Archiv des Autors: Soehnholz

Über Soehnholz

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

Climate Shaming: Illustration from Nina Garman from Pixabay

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 11th, 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 18th, 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 2nd, 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 8th, 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 5th, 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 31st, 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 4th, 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. 19th, 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 3rd, 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 4th, 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. 13th, 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 (

Bad timing? Another Look at Timing the Equity Premiums by Wei Dai and Audrey Dong from Dimensional Fund Advisors as of Nov. 2nd, 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).


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Greeniums: Picture from Sergio Cerrato from Pixabay

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 28th, 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 25th, 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. 8th, 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 26th, 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 27th, 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 – 4.3oC will have only a minimal impact upon their portfolios. … Economists have claimed, in refereed economics papers, that 6oC 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 5oC of global warming implies damages that are “beyond catastrophic, including existential threats,” while even 1oC 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 26th, 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. 17th, 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 27th, 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 9th, 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 (

Pollution home bias: Carbon Home Bias by Patrick Bolton, Marc Eskildsen, and Marcin Kacperczyk as of Feb. 18th, 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 26th, 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 20th, 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 26th, 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 companiesFutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T or My fund (

Q1 Performance Illustration von Gerd Altmann von Pixabay

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 (

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 (

2023: Passive Allokation und ESG gut, SDG nicht gut – Responsible Investment Research Blog (

Glorreiche 7: Sind sie unsozial? – Responsible Investment Research Blog (

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

ESG rumor illustration from yaobim from Pixaby

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 27th, 2024)

Ecological and social research

Problematic Offsets: Carbon Offsets: Decarbonization or Transition-Washing? by Sehoon Kim, Tao Li, and Yanbin Wu as of March 23rd, 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 22nd, 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. 29th, 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 (

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 23rd, 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 23rd, 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 21st, 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 25th, 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. 15th, 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).


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SDG Performance Illustration with SDG Wheel

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 21st, 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 14th, 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 (

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 15th, 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. 18th, 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 20th, 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. 19th, 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 15th, 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 20th, 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 (

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. 29th, 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. 18th, 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

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 20th, 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. 17th, 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. 21st, 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).


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Regeländerungen: Grafik zeigt die 3 Basis Investmentphilosophien

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 ( 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 (

3 mögliche Investmentphilosophien

Eine Investmentphilosophie definiere ich als ein umfassendes und kohärentes System von Investmentüberzeugungen (vgl. Investmentphilosophie: Prognosefans sollten prognosefreie Portfolios nutzen ( 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 (

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 (

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 ( 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 ( 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 (

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


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 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 illustration from Aöexa from Pixabay

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 12th, 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. 5th, 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. 1st, 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 8th, 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 7th, 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. 26th, 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).


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Healthcare IT: Illustration from Gordon Johnson from Pixabay

Healthcare IT and more new research: Researchpost #166

Healthcare IT: 17x new research on climate profits, biodiversity, carbon policy, noisiness, brown subsidies, child marriages, diversity returns, ESG ratings, climate measures, index pollution, impact funds, engagement returns, green research, green real estate, green ECB (# shows number of SSRN full paper downloads as of March 7th, 2024).

Ecological research (in: Healthcare IT)

Climate adaption profits? Fiscal Implications of Global Decarbonization by Simon Black, Ruud de Mooij, Vitor Gaspar, Ian Parry, and Karlygash Zhunussova from the International Monetary Fund as of March 7th, 2024 (#2): “The quantitative impact on fiscal revenues for countries depends on the balance between rising carbon revenue and a gradual erosion of existing carbon and fuel tax bases. Public spending rises during the transition to build green public infrastructure, promote innovation, support clean technology deployment, and compensate households and firms. Assumptions about the size of these spending needs are speculative and estimates vary with country characteristics (especially the emissions intensity of the energy sector) and policy choices (whether investments are funded through user fees or taxes for the sector or by the general budget). On balance, the paper finds that the global decarbonization scenario will likely have moderately negative implications for fiscal balances in advanced European countries. Effects are more likely to be positive for the US and Japan if public spending is contained. For middle and low-income countries, net fiscal impacts are generally positive and sometimes significantly so—mostly due to relatively buoyant revenue effects from carbon pricing that exceed spending increases. For low-income countries, these effects are reinforced if a portion of the global revenue from carbon pricing is shared across countries on a per-capita basis. Thus, a global agreement on mitigation policy has the potential to support the global development agenda” (p. 26).

Green productivity? The impact of climate change and policies on productivity by Gert Bijnens and many more from the European Central Bank as of Feb. 28th, 2024 (#26): “The impact of rising temperatures on labour productivity is likely to be positive for Northern European countries but negative for Southern European countries. Meanwhile, extreme weather events, having an almost entirely negative impact on output and productivity, are likely to have a relatively higher impact on Southern Europe. … The impact of climate policies on resource reallocation across sectors is likely negative, as the more carbon-intensive sectors are currently more productive than the sectors that are expected to grow due to the green transition. … Smaller firms that have a harder time in securing finance and less experience in creating or adapting new innovations may initially face challenges and see a decline in their productivity growth. However, their productivity outlook improves as they gradually adjust and gain access to support mechanisms, such as financial assistance and technological expertise. … Market-based instruments, like carbon taxes, are not enough in themselves to spur investment in green innovation and productivity growth. As others have found, the green transition also calls for an increase in green R&D efforts and non-market policies such as standards and regulations, where carbon pricing is less adequate. … In conclusion, while shifting towards a greener economy can lead to temporary declines in labour productivity in the shorter term, it could yield several long-term productivity benefits“ (p. 60/61).

Biodiversity degrowth: Biodiversity Risks and Corporate Investment by Hai Hong Trinh as of Oct. 1st, 2023 (#188): “I document a strong adverse association between corporate investment and biodiversity risks (BDR) …. More importantly, in line with the life-cycle theory, the relation is pronounced for larger and more mature firms, suggesting that firms with less growth opportunities care more about climate-induced risks, BDR exposures in this case. When environmental policies become more stringer for climate actions, the study empirically supports the rationale that climate-induced uncertainty can depress capital expenditure due to investment irreversibility, causing precautionary delays for firms”.

“Good” carbon policies: Carbon Policy Design and Distributional Impacts: What does the research tell us? by Lynn Riggs as of Sept. 21st, 2023 (#15): “There are two main veins of literature examining the distributional effects of carbon policy: the effects on households and the effects on production sectors (i.e., employment). These literatures have generally arisen from two common arguments against carbon policies – that these polices disproportionately affect lower income households and that the overall effect on jobs and businesses will be negative. However, existing research finds that well-designed carbon policies are consistent with growth, development, and poverty reduction, and both literatures provide guidance for policy design in this regard” (abstract).

Social research (in: Healthcare IT)

Costly noise: The Price of Quietness: How a Pandemic Affects City Dwellers’ Response to Road Traffic Noise by Yao-pei Wang, Yong Tu, and Yi Fan as of July 15th, 2023 (#44): “We find that housing units with more exposure to road traffic noise have an additional rent discount of 8.3% and that tenants are willing to pay an additional rent premium for quieter housing units after the pandemic. We demonstrate that the policies implemented to keep social distance like WFH (Sö: working from home) and digitalization during the COVID-19 pandemic have enhanced people’s requirement for quietness. We expect these changes to persist and have long-lasting implications on residents’ health and well-being …” (p. 25/26).

Ungreen inequality subsidies? Do Commuting Subsidies Drive Workers to Better Firms? by David R. Agrawal, Elke J. Jahn, Eckhard Janeba as of March 5th, 2024 (#5): „Increases in the generosity of commuting subsidies induce workers to switch to higher-paying jobs with longer commutes. Although increases in commuting subsidies generally induce workers to switch to employers that pay higher wages, commuting subsidies also enhance positive assortativity in the labor market by better matching high-ability workers to higher-productivity plants. Greater assortativity induced by commuting subsidies corresponds to greater earnings inequality” (abstract).

Polluted marriages: Marriages in the shadow of climate vulnerability by Jaykumar Bhongale and Oishik Bhattacharya as of May 15th, 2023 (#26): “We discover that girls and women are more likely to get married in the year of or the year after the heat waves. The relationship is highest for women between the ages of 18 and 23, and weakest for those between the ages of 11 and 14. We also investigate the idea that severe weather influences families to accept less suitable daughter marriage proposals. We discover that people who get married in extremely hot weather typically end up with less educated men and poorer families. Similarly to this, men with less education who married during unusually dry years are supportive of partner violence more than other married men married in normal seasons of the year. These findings collectively imply that families who experience environmental shocks adapt by hastening the marriage of daughters or by settling for less ideal marriage offers “ (abstract).

Diversity returns: Diversity and Stock Market Outcomes: Thank you Different! by Yosef Bonaparte as of Feb. 9th, 2024 (#30): “… we gather data from 68 countries on key financial results and their level of diversity. We define diversity via four dimensions: ethnicity, language, religion, and gender. … our results demonstrate that the impact of diversity components on the stock market varies, yet overall, the greater the level of diversity the greater the stock market performance, and there is no volatility associated with this high return. In fact, we present some evidence that the overall volatility declines as diversity increases. To sum up, diverse culture is better equipped to understand and serve diverse consumer markets, thereby expanding the potential customer base. This inclusive approach not only reflects social responsibility but also aligns with economic advantages, as it results in improved corporate governance, risk management, and overall corporate performance“ (p. 15).

ESG investment research

ESG rating issues: Unpacking the ESG Ratings: Does One Size Fit All? by Monica Billio, Aoife Claire Fitzpatrick, Carmelo Latino, and Loriana Pelizzon as of March 1st, 2024 (#70): “In this study, we unpack the ESG ratings of four prominent agencies in Europe …” (abstract) … “First, using correlation analysis we show that each E, S, and G pillar contributes differently to the overall ESG rating. … the Environmental pillar consistently plays a significant role in explaining ESG ratings across all agencies … When analysing the intra-correlations of the E, S and G pillar we find a low correlation between the three E, S, and G pillars. An interesting accounting methodology emerges from RobecoSAM which exhibits notably high intra-correlations. This prompts us to raise questions about the validity of relying exclusively on survey data for calculating ESG ratings as RobecoSAM does. … the Governance pillar displayed the highest divergence across all years, followed by Social, Environmental and finally ESG. … Finally, our study on the main drivers of ESG ratings reveals that having an external auditor, an environmental supply chain policy, climate change commercial risks opportunities and target emissions improves ratings across all agencies, further emphasizing the importance of firms’ environmental strategies“ (p. 12/13). My comment: Unterschiedliche ESG-Ratings: Tipps für Anleger | CAPinside

Pro intensity measures: Greenness and its Discontents: Operational Implications of Investor Pressure by Nilsu Uzunlar, Alan Scheller-Wolf, and Sridhar Tayur as of Feb. 28th, 2024 (#23): “… We explore two prominent environmental metrics that have been proposed for carbon emissions: an absolute-based target for absolute emissions and an intensity-based target for emission intensity. … we observe that, for high-emission companies, an intensity-based target increases the producer’s expected profit, leading to less divestment compared to the absolute-based target. We also find that the intensity-based target is more likely to facilitate investments in increased efficiency than the absolute-based target“ (abstract).

Index-hugging pollution? Reducing the Carbon Footprint of an Index: How Low Can You Go? by Paul Bouchey, Martin de Leon, Zeeshan Jawaid, and Vassilii Nemtchinov as of Feb. 13th, 2024 (#31): “… The authors find that an investor may be able to reduce the carbon footprint of a typical index-based portfolio by more than 50%, while keeping active risk low, near 1% tracking error volatility. … We study the effects of constraints on the optimization problem and find that loosening sector and industry constraints enables a greater reduction in carbon emissions, without a significant increase in overall active risk. Specifically, underweights to Utilities, Energy, and Materials allow for a greater reduction in carbon emissions” (abstract). My comment: The Carbon footprint can be reduced much more by avoiding significant emitters altogether. Index deviation will increase in that case, but not necessarily relevant risk indicators such as drawdowns or volatility, see also 30 stocks, if responsible, are all I need (

SDG and impact investment research (in: Healthcare IT)

Better sustainability measure: Methodology for Eurosif Market Studies on Sustainability-related Investments by Timo Busch, Eric Pruessner, Will Oulton, Aleksandra Palinska, and Pierre Garrault from University Hamburg, Eurosif, and AIR as of February 2024: “Past market studies on sustainability-related investments typically gathered data on a range of different sustainability-related investment approaches and aggregated them to one of a number of “sustainable investments”. However, these statistics did not differentiate between investments based on their investment strategy and/or objectives to actively support the transition towards a more sustainable economy. The methodology presented in this paper aims to reflect current approaches to sustainability-related investment across Europe more accurately. It introduces four distinct categories of sustainability-related investments that reflect the investments’ ambition level to actively contribute to the transition towards a more just and sustainable economy … Two core features of the proposed approach are that it applies to all asset classes and that investments only qualify as one of the four categories if they implement binding ESG- or impact related criteria in their investment process. The methodology will serve as a basis for future market studies conducted by Eurosif in cooperation with its members“ (p. 2). My comment: I like the four categories Basic ESG, Advanced ESG, Impact-Aligned and Impact-Generating. For further details regarding impact generation see also DVFA-Leifaden_Impact_2023-10.pdf. The “Leitfaden” is now also available in English (not online yet, though)

Engagement returns: Value of Shareholder Environmental Activism: Case Engine No. 1 by Jennifer Brodmann, Ashrafee T Hossain, Abdullah-Al Masum, and Meghna Singhvi as of Feb. 13th, 2024 (#20): “We observe short-term market reactions to S&P100 index constituents around two subsequent events involving Engine No. 1 – an environment activist investment firm: first, they won board seats at ExxonMobil (the top non-renewable energy producer) on May 26, 2021; and second, on June 2, 2021, they announced their plan to float Transform-500-ETF (an ETF targeting to ensure green corporate policies) in the market. We find that the market reacts significantly positively towards the stocks of the firms with more serious environmental (and emission) concerns around each of these two events. Overall, our findings suggest that a positive move by the environment activist shareholders results in an incremental favorable equity market reaction benefitting the polluting firms. … we posit that this reaction may be a product of market anticipation of a future reduction in environmental (and emission) concerns following the involvement of green investors” (abstract).

Bundled green knowledge: Wissensplattform Nachhaltige Finanzwirtschaft by Patrick Weltin vom VfU as of February 2024: “The final report summarizes the key findings of the Knowledge Platform for Sustainable Finance project. The research project is helping to increase understanding of sustainable finance among various key stakeholders. In addition to policymakers, financial market players, the real economy and civil society, these include employees in the financial sector, in particular trainees, young professionals and students. The final report summarizes and presents the key results of the work packages and possible overarching findings” (p. 5). My comment: I offered the VfU to discuss about a potential inclusion of my research summaries, but I did not get a reply.

Greener real estate: Finanzierung von energetischen Gebäudesanierungen Eine kritische Analyse unter besonderer Berücksichtigung der Sustainable Finance-Regulierung der Europäischen Union von Tobias Popovic und Jessica Reichard-Chahine vom Februar 2024: “Financing of energy-efficient building renovations: … At 1 percent per year, the renovation rates in the building stock in Germany are significantly below the 2-4 percent that would be necessary to achieve the climate targets of the Paris Agreement as well as those of the EU and the German government. The too low renovation rates, the insufficient renovation quality and the associated sluggish standardisation are due to various obstacles, such as a lack of data on the energy status of buildings, a lack of renovation and financial knowledge on the part of building owners and users, a lack of renovation incentives and, last but not least, the lack of availability of appropriate financing and insurance products. … On the market side .. there is still a need for the development of innovative financing instruments …” (p. 5).

Healthcare-IT potential: Next Health – a new way to navigate the healthcare ecosystem by Karin Frick, David Bosshart and Stefan Brei as of Nov. 7th, 2023 (Deutsch; Francais #27): “Human and artificial intelligence working together have the potential to significantly increase quality in both medicine and productivity, thereby reducing costs. … The more cooperative the approach to data sharing, the greater the amount and quality of data available in the system, and the better the results. These developments will also change the position of patients in the healthcare system and how they see their role. The more frequently they come into contact with the healthcare system while they are healthy, the more their behaviour will come to resemble that of consumers. Even the hierarchical distance between doctor and patient will shrink or perhaps even disappear completely, for the simple reason that both parties will be taking advice from smart assistants when making decisions“ (p. 2). My comment: About a third of my small cap SDG fund is now invested in healthcare companies. With Nexus from Germany and Pro Medicus from Australia there are two healthcare IT companies in my mutual fund. For further information on Medtech also see What to expect from medtech in 2024 by Karsten Dalgaard, Gerti Pellumbi, Peter Pfeiffer, and Tommy Reid from McKinsey.

Other investment research (in: Healthcare IT)

ECB for green? Legitimising green monetary policies: market liberalism, layered central banking, and the ECB’s ongoing discursive shift from environmental risks to price stability by Nicolás Aguila and Joscha Wullweber as of Feb. 17th, 2024: “Through the analysis of ECB Executive Board member speeches, we have identified three main narratives about the consequences of the environmental crisis in the monetary authority’s spheres of influence: The first emphasises environmental phenomena as financial risks; the second highlights the green investment or financing gap; and the third focuses on the impacts of climate change on price stability. … We show that the third narrative is displacing the first as the dominant discourse around ECB climate policy. The shift in focus from the central bank’s duties to maintain financial stability to its responsibilities regarding price stability under the primary mandate could lead to far-reaching green monetary policies” (abstract).


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Biodiversity Diversgence illustration with seed toto by Claudenil Moraes from Pixaby

Biodiversity diversion: Researchpost #165

Biodiversity diversion: 14x new research on donations, brown indices, ESG ETFs, ESG investing fees, greenwashing, labeled bonds, climate engagement, framing, female finance, and risk measurement (“’#” shows full paper SSRN downloads as of Feb. 29th, 2024).

Social and ecological research

Facebook donations: Does Online Fundraising Increase Charitable Giving? A Nationwide Field Experiment on Facebook by Maja Adena and Anselm Hager as of Feb. 27th, 2024 (#4): “Using the Facebook advertising tool, we implemented a natural field experiment across Germany, randomly assigning almost 8,000 postal codes to Save the Children fundraising videos or to a pure control. … We found that (i) video fundraising increased donation revenue and frequency to Save the Children during the campaign and in the subsequent five weeks; (ii) the campaign was profitable for the fundraiser; and (iii) the effects were similar independent of video content and impression assignment strategy. However, we also found some crowding out of donations to other similar charities or projects.” (abstract).

Biodiversity diversion (1)? The 30 by 30 biodiversity commitment and financial disclosure: Metrics matter by Daniele Silvestro, Stefano Goria, Ben Groom, Thomas Sterner, and Alexandre Antonelli as of Nov. 23rd, 2023 (#93): “The recent adoption of the Kunming-Montreal Global Biodiversity Framework commits nearly 200 nations to protect 30% of their land by 2030 – a substantial increase from the current global average of c. 17%. … the easiest approach to reach compliance would be to protect the cheapest areas. … Here we explore biological and financial consequences of area protection … We find substantial differences in performance, with the cheapest solution always being the worst for biodiversity. Corporate disclosure provides a powerful mechanism for supporting conservation but is often dependent on simplistic and underperforming metrics. We show that conservation solutions optimized through artificial intelligence are likely to outperform commonly used biodiversity metrics“ (abstract).

ESG investment research (in: „Biodiversity diversion“)

Biodiversity diversion (2): A Bibliometric and Systemic Literature Review of Biodiversity Finance by Mark C. Hutchinson and Brian Lucey as of Feb. 19th, 2024 (#140): “This study presents a short bibliometric analysis of biodiversity finance …. Six focal areas emerge, with Conservation, Conservation Finance, and Ecosystem Finance prominent. Thematic emphasis revolves around biodiversity challenges and the inefficiency of financial mechanisms in addressing them. Our analysis reveals an exploitable gap in the lack of finance-led solutions” (abstract).

Brown stock indices: International trade in brown shares and economic development by Harald Benink, Harry Huizinga, Louis Raes, and Lishu Zhang as of Feb. 22nd, 2024 (#9): “Using global stock ownership data, we find a robust negative relation between the tendency by investors to hold brown assets and economic development as measured by log GDP per capita. … First, at the country level, economic development is likely to lead to a greening of the national stock portfolio. Second, cross-sectionally, richer countries will tend to hold greener portfolios. … Finally, we find that investors in richer countries have a lower propensity to divest from browner firms that are included in the MSCI World index, which does not consider firms’ carbon intensities” (p. 31/32). My comment: Most (institutional) investors use benchmarks. Green benchmarks should be used more often to foster transition (regarding benchmark selection compare Globale Small-Caps: Faire Benchmark für meinen Artikel 9 Fonds? (

ESG ETF dispersion: From ESG Confusion to Return Dispersion: Fund Selection Risk is a Material Issue for ESG Investors by Giovanni Bruno and Felix Goltz from Scientific Beta as of Feb. 22nd, 2024: “… we construct a dataset of Sustainable ETFs – passive ETFs that have explicit ESG objectives. … Overall, our results indicate that ESG investors face a large fund selection risk. Over the full sample dispersion is 6.5% (4.9%) in terms of annualised CAPM Alpha (Industry Adjusted Returns), and it can reach 22.5% (25.3%) over single calendar years. We also show that past performance and tracking error do not contain useful information on future performance. … dispersion in performance allows ETF providers to always present investors some strategy that has recently outperformed“ (p. 31). My comment: It would be nice to have more details in the research article regarding conceptual differences e.g. between ESG Leader, Transition and SRI indics/ETFs, see e.g. Verantwortungsvolle Investments im Vergleich: SRI ETFs sind besser als ESG ETFs ( from 2018

Good ESG ETFs: Unraveling the Potential: A Comprehensive Analysis of ESG ETFs in Diversified Portfolios across European and U.S. Markets by Andrea Martínez-Salgueiro as of Feb. 15th, 2024 (#10): “… results indicate substantial benefits of ESG ETFs in Europe and notable hedge, diversification, and safe-haven potential in the U.S. Simulated data further demonstrate ESG portfolios‘ outperformance, especially in Europe, highlighting the risk-return tradeoff” (abstract).

Responsible fees: Responsible Investment Funds Build Consistent Market Presence by Jordan Doyle as of Feb. 21st, 2024: “… during the study period from 31 December 2012 to 31 December 2022. Total net assets for “responsible investments” as defined by Lipper increased by a factor of 2.7×, from $2,215.6 billion in 2012 to $5,974.6 billion in 2022. The market share of responsible investment funds remained relatively constant during the same period, increasing from 14.2% in 2012 to 15.4% in 2022. … Retail ownership dominates institutional ownership of responsible investment funds globally. In the United States, however, institutional assets surpassed retail assets in 2018, indicating a relative shift in demand preferences. … they both invest more assets into negative screening funds than any other type of responsible investment strategy …fund fees of responsible investing funds are largely in line with those of non-responsible investment fund fees in the United States. In Europe, however, responsible investment fund fees tend to be lower than non-responsible investment fund fees“ ( p. 3).

Unsustainable institutions? Sustainable Finance Disclosure Regulation: voluntary signaling or mandatory disclosure? by Lara Spaans, Jeroen Derwall, Joop Huij, and Kees Koedijk as of Feb. 19th, 2024 (#38): “… we point out that (i) the SFDR similarly to voluntary disclosure enables funds to signal their sustainability commitments to the market, while (ii) like mandatory disclosure, requires these funds to be transparent about the sustainability outcomes of their underlying portfolio … we show that investors indeed respond to the Article signals, but that this effect is driven by retail investors. … we see that mutual funds that take on an Article 8(/9) label after the SFDR announcement improve their sustainability outcomes compared to Article 6 funds. Specifically, we note that retail funds behave in accordance with their signal, while for institutional funds we do not find that Article 8(/9) funds behave differently from Article 6 funds. We disregard the hypothesis that these institutional funds partake in ‘window-dressing’, instead we find evidence that mandatory disclosure induces European institutional funds to significantly improve their sustainability outcomes compared to untreated, US-domiciled institutional funds“ (p. 32). My comment: For my Article 9 (global smallcap fund) see and My fund (

Less greenwashing: Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings by Massimo Guidolin and Monia Magnani as of Feb. 23rd, 2024 (#22): “… our findings indicate a distinct shift towards greater sustainability within the mutual equity fund industry. Notably, this trend is not exclusive to self-labelled ESG funds; all types of funds have enhanced their ESG ratings and reduced their investments in sin stocks. The number of self-labelled ESG funds has continued to rise in recent years, and importantly, most of these ESG funds, on average, appear to genuinely adhere to their claims of prioritizing sustainable investing. Consequently, they demonstrate significantly higher actual ESG scores in their portfolio holdings. Moreover, we are witnessing a noticeable reduction in sin stocks within their portfolios“ (p. 34).

SDG- aligned and impact investment research

Sustainable returns: Labeled Bonds: Quarterly Market Overview Q4 2023 by Jakub Malich and Anett Husi from MSCI Research as of Feb. 21st, 2024:  Green, social, sustainability and sustainability-linked “Labeled-bond issuance reached a similar level in 2023 as in 2022, which was notably below the peak issuance of 2021. … The market continued to grow both in size and diversity, as hundreds of new and recurring corporate and government-related issuers brought labeled bonds to the market. … Most newly issued and outstanding labeled bonds were investment-grade and issued by ESG leaders … the performance of labeled bonds, despite their distinctions from conventional bonds, was primarily driven by key fixed-income risk and return drivers, such as interest-rate sensitivity, currency fluctuations and credit risk“ (p. 18). … “Corporate issuers led issuance in the fourth quarter, with USD 75 billion worth of labeled bonds (63% of the total), while supranational, sovereign and agency (SSA) entities issued USD 44 billion (37%). This continues a shift in the labeled-bond market, with corporate issuers taking a more central role” (p. 4).

Index impact: The Impact of Climate Engagement: A Field Experiment by Florian Heeb and  Julian F. Kölbel as of Feb. 6th, 2024 (#361): “A randomly chosen group of 300 out of 1227 international companies received a letter from an index provider, encouraging the company to commit to setting a science-based climate target to remain included in its climate transition benchmark indices. After one year, we observed a significant effect: 21.0% of treated companies have committed, vs. 15.7% in the control group. This suggests that engagement by financial institutions can affect corporate policies when a feasible request is combined with a credible threat of exit” (abstract). My comment: It would be interesting to know the assets of the funds threatening to divest (index funds are often large). Hopefully, this type of shareholder engagement also works for active (and small) asset managers. Further shareholder engagement research see e.g. Shareholder engagement: 21 science based theses and an action plan – (

ESG nudging: Optimistic framing increases responsible investment of investment professionals by Dan Daugaard, Danielle Kent, Maroš Servátka, and Lyla Zhang as of Jan. 1zh, 2024 (#33): “… we report insights from an incentivized online experiment with investment professionals … The analyzed sample consists of individuals who stated their intention to increase their investment in ESG within the next 10 years … We demonstrate that framing divestment decisions in a more optimistic orientation, with an emphasis on the transitory nature of costs and the permanency of future benefits, significantly increases responsible investment by 3.6%. With total professionally managed assets valued at USD $98.4 trillion globally, a comparable effect size would represent a USD $3.6 trillion shift in asset allocations” (p. 12).

Other investment research (in: „Biodiversity diversion“)

Gender differences: The Gender Investment Gap: Reasons and Consequences by Alexandra Niessen-Ruenzi and Leah Zimmerer as of Jan. 27th, 2024 (#31): „ Women, compared to men, report larger financial constraints, higher risk aversion, perceived stress in financial matters, and lower trust in financial institutions. As a result, women save and invest less consistently than men. Conditional on investing, women use fewer financial products, particularly in equity investments. We find a significant gender gap in stock market participation, with 17.6% of women and 32.3% of men investing. The motives and barriers influencing stock market participation also diverge, with men leaning towards short-term gains and the thrill of investing, while women commonly cite unfamiliarity with stocks and fear of potential losses as primary reasons for non-participation” (abstract).

New performance indicator: Maximum Cumulative Underperformance: A New Metric for Active Performance Management by Kevin Khang and Marvin Ertl from The Vanguard Group as of Jan. 18th, 2024 (#29): “… we define maximum cumulative underperformance (MaxCU)—the maximum underperformance of an active fund relative to the benchmark … The greater the benchmark return environment and the longer the investment horizon, the greater MaxCU investors should expect … Ex-ante, our framework can be used to articulate the investor’s tolerance for underperformance relative to the benchmark and inform the final active allocation decision at the outset. Ex-post, our framework can be used to set the base rate for terminating a manager who has suffered a sizeable underperformance“ (p. 19/20). My comment: Useful concept, but benchmark selection is very important for this approach. For the latter problem see e.g. Globale Small-Caps: Faire Benchmark für meinen Artikel 9 Fonds? (


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Small-Caps Illustration durch Benchmark meines Fonds mit einer Peergroup

Globale Small-Caps: Faire Benchmark für meinen Artikel 9 Fonds?

Small-Caps: Ich möchte möglichst nachhaltig und transparent, d.h. regelbasiert investieren. Die nachhaltigsten regelbasierten ETFs- bzw. Publikumsfonds erreichen aber nur ungefähr die Hälfte der Nachhaltigkeit meiner nachhaltigsten Aktienportfolios (Details dazu vgl. Nachhaltigkeitsinvestmentpolitik auf Interessenten sind neben der absoluten auch an der relativen Performance dieser Portfolios interessiert. Dafür ist eine faire Benchmark nötig. Es ist schwer, eine solche zu finden.

Keine diversifizierte SDG-Benchmark?

Meine Regeln beinhalten vor allem Länder- und Aktivitätsausschlüsse, ESG-Anforderungen und solche an Vereinbarkeit mit den Nachhaltigen Entwicklungszielen der Vereinten Nationen (SDG). Außerdem versuche ich, ein breites und tiefes Shareholder Engagement umzusetzen.

Die Aktien für meinen Fonds werden Bottom-Up selektiert. Es gibt also keine Allokationsvorgaben z.B. für Länder oder Branchen oder Unternehmensgrößen. Bisher hatten die USA einen Anteil von etwa 40 bis 60 Prozent, danach folgt Australien mit ca. 10% sowie diverse europäische Länder.

Bei den Branchen lag das Gewicht je nach Definition bei 30 bis 60 Prozent Gesundheit und bis zu 40% Industrie.

Ein ESG- plus SDG-Index bzw. eine derartige Fonds-Vergleichsgruppe (Peergroup) wären als Benchmark geeignet. Fonds mit Fokus auf Cleantech oder erneuerbarer Energieproduktion (SDG 7) performen ganz anders als Fonds mit Gesundheitsfokus (SDG 3). Deshalb ist eine SDG-diversifizierte Benchmark nötig. Ich kenne aber keine solche Benchmark bzw. Peergroup, deren Daten öffentlich zugänglich sind und die somit allen Interessenten für Vergleiche zur Verfügung stehen.

Allenfalls der Global Challenges Index der Börse Hannover (GCX) könnte als Benchmark dienen. Allerdings beinhaltet er vor allem ökologisch ausgerichtete Aktien und kaum welche mit Sozialfokus. Außerdem ist er Europalastig und beinhaltet überwiegend höher kapitalisierte Unternehmen als mein Fonds. Ein Vergleich der Positionen von GCX und meinem Fonds ergibt nur sehr wenige Gemeinsamkeiten. Deshalb ist die Korrelation zu meinem Fonds mit ca. 0,6 (seit Fondsauflage im August 2021) auch relativ gering.

Small-Caps Benchmark adäquat?

Eine hohe SDG-Vereinbarkeit ist für branchenfokussierte Unternehmen einfacher erreichbar als für diversifizierte. In den letzten Jahren haben zudem immer mehr Small- und Mid-Cap-Unternehmen aussagekräftige ESG-Daten veröffentlicht. Deshalb gibt es zunehmend mehr SDG-kompatible Unternehmen mit guten ESG-Ratings. Aus diesen Gründen sind überwiegend kleine und wenige Großunternehmen in meinem Portfolio vertreten.

Die durchschnittliche Kapitalisierung der Unternehmen im Portfolio ist von anfangs ca. 15 Milliarden auf inzwischen unter 5 Milliarden gesunken. Je nach Zeitpunkt bzw. Definition war der Fonds also zu Beginn eher ein Mid-Cap- und ist jetzt eher ein Small-Cap-Fonds. Ich erwarte aus den oben genannten Gründen, dass der Fonds auch künftig Small-Cap-fokussiert bleibt.

Korrelationen seit Fondsauflage zeigen knapp 0,6 mit globalen Mid-Caps und etwas über 0,6 mit globalen Small-Caps. Einen kombinierten Small/Mid-Cap-Index bzw. ETF, der für Vergleiche genutzt werden kann, habe ich nicht gefunden. Datenanbieter wie Morningstar oder CAPInside stellen aber Fondspeergroups aus Small- und Mid-Cap-Fonds zusammen. Diese scheinen mir für Performancevergleiche meines Fonds für die Vergangenheit am ehesten geeignet. Bei der CAPInside Peergroup liegt die Korrelation seit Fondsauflage bei 0,7. Dabei ist allerdings zu beachten, dass solche Vergleichsgruppen aufgrund der relativ hohen Kosten aktiver Fonds typischerweise geringere Renditen erreichen als direkte Wertpapierindizes bzw. kostengünstige ETFs.

Der Vorteil einer Small- bzw. Small/Mid-Cap-Benchmark ist, dass mein Fonds mit sehr viel mehr anderen Fonds verglichen werden kann als mit der GCX-Benchmark. Außerdem sind viel mehr Anleger gewohnt, mit traditionellen (Small/Midcap) als mit nachhaltigen (GCX) Benchmarks zu arbeiten. Für künftige Vergleiche wäre eine reine Smallcap-Peergroup adäquater. Eine solche frei zugängliche Vergleichsgruppe gibt es jedoch weder bei Morningstar noch bei CAPInside.

Keine eigene Impact-Peergoup

Ich habe auch versucht, eine eigene Peergroup mit vergleichbaren Fonds zu erstellen. Ich habe aber keine Fonds gefunden, die konsequente ESG- und breite SDG-Kriterien nutzen und global vor allem in Small-Caps investieren. Es gibt zwar SDG- bzw. Impactfonds, aber die sind oft auf nachhaltige Energien fokussiert und/oder nur auf eine Region. Wenn es sich um globale Fonds handelt, enthalten sie typischerweise sehr viele (Technologie-) Mega-Caps, die meiner Meinung nach weder nach ESG- noch nach SDG-Kriterien nachhaltig genug sind (vgl. Glorreiche 7: Sind sie unsozial? – Responsible Investment Research Blog (

Am ehesten können deshalb die Fonds genutzt werden, die dem Global Challenges Index folgen. Wie erwartet, haben diese erheblich geringere USA- und Sozialallokationen und aktuell eine etwa doppelt so hohe durchschnittliche Marktkapitalisierung wie mein Fonds.

Problematische Faktoranalysen

Ich könnte auch auf Faktoranalysen verweisen, um die Fondsperformance zu erklären. Für meinen Fonds ist aber aufgrund seiner Konzeption, außer in Bezug auf SDG, ESG und Small- und Mid-Caps, keine klare und dauerhafte Faktorabhängigkeit zu erwarten. Und die mir bekannten öffentlichen und damit einfach von Interessenten nachprüfbaren Faktoranalysen nutzen keine SDG- bzw. ESG-Faktoren.

Bei Morningstar wird für meinen Fonds z.B. eine unpassende „Aktien global All-Cap“ Benchmark genutzt und eine Flex-Cap- (inkl. Mega- und Large-Caps) anstatt einer Small/Mid-Cap-Peergruppe, die es ebenfalls gibt. Bei der Morningstar-Portfolioanalyse ist der Small-/Mid-Cap-Fokus dagegen deutlich erkennbar.

Der Fonds hat nach Morningstar-Klassifikation keinen klaren Value- oder Growth-Fokus und nur geringe Momentum-Komponenten. Für Interessenten problematisch ist, dass die Ergebnisse solcher Faktoranalysen stark von den jeweiligen Faktordefinitionen abhängen können (vgl. z.B. Kessler, Stephan and Scherer, Bernd and Harries, Jan Philipp, Value by Design? (November 14, 2019). The Journal of Portfolio Management Quantitative Special Issue, 46 (2) 25-43, 2020, DOI:, Available at SSRN:

Fazit: Die für meinen Fonds am besten geeignete Benchmark über die bisherige Laufzeit ist eine Vergleichsgruppe aus globalen Small- und Mid-Cap-Fonds. Im Vergleich zu einer solchen Fondsgruppe von CAPInside hat mein Fonds eine ähnliche Performance seit Auflage und vor allem seit Mitte 2023 und seit Auflage eine Korrelation von ca. 0,7. Das ist nachvollziehbar, denn seit der letzten jährlichen regelbasierten Portfolioumstellung zu Mitte/Ende 2023 besteht der Fonds aus noch mehr Small- und Mid-Caps als vorher. Für künftige Analysen ist dagegen eine reine Small-Cap-Benchmark adäquater.

Besonders nachhaltige marktübliche Performance

Natürlich wäre es aus meiner Sicht gut, eine Outperformance gegenüber solchen Benchmark zu erreichen. Weil für meinen Fonds neben den oben genannten Branchen auch – relativ schlecht performende – nachhaltige Energien, Infrastruktur und Immobilien eine wichtige Rolle spielen, war das in den letzten Jahren aber schwierig. Die Rendite meines Fonds ist deshalb aus meiner Sicht OK. Mit ungefähr 13% Volatilität sind die Schwankungen zudem relativ gering (Interessenten können die Performance z.B. hier prüfen: Fonds-Portfolio: Mein Fonds | CAPInside).

Nachdem Small-Caps lange Zeit relativ schlecht rentiert haben, erwarten einige Marktbeobachter, dass sich die Renditen bald verbessern könnten. Weil ich prognosefrei arbeite, kann ich das nur hoffen. Zumindest gelten Small-Caps als Aktien, die grundsätzlich schnell und stark steigen können. Im Dezember 2023 hat mein Fonds mit den +9% gezeigt, dass das durchaus vorkommen kann.

Mein erklärtes Ziel, mittelfristig eine marktübliche Performance mit besonders nachhaltigen Investments zu erzielen, habe ich bisher erreicht. Anders ausgedrückt: Wenn man weltweit in Small-Caps investieren möchte, kann man das mit meinem Fonds besonders nachhaltig machen und sollte dabei keine Performancenachteile haben.


Werbung (Small Caps):

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


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