Archiv des Autors: Soehnholz

Über Soehnholz

Geschäftsführer der Soehnholz ESG GmbH. Alles Weitere siehe Xing oder Linked-In.

Custom voting: Researchpost 173

Picture by ArtRose from Pixabay

Custom Voting: 8x new research on child labour, carbon accounting, ESG ratings, ESG flows, voting and green project finance (# shows SSRN full paper downloads as of April 25^th, 2024)

Social and ecological research

Child labour: Issue paper on child labour and climate change by the International Labour Orgnizsation as of November 30^th, 2023: “The paper examines more than 100 articles from the peer-reviewed literature and reports from international organizations, think tanks and non-governmental organizations. The available evidence, though still limited, makes abundantly clear that climate change – and public and private responses to it – is already having profound impacts on child labour … Safeguards, for example, are needed so that public policies promoting the clean energy transition do not create labour market disruptions that leave low-skill workers and their families in a position of greater vulnerability and more reliant on their children’s labour” (p. vi).

ESG investment research (in: Custom Voting)

Creative carbon accounting: Incorporating Carbon Emissions into Decision-Making – The Case of Transactional Connectivity by Bastian Distler, Jürgen Ernstberger, Mario Keiling, Felix Müller, and Mike Szabo as of April 16^th, 2024 (#65): “To incorporate non-financial information into decision-making, non-financial information must be available on the same level of granularity as financial information. A specific use case is transactional carbon accounting, which adds carbon emission information to transactions recorded in a firm’s general ledger. Consequently, general ledger accounts and, thus, the balance sheet and income statement show monetary values and carbon emissions. This strong connectivity between financial and carbon information (1) enables integrated thinking by considering carbon and financial information equally in decision-making, (2) provides more decision-useful information for investors, and (3) increases the reliability of carbon information as auditors can apply the same procedures as for financial information” (abstract). My comment: Interesting that this proposal is supported by practicioners from SAP

ESG divergence: Do ESG Scores Converge Over Time? Empirical Evidence From Listed US Companies by Christian Lohmann, Steffen Möllenhoff and Sebastian Lehner as of April 14^th, 2024 (#12): “The present study shows low correlations between ESG scores of listed US companies from Refinitiv, MSCI, ESG Book, and Moody’s ESG persist during the observation period. There is no observable convergence of ESG scores over time as the correlations are stable or tend to decrease in the analyzed period 2007–2022 … No objective ranking can be derived with regard to the validity and the informative value of the ESG scores from different ESG rating agencies. Likewise, no statement can be made as to which ESG score represents the most valid measure“ (p. 8/9). My comment: It is very important to select the most adequate ESG rating provider

Differentiated ESG performance: Cutting to the chase on ESG by Guillaume Burnichon, Frederic Lepetit, Théo Le Guenedal, Takaya Sekine, Raphaël Semet and Lauren Stagnol from munid as of April 22^nd, 2024 (#190): “Examining the first layer – the surface – of financial performance, ESG, and to a lesser extent, the E, S and G pillars have not been the most important differentiators in terms of financial performance over the studied time window … In particular, we identified a dependence of the Emissions & Energy pillar to commodity price movements. Then, focusing specifically on North America, the remarkable performance of Biodiversity & Pollution and ESG Strategy sub-pillars is a strong indicator that ESG investing has not been halted in North America despite the strong politicization” (p.13).

Normal ESG investors: Are ESG investors more resilient? An examination of ESG fund flows Georgina Yarwood from Vanguard Asset Management as of April 16^th, 2024 (#13): “… we assess whether investors in ESG index funds are more resilient against adverse market conditions than those in non-ESG index funds. Based on a sample of mutual funds and ETFs available for sale in Europe, the US and the UK representing 144,154 fund-week observations, observed over a time period ranging from 2009 to 2022 …” (abstract). … “We find weak evidence in support of our hypothesis that ESG fund investors demonstrate greater resilience, or “stickiness”, during times of market drawdown. Our hypothesis appears to hold only when the sample is comprised of retail mutual funds available for sale in Europe. What’s more, we also do not find conclusive evidence that the resilience of ESG investors is dependent on the extent of market drawdown experienced” (p. 14).

Responsible ESG risks? Responsible Asset Managers by Ke Shen, Xuemin (Sterling) Yan, Shuran Zhang, and Haibei Zhao as of April 16^th, 2024 (#19): “There is no evidence that PRI signatories act more responsibly than their non-PRI counterparts. PRI signatories also exhibit more, not fewer, ESG risk incidents after signing PRI. We find mixed evidence that funds managed by responsible asset managers tend to invest more responsibly. We show that responsible asset managers are less likely to adopt a blanket approach to vote on contentious ESG proposals; however, they are not more likely to vote for ESG proposals. Finally, we show that funds managed by responsible asset managers tend to underperform those managed by irresponsible asset managers“ (p. 32).

Impact investment research (in: Custom Voting)

Custom Voting: Custom Proxy Voting Advice by Edwin Hu, Nadya Malenko, and Jonathon Zytnick as of April 15^th, 2024 (#45): “This paper presents the first empirical analysis of custom proxy voting advice (Sö: With proxy voting shareholders delegate their votes to a third party). We find that customization is widespread and that custom recommendations differ significantly from benchmark recommendations. .. we show that customization serves two purposes. First, it aids shareholders in expressing their preferences, such as those related to ES issues, through voting. Second, it streamlines shareholders’ deliberative process by decreasing the need to pay attention to each individual proposal, enabling shareholders to concentrate their research efforts on the more crucial and contentious matters. … In the first stage, investors work with the proxy advisor to set their custom voting policies, and in the second stage, they decide whether to follow custom recommendations or to conduct additional research. … due to the widespread use of custom recommendations, proxy advisors provide far more than one recommendation on a given proposal“ (p. 30/31). My comment: My approach to impact investing see Impactaktien-Portfolio mit 80% SDG-Vereinbarkeit? – Responsible Investment Research Blog (prof-soehnholz.com) and Shareholder engagement: 21 science based theses and an action plan – (prof-soehnholz.com)

Project greenwashing? Do Voluntary Pledges Make Loans Greener? by Tobias Berg, Robin Döttling, Xander Hut, and Wolf Wagner as of April 16^th, 2024 (#45): “We analyze whether voluntary green pledges result in greener loan origination in the project finance (PF) market. The PF market is of key importance for financing large-scale, climate-relevant projects globally. We can directly classify the environmental impact of expenditures financed through PF loans because projects are single-purpose developments. We exploit a tightening of the Equator Principles (EP) that introduced comprehensive climate risk management requirements to newly originated PF loans. … we find no evidence for a shift from brown to green lending by EP members relative to non-EP members after the tightening”.

………………………………………………………………………………..

Advert for German investors

Sponsor my research by investing in and/or recommending my global small cap mutual fund (SFDR Art. 9). The fund focuses on the Sustainable Development Goals and uses separate E, S and G best-in-universe minimum ratings and broad shareholder engagement with currently 28 of 30 companies: FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T or My fund (prof-soehnholz.com).

ESG variety: Researchpost 172

Picture: „The Hands of Children“ by Frauke Riether from Pixabay

ESG variety: 12x new research on migration, climate politics, ESG (regulation, risk, disclosure, weigthings, ratings), Norwegian ESG, climate data, stewardship, impact measurement, and altruists (#shows the number of SSRN full paper downloads as of April 18^th, 2024).

Social and ecological research

Migration to Germany: Walls, Not Bridges: Germany’s Post-WWII Journey with Refugee Integration by Noah Babel and Jackson Deutch as of Dec. 19^th, 2023 (#15): “Given projections that by 2060, a third of its populace will be over 65, the economic argument for integrating a refugee workforce to counter labor shortages is compelling. However, current administrative measures like language proficiency assessments and residency restrictions inadvertently cast refugees as outsiders, hindering true integration. … Prolonged waits for asylum decisions, often extending for years, coupled with employment limitations, don’t just hamper economic advancement, they socially isolate refugees“ (p. 8).

Brown politics: The Behavioral Economics and Politics of Global Warming – Unsettling Behaviors Elements in Quantitative Finance by Hersh Shefrin as of Dec. 12^th, 2023 (#50): “.. there is evidence that carbon continues to be priced in the range of 6 percent to 10 percent of its social cost …. Psychological biases, especially present bias, lie at the root of my analysis of the big behavioral question. In particular, these biases explain the reluctance to use taxes to price GHGs in line with their respective social costs. This reluctance is an unsettling behavior, and results in abatement being more costly than necessary, plausibly by a factor of five to seven. The cost of reluctance is a behavioral cost, and it is large“ (p. 108).

Good ESG regulation: Cross-border Impact of ESG Disclosure Mandate: Evidence from Foreign Government Procurement Contracts by Yongtae Kim, Chengzhu Sun, Yi Xiang, and Cheng (Colin) Zeng as of April 12^th, 2024 (#30): “We find robust evidence that firms from countries mandating ESG disclosure are more likely to secure foreign governments’ procurement contracts with higher values than counterparts in non-regulated countries” (p. 33).

ESG investment research (in: ESG variety)

Financial ESG risk: Market Risk Premium and ESG Risk by Joey Daewoung, Yong Kyu Gam, Yong Hyuck Kim, Dmitriy Muravyev, and Hojong Shin as of April 12^th, 2024 (#29): “Using a panel dataset consisting of US firms for 2010-2021, we find that the stock market beta is positively related to average returns on the days when investors learn about negative ESG incidents that affect the market as a whole. Specifically, we report that the CAPM-implied market risk premium is, on average, 31.52 bps on ESG days, which is, on average, 32.92 bps higher than the market risk premium on non-ESG days (-1.40 bps). The magnitude of the market risk premium is both statistically and economically significant, and robust across different model specifications. Our findings contribute to the existing literature by showing that the ESG risk is systematic and priced” (p. 16).

ESG weighting issues: Comparing ESG Score Weighting Approaches and Stock Performance Differentiation by Matthias Muck and Thomas Schmidl as of April 12^th, 2024 (#22): “… we compare the performance differences of stocks sorted according to ESG scores that utilize the same categories but have different weightings. … Interestingly, an uninformed, equally weighted score leads to larger performance differences compared to Refinitiv’s data-driven weighted score. … As a robustness check, we consider the Paris Agreement as an exogenous event. … the post-Agreement increase in performance differentiation is likely due to investors’ recognition that sustainability information is indeed relevant for stock pricing” (p. 7). My comment: I use separate (Best-in-Universe) E, S and G Scores for stock selection. Unfortunately, I have seen very few studies suing such separate scores so far.

ESG disclosure differences: The impact of real earning management and environmental, social, and governance transparency on financing costs by Adel Necib, Malek El Weriemmi and Anis Jarboui as of April 10^th, 2024 (#21): “We use a fixed effects panel data analysis to examine 97 firm-year observations of UK firms from 2014 to 2023. According to the research, investors place a lower value on ESG disclosure and increase the price of shares, whilst lenders view it favourably and reduce the cost of debt“ (abstract).

Mind the ESG-downgrade: ESG rating score revisions and stock returns by Rients Galema and Dirk Gerritsen as of March 26^th, 2024 (#470): “Because the main users of ESG ratings typically adopt a low rebalancing frequency, we study the effect of ESG rating revisions on stock returns in a period of up to six months. We consider all ESG rating revisions issued by one of the largest ESG rating providers and we present evidence that both ESG and E rating downgrades are followed by six-month negative buy-and-hold abnormal returns in the magnitude of 2.5% to 3% (annualized). For larger downgrades, this effect becomes even more pronounced: Around 4.5% per year. We find that the effect of the E rating is most robust because we can confirm its significance in a calendar-time portfolio analysis. We conclude from additional analyses (i.e., mid-cycle versus annual revisions; pre-event trends) that these BHARs would not have materialized in the absence of rating revisions, despite the fact that rating revisions rely to a large extent on public information. … changes in a quarterly updated sustainable investment index based on ESG ratings explain part of the effect of E rating changes on abnormal returns. Second, institutional investors adjust their portfolios in response to decreases in E ratings. … we show that return volatility slightly increases following both ESG downgrades and E downgrades, a finding which is congruent with a reduced commitment from long-term institutional investors“ (p. 26/27). My comment: I use E, S and G Ratings downgrades (Best-in-Universe) to divest from stocks, see Divestments: 49 bei 30 Aktien meines Artikel 9 Fonds – Responsible Investment Research Blog (prof-soehnholz.com) or “Engagementreport” here FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T

Norwegian ESG? The ESG commitment of the Norwegian sovereign wealth fund: Is the socially responsible behaviour of companies considered in its investment strategy? by Iván Arribas, Fernando García García, and Javier Oliver Muncharaz as of April 11^th, 2024 (#12): “… only seven of the leading sovereign wealth funds include ESG metrics in their investment process. The group includes the Norwegian GPFG, which is the biggest sovereign wealth fund worldwide in terms of assets under management. … findings suggest that favourable ESG performance of firms does have a positive impact on the probability of inclusion in the investment portfolio of Norway’s sovereign wealth fund. Notably, environmental performance is significant. Moreover, the GPFG’s criteria in relation to greenhouse gas emissions for companies in the electricity sector result in a lower probability of these firms becoming part of the fund’s investment portfolio compared with other industry sectors” (p. 20). My comment: The Norwegian SWF still invest in many companies and therefore has to compromise. Smaller investor can focus much better on demanding sustainability criteria, see 30 stocks, if responsible, are all I need – Responsible Investment Research Blog (prof-soehnholz.com)

Climate data issues: Climate Data in the Investment Process: Challenges, Resources, and Considerations by Andres Vinelli, Deborah Kidd, CFA, and Tyler Gellasch from the CFA Institute as of April 2024: “Before the maturation of accounting standards, financial data were imperfect for many years and are still imperfect for companies in emerging markets, where accounting and financial reporting practices are evolving. As with financial data, climate-related data availability and quality have improved over recent years and will continue to improve. In the meantime, investors should apply the same data interpretation, checks, and management techniques that they apply when working with other sets of estimated or incomplete data—such as validating data by cross-checking with original source data, understanding data provider methodologies (where disclosed), diversifying sources of data where possible, and using qualitative information and judgment as needed to fill in the gaps. … To help improve the current state of climate-related data, investors can participate in standards-setting processes, encourage issuers to voluntarily adopt standards, and advocate for high-quality, globally consistent disclosure regulations” (p. 13).

Impact investment research (in: ESG Variety)

Stewardship dilution? ESG, Sustainability Disclosure, and Institutional Investor Stewardship by Giovanni Strampelli as of April 10th, 2024 (#20): “Several sets of sustainability standards have been adopted internationally. The European Commission recently adopted the CSRD, which places more stringent obligations and expanded the scope of companies, including unlisted ones, required to publish sustainability reports. … While such sustainability-related disclosure requirements may create a “name-and-shame” obligation for companies to take initiatives to improve their ESG performance, it is doubtful that such obligations can promote ESG-related stewardship activities by institutional investors. … the regulatory framework is still fragmented and there are differences between the various sustainability disclosure sets, concerning in particular the notion of materiality, which make it difficult to compare sustainability reports prepared under different standards. For these reasons, institutional investors rely on ESG ratings and indices for the purposes of their investment and stewardship strategies. … the choice of nonactivist institutional investors to focus part of their engagement initiatives on sustainability disclosure, requiring, for example, a higher degree of transparency or the adoption of a certain set of reporting, appears to be dictated by a desire to avoid more incisive initiatives (perceived as more aggressive) aimed directly at encouraging change in the environmental strategies or policies of the companies concerned” (p. 22/23). My comment: My broad and deep stewardship process see Shareholder engagement: 21 science based theses and an action plan – (prof-soehnholz.com) or in “Nachhaltigkeitsinvestmentpolitik” here FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T

Impact measurement: The Evolution of Impact Accounting and Utilization of Logic-Model in Corporate Strategy by Reona Sekino, Toshiyuki Imamura, and Yumiko Miwa as of Dec. 4^th, 2023 (#77): “After discussing the existing methods for impact management, the article focuses on practical issues and investor engagement in impact management by companies. This article also makes recommendations on practical methods based on the current situation and issues. Specifically, this article proposes a method that integrates an Impact-Weighted Accounts framework that can quantify impact in a generalized format and a Logic Model that can visualize the ripple effects of corporate activities and clarify business strategies and value creation stories, thereby making it possible for stakeholders to evaluate impact. In addition, this article makes sample analysis to discuss the usefulness and challenges of the methodology“ (abstract). My comment: This article also includes interesting impact examples, see also Impactaktien-Portfolio mit 80% SDG-Vereinbarkeit? – Responsible Investment Research Blog (prof-soehnholz.com)

Other investment research (in: ESG Variety)

Risk-taking altruists: How Altruism Drives Risk-Taking by Dan Rubin, Diogo Hildebrand, Sankar Sen, and Mateo Lesizza as of Dec. 1^st, 2023 (#51): “Individuals motivated by altruism often put themselves in harm’s way in helping others. … The first explanation, predicated on risk activation, suggests that altruism decreases risk perception by impeding the activation of self-risk information, leading to reduced risk perception and increased risk-taking. Alternatively, the second explanation implies that altruism may increase risk-discounting, whereby the importance of risk is downplayed when deciding whether to help others. Results of three studies … provide strong evidence for the risk-activation account and establish substantive boundaries for this effect“ (abstract).

………………………………………………………………………………..

Advert for German investors

Impactaktien-Portfolio mit 80% SDG-Vereinbarkeit?

Impactaktien: Dauerhaft haben aktive Fonds meist schlechtere Performances als adäquate passive Benchmarks. Outperformanceversprechen sind deshalb wenig glaubhaft. Aber den meisten Untersuchungen zufolge, kann man mit nachhaltigen Aktien eine marktübliche Performance erreichen. Ich versuche deshalb, aus besonders nachhaltigen Aktien ein attraktives Portfolio mit marktüblicher Performance zu machen.

Dafür nutze ich klare Regeln, die vor allem aus Ausschlüssen, hohen Anforderungen an Best-in-Universe Umwelt-, Sozial- und Unternehmensführungs- (E, S und G) Ratings und hohen Vereinbarkeiten mit den nachhaltigen Entwicklungszielen der Vereinten Nationen (SDG) bestehen (vgl. Regeländerungen: Nachhaltig aktiv oder passiv? (prof-soehnholz.com). Die SDG-Vereinbarkeit soll sicherstellen, dass die selektierten Unternehmen eine positive Wirkung auf Umwelt oder Soziales (Impact) haben.

Impactaktien: Klare Regeln und marktübliche Performance

Seit dem Start meiner Firma Ende 2015 nutze und veröffentliche ich klare Regeln für meine Portfolios. Das hier diskutierte globale ESG SDG Portfolio habe ich Ende 2017 eingeführt. Fast alle Regeln beziehen sich auf die Aktienselektion. Für die Portfoliobildung gibt es nur zwei relevante Regeln. Erstens: Direkte Wettbewerber mit dem Hauptsitz im selben Land sind ausgeschlossen, nur für die USA darf aufgrund der Größe des Marktes zwei Wettbewerber zugelassen. Und zweitens: Alle Aktien werden annähernd gleich gewichtet. Andere Portfolioentwickler, z.B. von Indexfonds, und Portfoliomanager nutzen meistens auch Vorgaben vor allem in Bezug auf Mindest- und Maximalgrenzen für Länder- und Branchenallokationen.

Seit dem Start performt mein Portfolio – vereinfacht zusammengefasst – ähnlich wie traditionelle Small- und Midcap-Aktien.

Unternehmens-Impact: 30 Spezialisten im Portfolio

Von den 30 Unternehmen, deren Aktien aktuell in meinem ESG SDG Fondsportfolio sind, haben 11 ihren Hauptsitz in den USA. Das ist weniger als in der Vergangenheit und erheblich weniger als der US-Anteil von Vergleichsindizes. 17 sind Unternehmen aus dem Gesundheitssektor bzw. können dem SDG 3 zugeordnet werden. Das ist viel mehr als bei anderen Small-/Mid-Cap-Portfolios und auch als in den meisten anderen Impactportfolios. Der Gesundheitssektor wird jedoch durch Unternehmen mit sehr unterschiedlichen Schwerpunkten abgedeckt (siehe Grafik). Die Schwerpunkte der einzelnen Unternehmen sind: Gesundheitspersonal, Schutzhandschuhe, Labortechnik, Hörgeräte, Strahlentherapie, Krebsvorsorge, Radiologiesoftware, Grüner Star, Dental, Örthopädie, Gesundheitssoftware (B2B), Medizinische Bildgeneration, Krankenhäuser, Krankenhausservices, Apotheken, biologische Arzneiservices, und Organtransplantationsprodukte.

Acht Unternehmen sind auf Umwelt- und Energiethemen (SDG 6 und 7) fokussiert: Energiemanagement, Windenergieanlagen, Solartechnik, Solarstrom, Wasserversorgungstechnik, Wassermessgeräte, Profi-Waagen.

Weitere fünf Unternehmen können dem Segment öffentlicher Transport bzw. nachhaltige Städte und Infrastruktur (SDG 9 und 11) zugeordnet werden: Schienenfahrzeugteile, Schienenfahrzeuge, Bushersteller, Öffentlicher Transport, Telekommunikation Afrika.

Ungefähr zwei Drittel der Unternehmen haben Marktkapitalisierungen unter 5 Milliarden Euro und sind damit ziemlich niedrig kapitalisiert (Small Caps). Die restlichen Unternehmen sind mittelgroß (Mid Caps). Das ist wenig verwunderlich, denn spezialisierte Unternehmen sind einfacher höchstmöglich SDG-kompatibel und bieten weniger „Ausschluss-Aktivitäten“ an. Größere Unternehmen sind dagegen oft diversifizierter und damit auch in nicht SDG- bzw. Ausschluss-Aktivitäten involviert.

Ich habe nur wenige dieser Unternehmen in anderen Impactfonds gefunden. Das liegt einerseits wohl daran, dass es wenige vergleichbare Fonds gibt, denn viele Impactfonds sind nur auf ökologische Themen oder regional fokussiert. Andererseits sind die Aktienselektionskriterien anderer Impactfonds nennenswert anders als meine (vgl. Globale Small-Caps: Faire Benchmark für meinen Artikel 9 Fonds? – Responsible Investment Research Blog (prof-soehnholz.com)).

Impactaktien: Wieso sind gerade diese Unternehmen im Portfolio?

Als ich das Portfolio 2017 gestartet habe, hatte ich noch keine guten Daten, um Vereinbarkeiten mit den SDG zu prüfen. Deshalb habe ich Unternehmen vor allem aufgrund ihrer Zugehörigkeit zu Marktsegmenten mit einem vermuteten positiven ökologischen oder sozialen Impact ausgesucht, namentlich Gesundheit, erneuerbare und elektrische Energien, Schienen-, Wasser- und Telekommunikationsinfrastruktur, Recycling, Umwelttechnik, Wohn- und Sozialimmobilien, Arbeitsvermittlung sowie Aus- und Fortbildung.

Seit Ende 2023 bietet mein Nachhaltigkeitsdatenanbieter Clarity.ai für die sehr vielen von ihm abgedeckten Unternehmen eine SDG-Umsatzanalyse an. Seitdem nehme ich nur noch Unternehmen neu ins Portfolio auf, deren Umsätze zu mindestens 50% als SDG-vereinbar gelten.

Allerdings habe ich zunächst Unternehmen im Portfolio gelassen, bei denen meine aktivitätsbasierten Einschätzungen von der Umsatzanalyse des Ratinganbieters abwichen. Das betraf vor allem Unternehmen mit Fokus auf Wohn- und Sozialimmobilien sowie Zeitarbeit bzw. Arbeitsvermittlung. Nach einigen intensiven Diskussionen mit dem Ratinganbieter kann ich dessen Argumentationen besser nachvollziehen und habe deshalb inzwischen alle Aktien verkauft, die nach dessen Berechnung nicht mindestens 45% SDG-kompatiblen Umsatz haben. Insgesamt haben meine 30 Portfoliounternehmen aktuell etwa 80% SDG-kompatible und 0% SDG-schädliche Umsätze.

Aktuell prüfe ich, wann ich die individuelle Mindestgrenze weiter hochsetzen kann. Dabei sind 50% bzw. sogar 75% relativ einfach erreichbar und für Ende des Jahres 2024 strebe ich sogar 90% Mindest-SDG-Vereinbarkeit an.

Mein Unternehmens- und Investor-Impact: Ausblick

Ich erwarte, dass es auch künftig bei der Konzentration meines Portfolios auf Gesundheit, Energie/Umwelt und Transport/Infrastruktur bleiben wird. Die Länderallokation wird weiter schwanken, aber die USA gegenüber traditionellen Benchmarks eher unterrepräsentiert sein. Außerdem erwarte ich auch künftig einen klaren Small-Cap-Fokus. Ich bin zuversichtlich, dass Risikokennzahlen wie zwischenzeitliche Verluste und Volatilität trotzdem marktüblich ausfallen werden, denn Gesundheit gilt als defensiver Sektor.

Insgesamt bin ich sehr von den Aktivitäten der Unternehmen angetan, die in meinem Portfolio sind. Diese Unternehmen können das Leben von Menschen wirklich positiv beeinflussen (Unternehmens-Impact). Ich bin froh, dass ich fast mein ganzes Vermögen in Unternehmen aus so attraktiven Marktsegmenten investieren kann.

Allerdings können – trotz meiner hohen Selektionsanforderungen – auch diese Unternehmen noch nachhaltiger werden. Das versuche ich durch meine umfassenden Engagementaktivitäten bei aktuell 27 von 30 Unternehmen voranzubringen (vgl. „Nachhaltigkeitsinvestmentpolitik“ und „Engagementreport“ auf www.futurevest.fund).

Diese Aktivitäten sind vor allem auf Umwelt-, Sozial- und Governanceverbesserungen der Unternehmen und ihrer Stakeholder ausgerichtet. Es kann aber kaum erwartet werden, dass die Produkte oder Services meiner Portfoliounternehmen durch meine Aktivitäten (noch) besser werden.

Ob die Unternehmen bzw. ich als Investor künftig (noch) mehr Impact haben werden, ist zudem nur schwer sinnvoll messbar. Viel mehr als 90% SDG-Vereinbarkeit sind kaum zu erreichen. Mehr Unternehmens-Impact kann nur dann erzielt werden, wenn die Unternehmen wachsen. Mehr Investor-Impact ist theoretisch einfacher. Dafür müssen mehr Portfoliounternehmen mehr von meinen Vorschlägen implementieren. Daran werde ich weiter intensiv arbeiten.

Impactaktien: Disclaimer

Die in dieser Unterlage zur Verfügung gestellten Inhalte dienen lediglich der allgemeinen Information und stellen keine Beratung oder sonstige Empfehlung dar. Die Kapitalanlage ist stets mit Risiken verbunden und kann zum Verlust des eingesetzten Kapitals führen. Vor einer etwaigen Anlageentscheidung sollten Sie eingehend prüfen, ob die Anlage für Ihre individuelle Situation und Ihre persönlichen Ziele geeignet ist. Diese Unterlage enthält ggf. Informationen, die aus öffentlichen Quellen stammen, die die Erstellerin für verlässlich hält. Die dargestellten Inhalte, insbesondere die Darstellung von Strategien sowie deren Chancen und Risiken, können sich im Zeitverlauf ändern. Einschätzungen und Bewertungen reflektieren die Meinung der Erstellerin zum Zeitpunkt der Erstellung und können sich jederzeit ändern. Es ist nicht beabsichtigt, diese Unterlage laufend oder überhaupt zu aktualisieren. Sie stellt nur eine unverbindliche Momentaufnahme dar. Die Unterlage ist ausschließlich zur Information und zum persönlichen Gebrauch bestimmt. Jegliche nicht autorisierte Vervielfältigung und Weiterverbreitung ist untersagt.

Climate shaming: Researchpost 171

Ilustration from Pixabay by Nina Garman

Climate shaming: 11x new research on green technology, sustainable fund labels, sustainable advice, carbon premium, brown profits, green bonds, green growth, green shareholder engagement, climate shaming, optimizations and investment timing (# shows number of SSRN full paper downloads as of April 11^th, 2024)

Ecological and social research

Green technology benefits: Economic Impact of Natural Disasters Under the New Normal of Climate Change: The Role of Green Technologies by Nikos Fatouros as of March 18^th, 2024 (#9):” In our model of the world economy, raising temperatures are expected to negatively affect consumption as well as increase debt. The most frequently proposed possible solution to climate change, is the de-carbonization of production, by using more “green” technologies. Under “green” technology adaptation, countries would be projected to achieve higher levels of consumption and welfare. This positive effect of more environmentally friendly means of production, tends to be stronger for more developed countries. However, under the assumption of greater technological progress of the “green” sector, our results show that even developing countries would be projected to follow the same path of higher and more sustainable levels of consumption and welfare” (p. 10).

ESG investment research (in: Climate Shaming)

Attractive labels: In labels we trust? The influence of sustainability labels in mutual fund flows by Sofia Brito-Ramos, Maria Céu Cortze Nipe, Svetoslav Covachev, and Florinda Silva as of April 2^nd, 2024 (#29): “In Europe, investors can resort to different types of sustainable labels such as GNPO-sponsored labels and ESG ratings from commercial data vendors that assess funds’ sustainability risks. In addition, funds can communicate their sustainability features by including ESG-related designations in the name or self-classifying themselves as article 8 or 9 of the SFDR. … Drawing on a dataset of equity funds sold in Europe … Our initial results document investors‘ preferences for sustainability labels, with GNPO labels (Sö: Government and non-profit organizations) standing out as salient signals. … we find that GNPO labels have an effect on fund flows … Furthermore, this impact is stronger for funds holding other sustainability signals, such as Morningstar top globes, the LCD (Sö: Low Carbon Designation) and an ESG name, suggesting a complementary effect of labels … our results show that the effect of funds being awarded a GNPO label is stronger for the institutional invest segment. The findings show that GNPO labels and SFDR classification are influential for investors’ decisions (p. 23/24). My comment: Maybe I should consider paying for labels for my Article 9 fund. A more detailed comment can be found here Nachhaltigkeitssiegel beim Verkauf von Investmentfonds | CAPinside

(Un-)Sustainable advice? Investing Responsibly: What Drives Preferences for Sustainability and Do Investors Receive Appropriate Investments? by Chris Brooks and Louis Williams as of April 8^th, 2024 (#21): „ While investors with stronger desires for sustainability do hold more highly ESG-rated funds on average, the relationship is weaker than might have been expected. Perhaps surprisingly, a majority of clients for whom responsible investing is very important hold some unrated funds, while those for whom it is unimportant nonetheless hold the highly ESG-rated funds in their portfolios. We therefore conclude that more focus on sustainability preferences is required to ensure that retail investors get the portfolios they want” (abstract). My comment: Advisor should develop detailed sustainability policies at least for larger investors, see e.g. DVFA_PRISC_Policy_for_Responsible_Investment_Scoring.pdf (English version available upon demand)

No carbon premium: Carbon Returns Across the Globe by Shaojun Zhang as of April 5^th, 2024 (#272): ” Emissions are a weighted sum of firm sales scaled by emission factors and grow almost linearly with firm sales. However, emission data are released at significant lags relative to accounting variables, including sales. After accounting for the data release lag, more carbon-intensive firms underperform relative to less carbon-intensive ones in the U.S. in recent years. International evidence on carbon or green premium is largely absent. The carbon premium documented in previous studies stems from forward-looking bias instead of a true risk premium in ex-ante expected returns” (p. 23).

Profitable brown greening? Paying or Being Paid to be Green? by Rupali Vashisht, Hector Calvo-Pardo, and Jose Olmo as of March 31^st, 2024 (#70): “… firms in the S&P 500 index are divided into brown (heavily polluting) and green (less polluting) sectors. In clear contrast with the literature, (i) brown firms pay to be green (i.e.better financial performance translates into higher environmental scores) but green firms appear not to. In addition, (ii) neither brown nor green firms with higher environmental scores perform better financially” (abstract). My comment: If brown and green firms perform the same, why not invest only in green firms?

Resilient green bonds: “My Name Is Bond. Green Bond.” Informational Efficiency of Climate Finance Markets by Marc Gronwald and Sania Wadud as of April 4^th, 2024 (#15): “… the degree of informational inefficiency of the green bond market is generally found to be very similar to that of benchmark bond markets such as treasury bond markets. … the degree of inefficiency of the green bond market during the Covid outbreak in 2020 and the inflation shock in 2022/2023 is lower than that of the treasury bond market“ (abstract).

Green growth: Investing in the green economy 2023 – Entering the next phase of growth by Lily Dai, Lee Clements, Edmund Bourne, and Jaakko Kooroshy from FTSE Russell as of Sep. 19^th, 2023: “After a downturn in 2022 … Green revenues for listed companies are on track to exceed US$5 trillion by 2025 — doubling in size since the conclusion of the Paris Agreement in 2015 — with market capitalisation of the green economy approaching 10% of the equity market. However, to shift the global economy onto a 1.5°C trajectory, green growth would have to further substantially accelerate with green market capitalisation approximating 20% of global equity markets by 2030” (p. 3).

Impact investment research (in: Climate Shaming)

Short-term impact: The Value Impact of Climate and Non-climate Environmental Shareholder Proposals by Henk Berkman, Jonathan Jona, Joshua Lodge, and Joshua Shemesh as of April 3^rd, 2024 (#19): “In this paper, we investigate the value impact of environmental shareholder proposals (ESPs) for a large sample of Russell 3000 firms from 2006 to 2021 … We find that both withdrawn and non-withdrawn climate ESPs have positive CARs (Sö: Cumulative abnormal returns), indicating that management screens value-enhancing climate proposals and rejects value-destroying climate proposals. For non-climate ESPs we find insignificant CARs, suggesting that management does not have an ability to screen non-climate proposals. However, we find that close-call non-climate ESPs that are passed have negative abnormal returns, implying that for non-climate ESPs the original decision by managers not to agree with the activists is supported by the share market” (p. 26).

Climate shaming: Fighting Climate Change Through Shaming by Sharon Yadin as of April 4^th, 2024 (#13): “This Book contends that regulators can and should shame companies into climate-responsible behavior by publicizing information on corporate contribution to climate change. Drawing on theories of regulatory shaming and environmental disclosure, the book introduces a “regulatory climate shaming” framework, which utilizes corporate reputational sensitivities and the willingness of stakeholders to hold firms accountable for their actions in the climate crisis context. The book explores the developing landscape of climate shaming practices employed by governmental regulators in various jurisdictions via rankings, ratings, labeling, company reporting, lists, online databases, and other forms of information-sharing regarding corporate climate performance and compliance” (abstract). My comment: Responsilbe Naming and Climate Shaming are adequate investor impact tools in my opinion (my “climate shaming” activities see Engagement report” here FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T)

Other investment research

(Pseudo-)Optimization? Markowitz Portfolio Construction at Seventy by Stephen Boyd, Kasper Johansson, Ronald Kahn, Philipp Schiele, and Thomas Schmelzer as of Feb. 13^th, 2024 (#50): “More than seventy years ago Harry Markowitz formulated portfolio construction as an optimization problem that trades off expected return and risk, defined as the standard deviation of the portfolio returns. Since then the method has been extended to include many practical constraints and objective terms, such as transaction cost or leverage limits. Despite several criticisms of Markowitz’s method, for example its sensitivity to poor forecasts of the return statistics, it has become the dominant quantitative method for portfolio construction in practice. In this article we describe an extension of Markowitz’s method that addresses many practical effects and gracefully handles the uncertainty inherent in return statistics forecasting” (abstract). My comment: Extensions of Markowitz methods create complexity but still contain many assumptions/forecasts and are far from solving all potential problems. I prefer very simple optimization and forecast-free approaches, see Das-Soehnholz-ESG-und-SDG-Portfoliobuch.pdf (soehnholzesg.com)

Bad timing? Another Look at Timing the Equity Premiums by Wei Dai and Audrey Dong from Dimensional Fund Advisors as of Nov. 2^nd, 2023 (#1642): “We examine strategies that time the market, size, value, and profitability premiums in the US, developed ex US, and emerging markets …. Out of the 720 timing strategies we simulated, the vast majority underperformed relative to staying invested in the long side of the premiums. While 30 strategies delivered promising outperformance at first glance, further analysis shows that their outperformance is very sensitive to specific time periods and parameters for strategy construction”(abstract).

………………………………………………………………………………..

Advert for German investors:

Sponsor my research by investing in and/or recommending my global small cap mutual fund (SFDR Art. 9). The fund focuses on the Sustainable Development Goals and uses separate E, S and G best-in-universe minimum ratings and broad shareholder engagement with currently 27 of 30 companies: FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T or My fund (prof-soehnholz.com).

Greeniums and more: Researchpost #170

Picture from Sergio Cerrato from Pixabay

Greeniums: 15x new research on transition risk, emissions assurance, biodiversity risks, materiality, climate commitments, investment consultants, green innovation, biodiversity premium, sustainable fund flows, brown home bias, greenwashing, retail governance, and private debt performance

Ecological research

Transition or not? How you measure transition risk matters: Comparing and evaluating climate transition risk metrics by Philip Fliegel as of March 28^th, 2024: “We employ a new dataset containing for the first-time reported EU taxonomy alignment of both capex and revenues as a proxy for companies transition risk. … We find a strong divergence in transition risk metrics for similar companies. … We find that only taxonomy and TRBC (Sö: Refinitiv Business Classification) based portfolios are able to measure green firms’ climate transition risk. … notably, emission based green portfolios are highly invested in service, technology and finance, not typical green sectors enabling the transition …” (abstract).

CO2-Negative assurance? On the Importance of Assurance in Carbon Accounting by Florian Berg, Jaime Oliver Huidobro, and Roberto Rigobon as of March 25^th, 2024: “Firms that obtain assurance for their carbon emissions report on average a 9.5% higher carbon intensity than their peers without assurance. When controlling for assurance, we do not find evidence that SBTi target-setters reduce their future emissions. Instead, firms that audit reduce their future carbon intensity by 3.3%. This has implications for portfolio managers and ESG raters as taking disclosed carbon emissions at face value would lead to penalizing firms that are more serious about their carbon reductions …“ (p. 12).

Biodiversity risk details: Study for a methodological framework and assessment of potential financial risks associated with biodiversity loss and ecosystem degradation, Final Report by Maha Cziesielski, Cosima Dekker-Hufler, Timea Pal, Graeme Nicholls, Foivos Petsinaris, Lisa Korteweg (Trinomics) Michael Obersteiner, Nikolay Khabarov for the European Commission as of February 2024: “Biodiversity and nature loss pose multifaceted risk, … Reviewing best-practices and existing frameworks, the study covers the key definitions and steps in determining risk drivers, types, transmission channels, and exposure assessments. An assessment of the EU’s sectoral exposure furthermore reveals that agriculture, real estate and construction, and healthcare sectors as most susceptible” (p. 5).

Scarce materiality? European corporate sustainability reporting – The Financial Materiality Compass as an auxiliary tool by Christina Bannier and Henry Flach as of Feb. 8^th, 2024: “European companies in scope of the new Corporate Sustainability Reporting Directive (CSRD) will have to report on all sustainability topics that are either financially-material or impact-material (or both) to them. Determining materiality in an extensive individual analysis, however, proves to be an expensive undertaking that will encumber resource-constrained and smaller companies in particular. To offer an easily applicable auxiliary tool, we create a comprehensive sector-specific Financial Materiality Compass (FMC) along the lines of the European Sustainability Reporting Standards (ESRS). … We find that for companies in the consumer staples and energy sector nine out of 10 ESRS categories are financially material, but only one, respectively two, of these categories show a strong materiality. For companies in the health care, information technologies and real estate sector, in contrast, we report the lowest number of financially material ESRS categories in total“ (abstract).

Net-zero bullshit? Business as usual: bank climate commitments, lending, and engagement by Parinitha (Pari) Sastry, Emil Verner, David Marques-Ibanez from the European Central Bank as of March 26^th, 2024 (2x): “A prominent initiative is the Net Zero Banking Alliance, which constitutes an agreement to set voluntary net zero targets and decrease financed emissions in targeted sectors over the medium-term (2030) and long-term (2050). This paper is the first attempt to quantify whether banks have met their stated goals using administrative data that allows for a comprehensive examination of net zero lending commitments. We find that climate-aligned lenders reduce lending to targeted sectors, both in absolute terms and relative to other sectors. However, once we compare climate-aligned lenders to other lenders, we find that climate-aligned lenders have not differentially divested from emissions-intensive firms, in mining or in the sectors for which they have set targets. … Further, we do not find evidence for engagement. Firms connected to climate-aligned banks are no more likely to themselves set decarbonization targets“ (p. 36/37).

ESG investment research (in: Greeniums)

Dangerous pension consultants? Loading the DICE against pension funds – Flawed economic thinking on climate has put your pension at risk by Steve Keen for Carbon Tracker as of July 27^th, 2023: “Investment consultants to pension funds have relied upon peer-reviewed economic research to provide advice to pension funds on the damages to pensions that will be caused by global warming. Following the advice of investment consultants, pension funds have informed their members that global warming of 2 – 4.3^oC will have only a minimal impact upon their portfolios. … Economists have claimed, in refereed economics papers, that 6^oC of global warming will reduce future global GDP by less than 10%, compared to what GDP would have been in the complete absence of climate change. In contrast, scientists have claimed, in refereed science papers, that 5^oC of global warming implies damages that are “beyond catastrophic, including existential threats,” while even 1^oC of warming—which we have already passed—could trigger dangerous climate tipping points“ (p. 6).

Variable greeniums: The Monetary Channel of the Green Premium by Xinwei Li as of March 26^th, 2024: „I document .. novel empirical facts about the green premium, which refers to the average return of the Green-Minus-Brown (GMB) portfolio. First, I show that the green premium varies substantially over time, where greenness can be measured ether by Trucost carbon emission intensities or by MSCI environmental scores. The green premium ranges from -53 bps to 76 bps on a monthly basis …. Second, I find that the … green premium is positive and significant during periods of expansionary monetary policy and turns zero or even negative during periods of contractionary monetary policy …“ (p. 26).

True greeniums? In Search of the True Greenium by Marc Eskildsen, Markus Ibert, Theis Ingerslev Jensen, and Lasse Heje Pedersen as of March 1st, 2024: “We find widespread robustness problems with the ESG literature that estimates the greenium based on realized returns combined with a variety of greenness measures. … the true greenium … is negative across countries and asset classes. In equities, the estimated annual greenium is −25 bps per standard deviation increase in the robust green score. This greenium corresponds to a −50 bps expected return spread between the top- and bottom third of firms by greenness. Looking at more extreme differences, the greenium corresponds to a near −100 bps expected return spread between the top- and bottom deciles. Further, the greenium becomes more negative over time and is more negative in greener countries“ (p. 45/46).

Greeniums and innovation: Funding the Fittest? Pricing of Climate Transition Risk in the Corporate Bond Market by Martijn A. Boermans, Maurice J. G. Bun, and Yasmine van der Straten as of Jan. 17^th, 2024: “We focus on the amount of green patents relative to the total amount of patents of a given company, and assess whether the interaction between emission intensity and the green patent ratio affects bond yield spreads. Our empirical results provide evidence that a firm’s carbon emission intensity positively affects the bond yield spread. At the same time we find that investors reward those emission-intensive companies engaging in green innovation. … we assess whether green patenting is associated with a decline in future emission intensity. We document substantial heterogeneity in the effect over time and across industries. … our results suggest that investors should exercise caution when accommodating emission intensive companies with a smaller bond yield spreads once they innovate in the green space. Finally, our results reveal that European investors, and particularly institutional investors, are more inclined to price exposures to climate transition risk …“ (p. 35).

Biodiversity premium? Biodiversity Risk Premium by Helena Naffaa and Gergely Janos Czupya as of March 27^th, 2024: “By analysing almost 3,000 constituents of the MSCI All Country World Index over a decade, spanning from 2013 to 2023 … we observed decreases of 0.9%, 1.5%, and 3.6% in the maximum attainable Sharpe ratio in the universe for low, moderate, and high levels of biodiversity risk mitigation, respectively. … Moreover, there is an additional cost associated with the reduction in portfolio diversification due to the screening process, further diminishing the Sharpe ratio by 1.1%, 2.3%, and 3.5% for the respective risk mitigation levels. Our study also highlights the added benefit of biodiversity alignment on ESG scores, revealing unintended consequences resulting in improvements in the environmental, social and governance pillar metrics, in addition to the incurred reduction in the Sharpe ratio“ (p. 30/31).

Sustainable flows? Sustainability or Performance? Ratings and Fund Managers’ Incentives by Nickolay Gantchev, Mariassunta Giannetti, and Rachel Li as of March 9^th, 2024: “Following the introduction of Morningstar’s sustainability ratings (the “globe” ratings), mutual funds increased their holdings of sustainable stocks to attract flows. Such sustainability-driven trades, however, underperformed, impairing the funds’ overall performance. Consequently, a tradeoff between sustainability and performance emerged. In the new equilibrium, the globe ratings do not affect investor flows and funds no longer trade to improve their globe ratings” (abstract). My comment: If there is similar performance, I would select the more sustainable investment (for the most recent performance of my sustainable portfolios see Q1 Renditen der Soehnholz ESG Portfolios – Responsible Investment Research Blog (prof-soehnholz.com)

Pollution home bias: Carbon Home Bias by Patrick Bolton, Marc Eskildsen, and Marcin Kacperczyk as of Feb. 18^th, 2024: “We undertake a global analysis of institutional investor portfolios and find widespread underweighting of companies with higher carbon emissions. This underweighting is largely driven by underinvestment in foreign companies with high carbon emissions … Similar domestic firms are overweighted but by a smaller magnitude. Further, the divestment of foreign polluters has increased since 2015“ (abstract).

Beyond Greenwashing: Crosswashing in Sustainable Investing: Unveiling Strategic Practices Impacting ESG Scores by Bertrand Kian Hassani and Yacoub Bahini as of March 26^th, 2024: “… cross-washing involves companies strategically investing in sustainable activities to boost Environmental, Social, and Governance (ESG) scores while preserving non-sustainable core operations. The study emphasizes that this specific form of greenwashing is not currently considered in existing ESG assessments, potentially leading to an inflated perception of corporate ethical practices “ (abstract). … “The findings derived from the case study indicate a notable overestimation in current ESG notations. This overestimation, however, is contingent upon the specific industry sectors and the size of the companies involved” (p. 19). My comment: For a detailed comment see Nur ESG-Ratings für Nachhaltigkeitsbeurteilungen? | CAPinside

Retail governance: Corporate Governance Through Social Media by Christina M. Sautter as of March 20^th, 2024: “Retail investors are vigorously and loudly taking positions regarding corporate governance issues on social media. … Retail investors have opened tens of millions of new brokerage accounts since 2020. … These wireless investors are taking advantage of social media platforms like YouTube, Reddit, TikTok, X (formerly Twitter), WhatsApp, Telegram, and Discourse, among other venues to transform corporate governance engagement. … Although structural barriers do impede engagement and reforms to the system are necessary … a case study of one particularly illustrious event involving AMC Entertainment Holdings, Inc. .. show(s) that retail investors are anything but silent” (abstract). My comment: Shareholder engagement is not that difficult, see “Engagementresport” at FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T

Other investment research (in: Greeniums)

Unattractive debt investments? Risk-Adjusting the Returns to Private Debt Funds by Isil Erel, Thomas Flanagan, Michael Weisbach as of March 26^th, 2024: “Private debt funds are the fastest growing segment of the private capital market. … Using both equity and debt benchmarks to measure risk, a typical private debt fund produces an insignificant abnormal return to its investors. However, gross-of-fee abnormal returns are positive, and using only debt benchmarks also leads to positive abnormal returns as funds contain equity risks. The rates at which private debt funds lend appear to be high enough to offset the funds’ fees and risks, but not high enough to exceed both their fees and investors’ risk-adjusted rates of return” (abstract).

……………………………………………………………………………………………………………………………………..

Advert for German investors:

Sponsor my research by investing in and/or recommending my global small cap mutual fund (SFDR Art. 9). The fund focuses on the Sustainable Development Goals and uses separate E, S and G best-in-universe minimum ratings and broad shareholder engagement with currently 28 of 30 companies: FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T or My fund (prof-soehnholz.com).

Q1 Renditen der Soehnholz ESG Portfolios

Q1 Renditen: Passive Multi-Asset Portfolios OK

Q1 Renditen: Das regelbasierte „most passive“ Multi-Asset Weltmarkt ETF-Portfolio hat mit +5,4% im Vergleich zu Multi-Asset ETFs (+5,1%) und aktiven Mischfonds (+4,8%) gut abgeschnitten. Das ebenfalls breit diversifizierte ESG ETF-Portfolio hat mit +4,2% dagegen unterdurchschnittlich rentiert.

Nachhaltige ETF-Portfolios: Anleihen gut, Aktien OK, SDG schwierig

Das ESG ETF-Portfolio ex Bonds lag mit +6,1% erheblich hinter traditionellen Aktien-ETFs (+10,6%) zurück. Die Rendite ist aber ähnlich wie die 7,2% traditioneller aktiv gemanagter globaler Aktienfonds.

Mit -0,3% rentierte das sicherheitsorientierte ESG ETF-Portfolio Bonds (EUR) ähnlich wie aktive Fonds (-0,7%). Das renditeorientierte ESG ETF-Portfolio Bonds hat mit +1,6% ebenfalls etwas besser abgeschnitten als vergleichbare aktiv gemanagte Fonds (+1.3%).

Das aus thematischen Aktien-ETFs bestehende SDG ETF-Portfolio lag mit -0,2% stark hinter traditionellen Aktienanlagen zurück. Besonders thematische Investments mit ökologischem Fokus liefen auch im ersten Quartal 2024 nicht gut.

Q1 Renditen: Direkte ESG SDG Portfolios OK

Das auf Small- und Midcaps fokussierte Global Equities ESG SDG hat mit 1,4% im Vergleich zu Small- und Midcap-Aktienfonds schlecht abgeschnitten. Das ist vor allem auf den hohen Anteil an erneuerbaren Energien zurückzuführen. Das Global Equities ESG SDG Social Portfolio hat mit 3,7% dagegen vergleichbar wie Small- und Midcap-Portfolios abgeschnitten.

Mein FutureVest Equity Sustainable Development Goals R Fonds (Start 2021) hat nach einem guten Quartal 4/2023 im ersten Quartal 2024 eine Rendite von +2,6% erreicht. Das ist durch den Fokus auf Smallcaps und den relativ hohen Anteil an erneuerbaren Energien erklärbar (weitere Informationen wie z.B. auch den aktuellen detaillierten Engagementreport siehe FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T und My fund – Responsible Investment Research Blog (prof-soehnholz.com).

Für die zu Jahresende 2023 voll investierten Trendfolgeportfolios gab es im ersten Quartal keine Signale, so dass sie wie die Portfolios ohne Trendfolge abgeschnitten haben.

Weiterführende Infos:

Regeländerungen: Nachhaltig aktiv oder passiv? – Responsible Investment Research Blog (prof-soehnholz.com)

2023: Passive Allokation und ESG gut, SDG nicht gut – Responsible Investment Research Blog (prof-soehnholz.com)

Glorreiche 7: Sind sie unsozial? – Responsible Investment Research Blog (prof-soehnholz.com)

Anmerkungen: Die Performancedetails siehe www.soehnholzesg.com und zu allen Regeln und Portfolios siehe Das Soehnholz ESG und SDG Portfoliobuch. Benchmarkdaten: Eigene Berechnungen u.a. auf Basis von www.morningstar.de

ESG rumors: Researchpost #169

ESG rumors: 8x new research on carbon offsets, green innovation, sustainable fund outperformance, ESG rumors and their effects on equities and bonds, ESG factors, safe bonds and private equity (# shows SSRN full paper downloads as of March 27^th, 2024)

Ecological and social research

Problematic Offsets: Carbon Offsets: Decarbonization or Transition-Washing? by Sehoon Kim, Tao Li, and Yanbin Wu as of March 23^rd, 2024 (#104): “Carbon offsets allow firms to claim reductions in carbon emissions by purchasing and retiring carbon credits sold by projects or entities that achieve those reductions. … While large firms with net-zero commitments are more likely to use offsets, we find evidence that offsets are often used strategically by firms that are already positioned close to achieving these targets or in industries where it is easier to boost their ESG rankings relative to their peers. When faced by an exogenous shock to their incentives to boost rankings, firms with low emissions in industries with narrow cross-peer emission gaps become more likely to use offsets whereas heavy-emission firms in large-gap industries do not. Moreover, firms that strategically increase the use of offsets do so by retiring credits from low-quality offset projects, which command lower prices and therefore provide a cost-effective way of transition-washing. Overall, our evidence does not support the purported idea that carbon offsets can be effective at facilitating net-zero transitions by heavy-emission firms. … we do not find evidence that these firms would use such “good” offsets in large-enough quantities to meaningfully reduce their net emissions“ (p. 29/30). My comment: I do not consider/use offsets for my investments.

ESG investment research (ESG rumors)

Green innovation variations: Doing Good by Being Smart: Green Innovation and Firms’ Financial and Environmental Performance by Qiang Cheng, An-Ping Lin, and Mengjie Yang as of March 22^nd, 2024 (#25): “We find that firms with more valuable pollution prevention patents have better future financial and environmental performance, whereas the value of firms’ pollution control patents is not associated with their future financial or environmental performance. We further document that pollution prevention innovation improves financial performance through its positive effects on sales growth and cost efficiency …“ (p. 29/30).

2023 ESG outperformance: Sustainable Reality – Sustainable Funds Show Continued Outperformance and Positive Flows in 2023 Despite a Slower Second Half by Morgan Stanley Institute for Sustainable Investing as of Feb. 29^th, 2024: “Sustainable funds outperformed their traditional peers in 2023 with a median return of 12.6% compared to traditional funds’ 8.6%, according to Morningstar data. … Sustainable fund assets under management (AUM) globally grew to $3.4 trillion, up 15% from 2022 and reaching 7.2% of total AUM. Inflows to sustainable funds remained positive overall at $136 billion, 4.7% of the prior year-end AUM. … Equity funds with a global, Europe or APAC investment focus skew primarily to Industrials and Health Care, while funds investing in the Americas are more overweight Technology. Greater exposure to Technology stocks helped sustainable equity funds investing in the Americas in 2023, but this was not the only factor influencing sustainable funds’ outperformance” (p. 1). … “If a hypothetical fund achieved the median return for each of the past five years, a sustainable fund would be up +35% compared with a traditional fund’s +25%” (p. 6). … “Europe-domiciled Sustainable Funds Outperformed Traditional Funds, With Article 8 and Article 9 Funds in a Similar Range” (p. 18). My comment: I have a similar experience, see 2023: Passive Allokation und ESG gut, SDG nicht gut – Responsible Investment Research Blog (prof-soehnholz.com)

ESG rumors (1): Attention-Grabbing ESG: Do Investors Extract Value-relevant ESG Information from Social Media? by Yoshitaka Tanaka and Shunsuke Managi as of March 23^rd, 2024 (#9): “Initially, we find that unconditional excess stock returns exhibit a positive correlation with positive and attention-grabbing ESG events and a negative correlation with negative ESG events. Our findings also indicate that events with low financial materiality, despite their high social prominence, do not have a lasting effect on stock returns. … we find that the greater is the information asymmetry regarding ESG information, the greater is the stock return response. On the other hand, when we control for firm attributes, we find no correlation between materiality and stock returns. The regression results suggest that the response of stock returns to ESG events may be attributed to market inefficiencies arising from information asymmetries rather than fundamental factors“ (p. 20). My comment: I ,like that my ESG ratings provider incorporates ESG controversies in its frequently updated ESG ratings

ESG rumors (2): From News to Numbers: Quantifying the Impact of ESG Controversies on Corporate Bond Spreads by Doina C. Chichernea, J. Christopher Hughen, and Alex Petkevich as of March 23^rd, 2024 (#7): “… we document that bondholders demand a higher credit spread for bonds issued by firms with higher ESG controversies. The adverse effect of ESG controversies on bond pricing is long-lived and is primarily observed in bond issues with higher credit risk and more pronounced information asymmetry. We also document that current ESG controversies significantly predict an increase in the firm’s future asymmetric information and default risk …” (abstract).

No ESG factor? Are ESG Factors Truly Unique? by Svetoslav Covachev, Jocelyn Martel, and Sofia Brito-Ramos as of March 21^st, 2024 (#71): “This paper studies the relationships between carbon and ESG risk factors and commonly accepted equity risk factors. … the carbon and ESG risk factors can be replicated as linear combinations of risk factors that are based on stock characteristics that are not directly related to environmental and ESG policies. We note that the main inputs for building the carbon and ESG factors are ESG ratings, which have a documented link with firm size. Bigger firms tend to have greater resources for gathering and disclosing ESG information. We also examine the risk exposures of popular ESG indexes, which provide a convenient means to invest in ESG-focused companies. Our findings indicate that the indexes examined are all exposed to the market and size factors, but they are also well-explained by the long leg of the ESG factor” (p. 15). My comment: Sustainable investments should not be expected to have higher returns but rather lower (ESG and thus overall) risks than comparable other investments.

Other investment research (ESG rumors)

Flights to bonds: Global or Regional Safe Assets: Evidence from Bond Substitution Patterns by Tsvetelina Nenova as of March 25^th, 2024 (#5): “This paper provides novel empirical evidence on portfolio rebalancing in international bond markets through the prism of investors’ demand for bonds. … Safe assets such as US Treasuries or German Bunds face especially inelastic demand from investment funds compared to riskier bonds. But spillovers from these safe assets to global bond markets are strikingly different. Funds substitute US Treasuries with global bonds, including risky corporate and emerging market bonds, whereas German Bunds are primarily substitutable within a narrow set of euro area safe government bonds. Substitutability deteriorates in times of stress, impairing the transmission of monetary policy“ (abstract).

Private equity dissected: The economics of private equity: A critical review by Alexander Ljungqvist as of Feb. 15^th, 2024: “… I have aimed to critically synthesize the main insights of more than 90 academic studies of private equity … to draw the following conclusions. Private equity funds have, on average, historically outperformed public-market indices after fees, but maybe not when adjusted for risk, leverage, and illiquidity. … Private equity funds generate returns for their investors through a combination of the value they add to their portfolio companies and their ability to target companies whose performance is about to take off anyway. Whether private equity creates social value for the economy at large is an open question. … Private equity is a demanding asset class in which more sophisticated investors can expect to earn better returns than less sophisticated investors. There is scope for ample misalignment of interests between fund managers and investors. Private equity is an innovative asset class, creating new practices and solutions at a fast pace. Recent examples include subscription lines, GP-led secondaries, and NAV financing“ (p. 42/43).

……………………………………………………………………………………………………………………………………..

Advert for German investors:

Sponsor my research by investing in and/or recommending my global small cap mutual fund (SFDR Art. 9). The fund focuses on the Sustainable Development Goals and uses separate E, S and G best-in-universe minimum ratings and broad shareholder engagement with currently 28 of 30 companies: FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T or My fund (prof-soehnholz.com).

SDG performance: Researchpost #168

SDG Performance: 14x new research on CEO pay, greenwashing, greenium, ESG risk, regulation, audits, ungreen ETFs, SDG scores and performance, voting, circular risk, non-normality and mutual funds (# shows SSRN full paper downloads as of March 21^st, 2024)

ESG research

Being CEO pays: The State Of Corporate Sustainability Disclosure 2023 by Magali Delmas, Kelly Clark, Jiaxin Li, and Tyson Timmer as of March 14^th, 2024 (#28): “… we analyze the most commonly disclosed corporate sustainability metrics among S&P 500 firms, based on data from the Open for Good initiative. Our focus is on greenhouse gas emissions (GHG), climate strategy, gender and ethnic diversity, and the ratio of CEO-to-median-employee compensation … Across all (Sö: ESG) metrics, the average disclosure rate is fairly low at 55% … reporting for Scope 1 and 2 GHG emissions is notably high, with average rates exceeding 80%. Conversely, the disclosure rate for Scope 3 emissions drops to 56% … the lack of detailed information on the assumptions and methodologies that these disclosures employ constrain this data’s usefulness … . On average, women comprise only 39% of employees in S&P 500 firms, with Financials and Health Care the sectoral exceptions, reporting averages of 50% and 51% women, respectively. At the board of directors’ level, the representation of women is lower, averaging 32%, with minimal sectoral variation … that average CEO compensation is 305 times greater than that of the median employee … However, this can vary significantly from year to year within each company …” (p. 4). My comment: With my shareholder engagement activities I encourage companies to report the CEO pay ratio so that all stakeholders can comment on them, see e.g. Wrong ESG bonus math? Content-Post #188 (prof-soehnholz.com)

Scope 3 reporting effects: Real Effects of the Proposed SEC Climate Disclosure Rule by Mary Ellen Carter, Lian Fen Lee, and Enshuai Yu as of March 15^th, 2024 (#117): “We examine changes in firm supply chain decisions following the SEC’s proposed climate disclosure rule, which requires Scope 3 emissions disclosure. … we compare the import activity of treated firms (non-SRCs: Sö. Small reporting companies) to unaffected firms (SRCs) before and after the threat of Scope 3 disclosure in the proposed SEC rule was revealed. We find a decrease in import activity for non-SRCs relative to SRCs, implying that the proposed disclosure rule creates costs that make foreign outsourcing less favorable. … we provide evidence that non-SRCs also increase their in-house production, and exhibit greater improvements in environmental efforts, compared to SRCs“ (p. 30/31).

Greenwashing risks: A Greenwashing Index by Elise Gourier Hélène Mathurin as of Feb. 18^th, 2024 (#314): “We construct a news-implied index of greenwashing. Our index reveals that greenwashing has become particularly prominent in the past five years. Its increase was driven by skepticism towards the financial sector, specifically ESG funds, ESG ratings and green bonds. … Unexpected increases in the greenwashing index are followed by decreases of flows into funds advertised as sustainable, both for retail and institutional investors. … When accounting for greenwashing, the climate risk premium becomes small and statistically insignificant” (abstract). My comment: With my shareholder engagement activities I encourage companies to report broadly defined GHG Scope 3 emissions so that all stakeholders can focus on them

ETF-Greenwashing? Unmasking Greenwashing: A call to clean up passive funds by Lara Cuvelier at al. from Reclaim Finance as of March 20^th, 2024: “… the five big asset managers we selected for this report based on the size of their passive portfolios – BlackRock, Amundi, UBS AM, DWS and Legal & General Investment Management (LGIM) – still held at least US$227 billion in fossil fuel developers in 2023, with more than half of this amount coming from passive portfolios. … 70% of the 430 ‘sustainable’ passive funds we analyzed were exposed to fossil fuel expansion. Focusing our analysis on the most significant of these – 25 high-profile ‘sustainable’ passive funds – we found the majority were investing in some of the world’s biggest fossil fuel developers, such as ExxonMobil and Shell. The analysis also shows that especially when these funds are invested in bonds, they provide direct financing for fossil fuel developers“ (p. 4). My comment: This result is not surprising. The reason is that these products are supposed to have very little deviation (tracking error/difference/active share) from standard indices. Therefore, they use best-in-class approaches instead of the far more sustainable best-in-universe sustainability selection approach.

Grey definitions? Greenness confusion and the greenium by Luca De Angelis and Irene Monasterolo as of Feb. 19^th, 2024 (#241): “We use different classifications of green assets and carbon stranded assets and develop six portfolios characterized by shades of green and brown technologies, from the VeryGreen to the VeryDarkBrown, and green-minus-brown factors. Then we analyse the market pricing of the factors in augmented CAPM and Fama-French models, focusing on the firms listed in the STOXX Europe 600 index. … we find that the presence of the greenium, i.e. significant abnormal returns, depends on the classification of green and non-green used. Our results show the presence of greenium for ESG-based portfolios, in particular for the LowESG and LowE portfolios. However, the greenium disappears when we test for the science-based classifications i.e. the CPRS (for carbon stranded assets) and the EU Taxonomy (for green assets) …“ (p. 24).

Risk reducing ESG: Investing During Calm and Crisis: Implied Expected Returns by Henk Berkman and Mihir Tirodkar as of March 15^th, 2024 (#59): “… we use a novel and forward-looking measure of expected returns derived from contemporaneous stock option prices. Our main finding is that stocks with higher ESG scores have lower expected returns, however this is only observed during the Global Financial Crisis and the COVID-19 pandemic. We also find that the ESG risk premium term structure is positively related to ESG scores during crises, indicating that investors expect a reversion to normality within a year. .. we provide partial support for the theoretical prediction that ESG investing lowers expected returns. … our paper suggests that ESG investing may not be a source of systematically superior returns, but rather a way of expressing ethical preferences and temporarily reducing risk during unexpected crises …“ (p. 36).

Wenig Umweltwissen? Kooperation zwischen Aufsichtsrat, Wirtschaftsprüfer und Interner Revision – Empirische Befunde zum Einfluss von CSRD und CSDDD von Patrick Velte und Christoph Wehrhahn vom 15.3.2024: „Der Zusammenarbeit zwischen Aufsichtsrat, Wirtschaftsprüfer und Interner Revision kommt insbesondere vor dem Hintergrund aktueller EU-Nachhaltigkeitsregulierungen (CSRD und CSDDD) eine besondere Bedeutung zu. Eine intensivere Zusammenarbeit könnte u.a. in der Koordinierung von Revisions- bzw. Prüfungsschwerpunkten bei der (gemeinsamen) Überwachung der Nachhaltigkeitsberichterstattung nach der CSRD und der CSDDD bestehen. Hierfür ist eine signifikante Verbesserung der umwelt- und sozialbezogenen Kompetenzen und Ressourcen notwendig“ (p. 36).

Supplier audits: Selection, Payment, and Information Assessment in Social Audits: A Behavioral Experiment by Gabriel Pensamiento and León Valdés as of March 20^th, 2024 (#9): “Companies often rely on third-party social audits to assess suppliers’ social responsibility (SR) practices. … We find that auditors who are paid and chosen by the supplier are more lenient, and the effect is more pronounced when the information observed suggests poor SR practices. … auditors who are merely paid by the supplier do not make more lenient decisions …. Our results … show that removing a supplier’s ability to choose its own auditor is critical to increase the detection of poor SR practices, particularly when the risk of bad practices is high” (abstract). My comment: With my shareholder engagement activities, I encourage companies to broadly evaluate all supplier according to ESG criteria, see Supplier engagement – Opinion post #211 (prof-soehnholz.com)

Impact investing research (in: SDG performance)

Benchmark-hugging: Optimizing Sustainable Performance: A Strategic Approach to Value Creation and Impactful Investing by Heiko Bailer as of Feb. 29^th, 2024 (#51): “Backtests against the historic MSCI World benchmark from September 2019 to November 2023 … showed that stringent universe exclusions negatively impacted performance, increased portfolio size without lowering active risk though also reduced emissions and improved the overall Sustainable Development Goals (SDG) scores“ (abstract). “The amplification of regulatory constraints, coupled with an expanding array of universe exclusions, forms an unfavorable concoction restraining the potential for significant „Value Creation“ in sustainable investing. This circumstance results in a low sustainability threshold, shifting sustainable portfolio construction toward a predominantly “Value Alignment” strategy, albeit at substantial cost of traditional performance. …” (p. 21). My comment: For a detailed analysis see Nachhaltigkeit oder Performance? | CAPinside

Diverging SDG performance: The Costs of Being Sustainable by Emanuele Chini, Roman Kraussl, and Denitsa Stefanova as of Feb. 18^th, 2024 (#24): “We define a new bottom-up measure of fund sustainability that links this concept to the alignment of the fund with the SDGs. Importantly, we disaggregate this measure in four components representative of different dimensions of sustainability: economy & infrastructure, environment, basic needs, and social progress. … funds with a positive impact on the economy & infrastructure and social progress SDGs are associated with higher returns whereas funds with a positive impact on environment and basic needs have lower returns. Second, institutional investors seem to infer this sustainability—returns relationship and show a preference for sustainability dimensions that are positively correlated with abnormal returns” (p. 24/25). My comment: As expected, different investment foci result in different performances. I doubt that good financial return prognostics (for different SDG-goals) are feasible. That speaks for SDG-goal diversification (which I sue in my mutual fund, see https://futurevest.fund/).

Homely shareholder voting: Home bias in shareholder voting by Xuan Li as of Nov. 10thm 2023 (#71): “Using a global data set from 2012 to 2022, I provide robust evidence that there is a significant home bias in shareholder voting. … An systematic review of investors’ voting polices suggests that investors actively seek out more information about domestic firms during the voting process in order to gain an information advantage in their home countries“ (p. 17).

Circular risk reduction: One, no one and one hundred thousand: how many firm risks are affected by the circular economy by Evita Allodi and Maria Gaia Soana as of March 20^th, 2024 (#4): “We use a sample of 1,069 listed European non-financial companies over the period 2010-2022. We find that circular economy practices, implemented together, significantly decrease downside, idiosyncratic, and default risks. However, considering the three dimensions individually, only reduction and reusing mitigate these risks, while recycling does not“ (abstract).

Other investment research (in: SDG performance)

Normal non-normality: Diverging from the Norm: An Examination of Non-Normality and its Measurement in Asset Returns by Grant Holtes as of Feb. 17^th, 2024 (#18): “This paper examines the normality of US equities and fixed income asset-class returns over 104 years” (abstract). “Returns are measurably non-normal … Returns are more normal at longer holding periods … The impacts section demonstrates that a normal assumption does not have a large impact on central estimates, but can have a large impact on estimates of low-probability events such as CVAR calculations …” (p. 10).

Crisis-delegation: Household portfolios and financial literacy: The flight to delegation by Sarah Brown, Alexandros Kontonikas, Alberto Montagnoli, Harry Pickard, and Karl Taylor as of Feb. 21^st, 2024 (13x): “We analyse data on European household financial portfolios over the period 2004-2017, to explore how households change their asset allocations following the recent twin financial crises. … Our estimates show that the post-crisis period is associated with changes in European household asset allocation behaviour. Specifically, there are elevated holdings of safe assets and lower holdings of stocks and bonds, in line with the argument for cautiousness. At the same time, though, our findings reveal higher holdings of mutual funds in the post-crisis period. … This is consistent in line with a “flight to delegation”, that is, the utilisation of the perceived expertise of mutual funds managers. … the most literate households tend to hold significantly more mutual funds. … The findings for females implies a gender gap in financial literacy when investing in mutual funds which worsens following economic turmoil” (p. 14/15).

……………………………………………………………………………………………………………………………………..

Advert for German investors:

Regeländerungen: Nachhaltig aktiv oder passiv?

Regeländerungen: Viele Untersuchungen zeigen, dass aktiv gemanagte Portfolios typischerweise schlechter rentieren als passive (z.B. ETFs). Bei der Gründung meines Unternehmens im Jahr 2016 wollte ich deshalb nur ETFs nutzen. Allerdings habe ich weder 2016 noch heute genug ETFs gefunden, die mir persönlich nachhaltig genug sind. Deswegen habe ich besonders nachhaltige Aktien-Modellportfolios entwickelt und biete inzwischen auch einen darauf aufbauenden Investmentfonds an. Die Portfolios und der Fonds sind regelbasiert, aber nicht passiv.

Man kann jede Regel diskutieren. Vor allem mein Postulat, dass ich Regeln verändern können möchte, wird manchmal kritisch hinterfragt. In diesem Beitrag erkläre ich, warum und wie ich meine Regeln seit dem Start meiner ersten Environmental-, Social-, Governance- (ESG) und Sustainable Development Goal (SDG) Portfolios verändert habe (detaillierte Dokumentationen dazu siehe Das Soehnholz ESG und SDG Portfoliobuch und ältere Versionen im Archiv – Soehnholz ESG).

Transparent- oder intransparent regelbasiert?

Ich bin schon lange ein Fan regelbasierter Investments (vgl. z.B. Investmentfondsselektion: Regeltransparenz nach Vorne (prof-soehnholz.com)). Anders als bei diskretionär aktiv gemanagten Portfolios kann man anhand von Regeln viel besser verstehen, wie sich Portfolios verhalten. Dafür müssen die Regeln und – für die Nachvollziehbarkeit auch die Informationen, die den Regeln zugrunde liegen -transparent und einfach zugänglich sein. Eine Regel kann beispielsweise lauten, dass eine Aktie bei einem schlechten unternehmensinternen ESG-Rating verkauft werden muss. Für Unternehmensexterne ist das wenig transparent.

Ähnliches gilt für die Nutzung von Prognosen, die sich oft schon bei kleinen Inputänderungen stark verändern können und die meistens von Externen nur schwer nachvollziehbar sind.

Wenn die Regel aber lautet, dass immer die 30 Aktien von den Unternehmen mit der monatlich gemessenen höchsten Marktkapitalisierung im Portfolio sind, dann ist das ziemlich transparent.

Weder aktiv noch passiv?

Zwischen aktiv und passiv gibt es viele Zwischenformen. So sind aktiv gemanagte Fonds, die sich eng an Indizes orientieren, in Bezug auf ihre Portfolios oft kaum von passiven Indextrackern zu unterscheiden. Und manche quantitativ orientierten aktiven Investmentmanager vermarkten sich als regelbasiert. Deren Regeln werden aber meistens nicht transparent offengelegt. Vielfach sind auch die für die Regeln genutzten Daten nicht einfach durch Externe prüfbar (Blackboxes).

Selbst wenn Regeln offengelegt werden, sind sie oft sehr komplex und wenig robust, wie das bei vielen sogenannten Optimierungsmodellen der Fall ist (vgl. z.B. Kann institutionelles Investment Consulting digitalisiert werden? Beispiele (prof-soehnholz.com).

3 mögliche Investmentphilosophien

Eine Investmentphilosophie definiere ich als ein umfassendes und kohärentes System von Investmentüberzeugungen (vgl. Investmentphilosophie: Prognosefans sollten prognosefreie Portfolios nutzen (prof-soehnholz.com). Dabei unterscheide ich drei Arten von Investmentphilosophien: Diskretionäre, regelbasiert-prognosebasierte und regelbasiert-prognosefreie.

Die meisten Investoren verfolgen diskretionäre Investmentphilosophien. Für die Umsetzungen nutzen sie aktive Fonds aber auch ETFs. Manche konsequenten „Quant“-Anleger können der regelbasiert-prognosebasierten Kategorie zugeordnet werden. Die regelbasiert-prognosefreie Philosophie-Variante ist sehr selten.

Meine regelbasiert-prognosefreie ganzheitliche (Multi-Asset) Investmentphilosophie ist dieser dritten Kategorie zuzuordnen. Ich nenne sie RETRO-Philosophie. RETRO steht dabei für regel- und evidenzbasiert, transparent, robust und optimierungsfrei (Details siehe 240110-Das-Soehnholz-ESG-und-SDG-Portfoliobuch.pdf (soehnholzesg.com)).

Meine Regelbestandteile: Nur nachhaltig, nicht finanziell

Wissenschaftliches Research zum Beispiel zu aktiven und Faktorinvestments zeigt, dass es keine klaren dauerhaften Outperformancefaktoren gibt. Aber ich kann umso anspruchsvollere Nachhaltigkeitsregeln nutzen, je weniger nicht-nachhaltige (traditionelle) Kriterien ich für die Wertpapier-Selektion nutze. Deshalb verwende ich keine klassischen finanziellen sondern (fast) nur Nachhaltigkeits-Selektionskriterien (weitere Details siehe 240110-Das-Soehnholz-ESG-und-SDG-Portfoliobuch.pdf (soehnholzesg.com)).

Meine Aktienselektionsregeln für ESG-Portfolios habe ich 2016 entwickelt und 2017 für ein „Impact“-Portfolio um SDG-Regeln ergänzt.

Statische oder dynamische Regeln?

Meine RETRO- und „so nachhaltig wie möglich“ Investmentphilosophie ist seit Jahren grundsätzlich unverändert. Weil sich die (Investment-)Welt aber ständig verändert und immer wieder neue (Nachhaltigkeits-)Informationen zur Verfügung stehen, bin ich skeptisch in Bezug auf völlig starre Umsetzungsregeln. Ich möchte die Möglichkeit haben, Regeln zu verändern.

Auch Regeln von einigen Indizes, wie dem DAX, werden von Zeit zu Zeit angepasst. Dafür gibt es Gremien, die – oft diskretionär – Regeländerungen bestimmen.

Statt Änderungen von Regeln von Bestandsprodukten können auch neue statisch-regelbasierte Produkte angeboten, wenn die alten Regeln nicht mehr adäquat erscheinen. Die Tatsache, dass es mehr als 3 Millionen Investmentindizes gibt (vgl. Home – Index Industry Association), deutet darauf hin, dass das sogar oft der Fall ist.

Für meine Investmentphilosophie ist ein strukturierter (regelbasierter) kontinuierlicher (Regel-) Verbesserungsprozess (KVP) am sinnvollsten.

Meine Regeländerungen von 2017 bis 2024

Bei regelbasierten Portfolios können schon kleine Änderungen zu relativ großen Portfolioveränderungen führen (vgl. Divestments: 49 bei 30 Aktien meines Artikel 9 Fonds – Responsible Investment Research Blog (prof-soehnholz.com)). Um die Zahl von Transaktionen bzw. Kosten zu begrenzen versuche ich, meine Regeln nur graduell zu ändern.

Die Tabelle zeigt meine Selektionsregeln in den Zeilen 1 bis 7. In Zeile 8 ist meine einfache Allokationsregel aufgeführt und die letzten beiden Zeilen beinhalten meine Änderungsregeln (KVP).

Regeländerungen: Wenige Änderungsgründe

Im Rückblick habe ich vor allem deshalb Regeln geändert, weil immer mehr und bessere Nachhaltigkeitsdaten zur Verfügung standen. So habe ich meine Datenanbieter schon bei meiner ersten Auswahl im Jahr 2012 wegen eines möglichst guten Datenangebotes ausgesucht. In der Zeit vom Start meines Unternehmens im Jahr 2016 bis heute habe ich den Datenanbieter einmal gewechselt. Die Hauptgründe für den Wechsel waren mehr abgedeckte Aktien, also auch Small Caps, monatliche statt jährliche Datenaktualisierungen und die Möglichkeit der Nutzung von Best-in-Universe ESG-Ratings. Hinzu kamen im Laufe der Jahre zusätzliche Datenangebote des jeweiligen Anbieters, was vor allem für die SDG-Vereinbarkeit zu Regeländerungen geführt hat. Ein weiterer Grund für meine Regeländerungen waren (Prozess-)Vereinfachungen.

Für den von mir konzipierten und beratenen Investmentfonds wurden einige wenige zusätzliche Regelergänzungen vorgenommen, um schneller auf schlechtere Nachhaltigkeitsdaten reagieren zu können und um unterjährige Kapitalflüsse möglichst effizient managen zu können.

Resultat bisher: Marktübliche Performance und Small-Cap Fokus

Wenn man wie ich mit den nachhaltigsten Aktien startet, reduziert Diversifikation die durchschnittliche Nachhaltigkeit (vgl. 30 stocks, if responsible, are all I need (prof-soehnholz.com)). Mein bewusst nur 30 Aktien umfassendes (Fonds-)Portfolio enthält deshalb nur Aktien aus wenigen Ländern (aktuell 12) und Marktsegmenten (vor allem Gesundheit, Industrie und erneuerbare Energien). Weil kleine Unternehmen einfacher SDG-vereinbar sein können, lag mein Fokus Anfangs auf Mid.Caps, weil der damalige Ratinganbieter kaum Small-Caps abdeckte. Seit dem Ratinganbieterwechsel sind vor allem Small-Caps in meinen ESG SDG Portfolios enthalten.

Die Performance seit Auflage ist ähnlich wie die von aktiv gemanagten globalen Small- und Mid-Cap-Fonds (vgl. Globale Small-Caps: Faire Benchmark für meinen Artikel 9 Fonds? – Responsible Investment Research Blog (prof-soehnholz.com).

Regeländerungen: Ausblick

Weil ich meinen konsequenten Nachhaltigkeitsfokus beibehalten werde, erwarte ich, dass auch künftig vor allem Small-Caps im Portfolio vertreten sein werden. Da es keine typischen Allokationsregeln gibt, können Länder- und Branchenallokationen aber weiter schwanken. Sofern keine zu ausgeprägten Konzentrationen erkennbar sind, werde ich weiterhin auf Mindest- oder Maximalgrenzen für Länder und Branchen verzichten.

Interessant ist, dass es nur sehr wenige global investierende nachhaltige Small-Cap-Portfolios gibt. Ich habe deshalb bisher noch keinen Investmentfonds gefunden, mit dem mein Fonds mehr als 5 Investments gemein hat. Für nachhaltig orientierte Anleger, die nicht wie ich (fast) all ihr Vermögen in meinen Fonds anlegen möchten, ist mein Fonds deshalb eine attraktive potenzielle Portfolioergänzung.

…………………………………………………………………………………………………………………………………………………

Der von mir beratene Fonds (SFDR Art. 9) ist auf soziale SDGs fokussiert. Ich nutze separate E-, S- und G-Best-in-Universe-Mindestratings sowie ein breites Aktionärsengagement bei aktuell 26 von 30 Unternehmen: FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T oder Divestments: 49 bei 30 Aktien meines Artikel 9 Fonds

Disclaimer

Diese Unterlage ist von der Soehnholz ESG GmbH erstellt worden. Die Erstellerin übernimmt keine Gewähr für die Richtigkeit, Vollständigkeit und/oder Aktualität der zur Verfügung gestellten Inhalte. Die Informationen unterliegen deutschem Recht und richten sich ausschließlich an Investoren, die ihren Wohnsitz in Deutschland haben. Sie sind nicht als Verkaufsangebot oder Aufforderung zur Abgabe eines Kauf- oder Zeichnungsangebots für Anteile des in dieser Unterlage dargestellten Fonds zu verstehen und ersetzen nicht eine anleger- und anlagegerechte Beratung. Anlageentscheidungen sollten nur auf der Grundlage der aktuellen gesetzlichen Verkaufsunterlagen (Wesentliche Anlegerinformationen, Verkaufsprospekt und – sofern verfügbar – Jahres- und Halbjahresbericht) getroffen werden, die auch die allein maßgeblichen Anlagebedingungen enthalten. Die Verkaufsunterlagen werden bei der Kapitalverwaltungsgesellschaft (Monega Kapitalanlagegesellschaft mbH), der Verwahrstelle (Kreissparkasse Köln) und den Vertriebspartnern zur kostenlosen Ausgabe bereitgehalten. Die Verkaufsunterlagen sind zudem im Internet unter www.monega.de erhältlich. Die in dieser Unterlage zur Verfügung gestellten Inhalte dienen lediglich der allgemeinen Information und stellen keine Beratung oder sonstige Empfehlung dar. Die Kapitalanlage ist stets mit Risiken verbunden und kann zum Verlust des eingesetzten Kapitals führen. Vor einer etwaigen Anlageentscheidung sollten Sie eingehend prüfen, ob die Anlage für Ihre individuelle Situation und Ihre persönlichen Ziele geeignet ist. Diese Unterlage enthält ggf. Informationen, die aus öffentlichen Quellen stammen, die die Erstellerin für verlässlich hält. Die dargestellten Inhalte, insbesondere die Darstellung von Strategien sowie deren Chancen und Risiken, können sich im Zeitverlauf ändern. Einschätzungen und Bewertungen reflektieren die Meinung der Erstellerin zum Zeitpunkt der Erstellung und können sich jederzeit ändern. Es ist nicht beabsichtigt, diese Unterlage laufend oder überhaupt zu aktualisieren. Sie stellt nur eine unverbindliche Momentaufnahme dar. Die Unterlage ist ausschließlich zur Information und zum persönlichen Gebrauch bestimmt. Jegliche nicht autorisierte Vervielfältigung und Weiterverbreitung ist untersagt.

Small-Cap ESG: Researchpost #167

Small-Cap ESG: 6x new research on (German) migration, climate education, ESG performance, distressed ESG, and biodiversity bond risk (# shows SSRN full paper downloads on March 14th, 2024)

Social and ecological research

East-West migration: Moving Out of the Comfort Zone: How Cultural Norms Affect Attitudes toward Immigration by Yvonne Giesing, Björn Kauder, Lukas Mergele, Niklas Potrafke, Panu Poutvaara as of March 12^th, 2024 (#17): “Our causal identification relies on comparing students who moved across the East-West border after German reunification with students who moved within former East Germany. Students who moved from East to West became more positive toward immigration. … the difference between East-West movers and East-East movers increases over time and is driven by East German students who often interacted with fellow students. Effects are stronger in less xenophobic West German regions“ (abstract).

Climate education limits: Climate Change Education Effects on Climate Risk Attitudes and Financial Investment: Experimental Evidence by Bin Chang, Nelson Borges Amaral as of Oct. 5^th, 2023 (#44): “… we educate undergraduate finance students about climate change … Students in the course were assigned to manage a simulated investment portfolio which provided us with an opportunity to measure the share of climate-friendly, and climate-damaging exchange-traded funds, as well as the underlying reasons for their investment decisions through a trading journal that each student submitted. Our results reveal that while education influences personal attitudes about the importance of climate risks in investment decisions, those attitudes are not reflected in their investment behavior” (abstract).

Responsible investment research (in: Small-Cap ESG)

Responsible performance: The Risk-Adjusted Performance of Conventional, Socially Responsible, and Islamic Investment Funds by Ezzedine Ghlamallah, Sami Ben Larbi, and Laurence Gialdini as of Feb. 1^st, 2024 (#31): “… our study shows that the risk-adjusted performance of SRI funds (Sö: Socially Responsible) does not differ significantly from that of conventional funds, and that both outperform SCI funds (Sö: Shari’ah Compliant). … the underperformance of SCI funds compared to SRI funds can be explained by structural factors such as the limitation of eligible assets (interest rate products and hedging instruments) … our study shows that SCI investment funds have lower systematic risk than SRI funds and are more resilient in times of economic recession” (p. 17).

Distressed ESG? On the Relationship between Financial Distress and ESG Scores by Christian Lohmann, Steffen Möllenhoff, and Sebastian Lehner as of March 8^th, 2024 (#32): “This empirical study introduces the financial distress level obtained from a bankruptcy prediction model as a new explanatory variable for ESG scores. … data of listed US companies for 2003– 2022 reveals a pronounced and statistically significant U-shaped relationship between financial distress and ESG scores. A substantial increase in financial distress is associated with increased ESG scores … this empirical study concludes that financially distressed companies distort their ESG scores upward, a robust finding for the applied ESG scores from Refinitiv, MSCI, ESG Book, and Moody’s ESG” (abstract).

Small-Cap ESG performance: Is sustainable entrepreneurship profitable? ESG disclosure and the financial performance of SMEs by Paul P. Momtaz and Isabel M. Parra as of March 7^th, 2024 (#22): “… we examine the role of ESG-related information disclosure in a longitudinal sample of Spanish SMEs (Sö: Small and medium enterprises) over the 2012-2022 period. Our results suggests that ESG is positively related to SMEs’ performance, the positive relation is amplified by institutional pressures, and sustainability may protect SMEs against failure, supporting the “doing well by doing good” view in the SME context” (p. 28). My comment: My experience with SME investing is comparable, especially regarding SMEs with a renewable energy focus

Bio credit risk: Biodiversity Risk in the Corporate Bond Market by Sevgi Soylemezgil and Cihan Uzmanoglu as of Feb. 26^th, 2024 (#58): “… we find that longer term bonds issued by firms with higher biodiversity risk exposure have higher yield spreads, consistent with biodiversity being perceived as a long-run risk. This effect is stronger among firms with marginal credit quality and those that mention biodiversity regulation in their financial statements. … we find that the impact of biodiversity exposure on yield spreads is more pronounced when biodiversity-related awareness and regulatory risks rise” (abstract).

……………………………………………………………………………………………………………………………………..

Advert for German investors (Small-Cap ESG):

Sponsor my research by investing in and/or recommending my global small cap mutual fund (SFDR Art. 9). The fund focuses on the Sustainable Development Goals and uses separate E, S and G best-in-universe minimum ratings and broad shareholder engagement with currently 25 of 30 companies: FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T or My fund (prof-soehnholz.com).

Über Soehnholz

Social and ecological research

ESG investment research (in: Custom Voting)

Impact investment research (in: Custom Voting)

Advert for German investors

Social and ecological research

ESG investment research (in: ESG variety)

Impact investment research (in: ESG Variety)

Other investment research (in: ESG Variety)

Advert for German investors

Impactaktien: Klare Regeln und marktübliche Performance

Unternehmens-Impact: 30 Spezialisten im Portfolio

Impactaktien: Wieso sind gerade diese Unternehmen im Portfolio?

Mein Unternehmens- und Investor-Impact: Ausblick

Impactaktien: Disclaimer

Ecological and social research

ESG investment research (in: Climate Shaming)

Impact investment research (in: Climate Shaming)

Other investment research

Advert for German investors:

Ecological research

ESG investment research (in: Greeniums)

Other investment research (in: Greeniums)

Advert for German investors:

Q1 Renditen: Passive Multi-Asset Portfolios OK

Nachhaltige ETF-Portfolios: Anleihen gut, Aktien OK, SDG schwierig

Q1 Renditen: Direkte ESG SDG Portfolios OK

Weiterführende Infos:

Ecological and social research

ESG investment research (ESG rumors)

Other investment research (ESG rumors)

Advert for German investors:

ESG research

Impact investing research (in: SDG performance)

Other investment research (in: SDG performance)

Advert for German investors:

Transparent- oder intransparent regelbasiert?

Weder aktiv noch passiv?

3 mögliche Investmentphilosophien

Meine Regelbestandteile: Nur nachhaltig, nicht finanziell

Statische oder dynamische Regeln?

Meine Regeländerungen von 2017 bis 2024

Regeländerungen: Wenige Änderungsgründe

Resultat bisher: Marktübliche Performance und Small-Cap Fokus

Regeländerungen: Ausblick

Werbung:

Disclaimer

Social and ecological research

Responsible investment research (in: Small-Cap ESG)

Advert for German investors (Small-Cap ESG):