw/Mn < 1.8). Among initiators studied here, aluminum trialkoxide shows the highest activity, whereas aluminum dialkoxide is a less active. In all cases, the fragment of unsaturated alcohol is transferred to the end of the polymeric chain with high degree of functionality (>85%) yielding macromonomers. These macromonomers are copolymerized with maleic anhydride to give poly(vinyl ether‐co‐maleic anhydride)‐g‐poly(ε‐caprolactone) graft copolymers.