Archiv der Kategorie: Aktien

Green voting disaster illustration from Pixabay by Mabel Amber

Green voting disaster: Researchpost 215

Green voting disaster illustration from Pixabay by Mabel Amber

20x new research on biodiversity measures,climate catastrophes, hydrogen, brown tech, green and brown returns, green stamps, green reporting, GHG reporting issues, redundant ESG information, greenwashing definitions, green portfolio theory, governance scores, green ventures, green voting disaster, green fund deficit, fear, investment advice, alternatives and LLM overconfidence (#shows the number of full research paper downloads from SSRN as of Feb. 27th, 2025)

Social and ecological research

2 biodiversity measures: Species metrics by Imène Ben Rejeb-Mzah, Nathalie Jaubert, Alexandre Vincent, and Zakaria Ajerame as of February 20th, 2025 (#910): “This research paper investigates … two biodiversity measurements …: Rarity Weighted Richness (RWR) and Species Threat Abatement and Restoration (STAR). RWR measures the specific richness of an ecosystem by weighting species according to their rarity, emphasizing ecosystems rare species that are more vulnerable to environmental and human pressures. Conversely, STAR was designed to quantify the impact and contribution of actions to restore habitats and preserve rare and endangered species, as well as broader biodiversity …” (abstract).

Costly catastrophes: Going NUTS: the regional impact of extreme climate events over the medium term from the European Central Bank by Sehrish Usman, Guzmán González-Torres Fernández, and Miles Parker as of Dec. 11th, 2024 (#91): “.. the impact of an extreme event may not only persist but can also intensify over time … Overall, four years after the event, output is 1.4 percentage points lower in regions affected by a heatwave, and 2.4 percentage points lower in regions affected by a drought. … adaptation capital is less productive than other types of capital in aggregate, total factor productivity falls. Moreover, we document the falling population in affected regions. To the extent that these impacts are more likely to occur in certain countries, there may well be migratory pressures within Europe itself … We also find evidence that economic activity may be higher following an extreme climate event, although this appears to be restricted to just one case: floods occurring in high-income regions. The destruction of capital leads to a period of reconstruction, including higher output and TFP, suggesting these regions are able to “build back better” and upgrade their capital“ (p. 31/32).

Costly hydrogen: Hydrogen in Renewable-Intensive Energy Systems: Path to Becoming a Cost-Effective and Efficient Storage Solution by Chunzi Qu, Rasmus Noss Bang, Leif Kristoffer Sandal, and Stein Ivar Steinshamn as of Jan. 13th, 2025 (#20): “… reducing hydrogen costs to 12.5% of current levels and increasing round-trip efficiency to 70% could make it competitive. These are challenging targets but feasible given positive predictions on cost reduction and efficiency attainability currently. Hydrogen storage reduces total energy system costs by partly replacing lithium batteries to lower storage costs, due to its suitability for long-term storage, while increasing grid flexibility to lower transmission costs. Moreover, integrating hydrogen can decrease the share of nuclear and fossil fuels in the generation mix, reducing generation costs. Italy and Germany are identified as primary targets for hydrogen expansion in Europe. In scenarios of limited lithium supply, hydrogen becomes more competitive and essential to compensate for system storage capacity shortages, though it may not reduce total system costs” (abstract). My comment: No surprise that funds which have been relying heavily on hydrogen investments have had disappointing results so far.

ESG investment research (in: Green voting disaster)

Brown technology: ESG in Platform Markets by Stefan Buehler, Rachel Chen, Daniel Halbheer, and Helen S. Zeng as of Feb. 25th, 2025 (#17): “Platforms have radically transformed many markets. Initially perceived as the harbinger of a new economy, platforms today can no longer ignore their impact on the triple bottom line of profit, planet, and people …, as their adverse effects on the environment (e.g., massive energy consumption and carbon emissions) and society (e.g., misinformation, hate speech, discrimination, degradation of mental health, and privacy violations) become increasingly evident …. As a result, consumers, regulators, and even business leaders demand greater transparency along the environmental (E), social (S), and governance (G) pillars of a platform’s activities” (abstract). My comment: See why I do not invest in such patforms in my direct equity portfolios even though many ESG ETFs/funds are heavily invested in such stocks: Glorreiche 7: Sind sie unsozial? – Responsible Investment Research Blog

Indirect ETS effects: Pricing Pollution: Asset-Pricing Implications of the EU Emissions Trading System by Joop Huij, Philip Stork, Dries Laurs, and Remco C.J. Zwinkels as of Feb. 20th, 2025 (#48): “Our findings point towards a robust influence of carbon prices on stock prices starting from Phase II of the EU ETS in 2008. We find that the transmission of carbon prices to stock prices … also applies to non-European firms that are regulated to a lesser extent” (abtract).

Carbon market premium: Green and brown returns in a production economy from the European Central Bank by Ivan Jaccard, Thore Kockerols, and Yves Schüler as of Feb. 19th, 2025 (#27): “Using a sample of green and brown European firms, we initially demonstrate that green companies have outperformed brown ones in recent times. Subsequently, we develop a production economy model in which brown firms acquire permits to emit carbon into the atmosphere. We find that the presence of a well-functioning carbon market could account for the green equity premium observed in our data“ (abstract).

Green stamp premium: The Value of Being Green: Assessing the Impact of Green Bond Issuance on Stock Prices of European Listed Companies by Radoslaw Pietrzyk, Sylwia Frydrych, Paweł Węgrzyn, and Krzysztof Biegun as of Feb. 19th, 2025 (#22): “… generally, the issuance of green bonds does not result in a significant change in the stock prices of the issuing companies. … certified green bonds generally show a more favourable market perception with no significant change in stock prices. In contrast, non-certified green bonds are associated with a decline in the stock prices of the issuing companies“ (abstract).

Green reporting premium: Strategic Transparency: Impact of Early Sustainability Reporting on Financial Performance by Jose Antonio Muñiza, Charles Larkin, and Shaen Corbet as of Feb. 24th, 2025 (#7): “… by analysing a sample of 2,857 publicly traded companies in the United States … results show a clear financial advantage for firms reporting sustainability information, with those reporting before the Paris Agreement experiencing significantly stronger financial performance than their non-reporting counterparts” (abstract).

Dubious GHG accounting? Corporate Carbon Accounting: Current Practices and Opportunities for Research by Gunther Glenk as of Feb. 24th, 2025 (#43): “The common framework for determining and reporting corporate greenhouse gas (GHG) emissions today is the GHG Protocol. … Their design and implementation, however, often result in disclosures that obscure firms’ actual emissions and decarbonization progress“ (abstract).

Redundant ESG infos? From KPIs to ESG: Addressing Redundancy and Distortions in ESG Scores by Matteo Benuzzi, Özge Sahin, and Sandra Paterlini as of February 20th, 2025 (#11): “We investigate the construction of Environmental, Social, and Governance (ESG) scores, focusing on Refinitiv’s (acquired by the London Stock Exchange Group) methodology. We uncover critical challenges, including the inflation of correlations caused by missing data imputation and redundancy among Key Performance Indicators (KPIs). … we demonstrate imputing missing values with zeros distorts relationships between KPIs. … Our findings reveal that a small subset of KPIs can closely replicate Refinitiv’s pillar scores, highlighting that many of the 180 KPIs used are redundant”. My comment: The detailed data which are assembled for ESG-scores should be interesting for many responsible investors, independent of the aggregation method.

Greenwashing definitions: How to enforce ‘greenwashing’ in the financial sector? By Veerle Colaert and Florence De Houwer as of Feb. 24th, 2025 (#13): “National supervisors have … reported detecting only a limited number of instances of greenwashing, and formal enforcement decisions remain scarce. … We found that there is a plethora of definitions of “greenwashing” in the financial sector …. Those definitions differ in terms of their material scope of application (environmental claims versus any sustainability-related claims), their personal scope of application (certain financial market participants versus all market participants), the objective standard against which greenwashing should be measured (basic environmental or sustainability standards versus prior claims made by the greenwashing entity), the subjective state of the greenwasher (is “intent” relevant or not), the scope of resulting damage (consumer/investor detriment versus unfair competition), and the question whether greenbleaching is deemed an instance of greenwashing. None of those definitions are, however, legally binding” (abstract). My comment: I suggest to use activity-based net SDG-aligned revenues to find sustainable funds and greenwashing, see SDG-Umsätze: Die wichtigste Nachhaltigkeitskennzahl – Responsible Investment Research Blog

Green portfolio theory: Advancing sustainable portfolio selection: Insights from a structured literature review by Sofia Baiocco as of Feb. 19th, 2025 (#11): “The purpose of this paper is to rigorously analyze the current state of empirical research on sustainable portfolio selection … From an initial pool of 757 papers … we applied a six-step screening procedure resulting in a final sample of 44 high-quality articles addressing the topic. .. these papers revealed two main methodological streams: the first extends Markowitz’s (1952) portfolio selection theory by incorporating sustainability as an additional criterion; the second uses multi-criteria decision-making (MCDM) methodologies to balance returns, risks, and sustainability objectives. The prevalence of MCDM methods underscores their value in accommodating investor preferences … several challenges need to be addressed, including the inconsistency of ESG data, the complexity of calculation methodologies, and the risk of greenwashing, all of which can undermine portfolio performance and the applicability of these models” (abstract). My comment: I have made very good experiences with passive forecast-free allocations, see Das-Soehnholz-ESG-und-SDG-Portfoliobuch.pdf

Governance confusion: The G in ESG: How good are the governance ratings in ESG ratings? by Kornelia Fabisik as of Feb. 26th, 2025 (#37): “I examine the governance ratings’ ability to provide useful information to shareholders. My results not only suggest rather limited success in predicting relevant firm outcomes (such as financial-statement restatements, governance incidents, class action law suits, operating performance, firm value, stock returns, and credit ratings), but in the case of most raters, I identify multiple instances of counterintuitive results, that is, with the opposite direction of the effect” (abstract).

SDG and impact investment research

Green voting disaster: Voting Matters 2024 Are asset managers using their proxy votes for action on environmental and social issues? by Danielle Vrublevskis, Felix Nagrawala, and Lia Viasilikiotis from Share Action as of Feb. 18th, 2025: “Support for shareholder resolutions has hit an all-time low, driven by the voting behaviour of large US asset managers … Asset managers are not voting in line with commitments they have made to net-zero or as part of Climate Action 100+ … Asset managers are increasingly ignoring urgent environmental and social issues … Our first ever analysis of votes on management items shows asset managers fail to use these votes to hold some of the largest companies in the world accountable …” (p. 10/111). My comment: I now use this study to exclude ETF issuers and fund managers of the bottom half of the participants in this study, e.g. Blackrock.

Green venture premium? When does it pay to be green for startups? Sustainability signaling and venture funding by Markus Koenigsmarck, Martin Geissdoerfer, and Dirk Schiereck as of Feb. 24th, 2025 (#8): „… on a dataset of 27,000 startups … We find a robust U-shaped connection sustainability signaling and venture funding, with the most and least sustainable startups attracting more funding than their peers. This pattern is persistent for just-green and just-brown subsamples …” (abstract).

Missing green funds? Green Finances: Young Adults and Climate Change by Danielle Kent, William Beckwith, Syed Shah, and Robert Wood as of Dec. 4th, 2024 (#51): “… while the environment is very important to them, young adults struggle to believe their individual actions can make a difference. They want government and large corporations, particularly banks, to take more action towards sustainability. … Most participants wanted to adopt solar panels and electric vehicles, but the required investment was beyond their reach. Our findings highlight that more financial product innovations offering incremental sustainability investment opportunities, that do not require property ownership, are needed to reduce the financial hurdles to sustainability action for young people …” (abstract). My comment: Look at my fund (see “Werbung” below).

Other investment research (in: Green voting disaster)

Fear beats risk: Fear, Not Risk, Explains Asset Pricing by Rob Arnott and Edward F. McQuarrie as of Feb. 7th, 2025 (#816): “Risk theory has dominated the asset pricing literature since the 1960s. We chronicle empirical failures of risk theory in its prediction of the excess return on equities, to lay the groundwork for a complementary framework, investor-focused rather than asset-focused, and centered on fear rather than objective measures of risk. A fear premium puts fear of missing out on a par with fear of loss. Most anomalies and factors of the past half-century would have been expected, given a fear-based model for returns. The new paradigm is offered as a starting point to advance investment science” (abstract).

Convincing advice? Financial Advice and Investor Beliefs: Experimental Evidence on Active vs. Passive Strategies by Antoinette Schoar and Yang Sun as of Oct. 23rd, 2024 (#278): “… we test how retail investors assess and update their priors based on different types of financial advice, which either aligns with their priors or goes against it. We compare advice that emphasizes either the benefits of passive investment strategies (such as diversification and low fees) or active strategies (such as stock picking and market timing). We find that participants rate advice significantly higher when it aligns with their priors rather than contradicts them. But people update their beliefs about investment strategies in the direction of the advice they receive, independent of their priors. At the same time, there is significant heterogeneity based on the subjects‘ financial literacy. Financially more literate subjects positively update in response to seeing passive advice, but most do not update (and rate the advice negatively) when exposed to active advice. In contrast, financially less literate subjects are strongly influenced by both types of advice. Finally, we show that subjects rate the advice lower if the advisor is perceived to have misaligned incentives (the advisor in the video mentions receiving commission-based pay) compared to when it is more aligned (advisor receives flat fee)” (abstract). My comment: No wonder that it is very difficult to sell active funds whereas active ETFs are booming

Costly alternatives: What is the Future of Alternative Investing? by Richard M. Ennis as of Feb. 20th, 2025 (#347): “Alternative investments, or alts, cost too much to be a fixture of institutional investing. A diverse portfolio of alts costs at least 3% to 4% of asset value, annually. Institutional expense ratios are 1% to 3% of asset value, depending on the extent of their alts allocation. Alts bring extraordinary costs but ordinary returns — namely, those of the underlying equity and fixed income assets. Alts have had a significantly adverse impact on the performance of institutional investors since the GFC. Private market real estate and hedge funds have been standout under-performers. Agency problems and weak governance have helped sustain alts-investing. CIOs and consultant advisors, who develop and implement investment strategy, have an incentive to favor complex investment programs. They also design the benchmarks used to evaluate performance …” (abstract). My comment: Maybe private debt and private equity investments are not the best way to generate positive impact and risk-adjusted returns

LLM Overconfidence: How Much Should We Trust Large Language Model-Based Measures for Accounting and Finance Research? by Minji Yoo as of Nov. 4th, 2024 (#565): “Researchers often ask ChatGPT to provide confidence levels for its predictions, using these scores to measure the likelihood that a sample is correctly labeled. … Experiments using ChatGPT on financial sentiment analysis reveal a substantial 38–43% gap between average accuracy and self-reported confidence under popular prompts … a fine-tuning approach that retrieves probability estimates directly from the model nearly eliminates overconfidence … smaller, non-generative LLMs, such as RoBERTa, show no overconfidence and outperform prompted ChatGPT in both calibration and failure prediction when fine-tuned. Finally, this paper highlights how empirical analyses can be affected by the methods used to obtain confidence scores” (abstract).

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Werbung (in: Green voting disaster)

Unterstützen Sie meinen Researchblog, indem Sie in den von mir beratenen globalen Small-/Mid-Cap-Investmentfonds (siehe FutureVest Equity Sustainable Development Goals R) investieren und/oder ihn empfehlen.

Der Fonds konzentriert sich auf die UN-Ziele für nachhaltige Entwicklung mit durchschnittlich einzigartig hohen 99% SDG-vereinbaren Umsätzen der Portfoliounternehmen und sehr hohen E-, S- und G-Best-in-Universe-Scores sowie einem besonders umfangreichen Aktionärsengagement bei derzeit 28 von 30 Unternehmen (siehe auch My fund).

Zum Vergleich: Ein Gesundheits-ETF hat eine netto SDG-Umsatzvereinbarkeit von 7%,  Artikel 9 Fonds haben 21%, Impactfonds 38% und ein ETF für erneuerbare Energien 43% (vgl. SDG-Umsätze: Die wichtigste Nachhaltigkeitskennzahl – Responsible Investment Research Blog).

Insgesamt hat der von mir beratene Fonds seit der Auflage im August 2021 eine ähnliche Performance wie durchschnittliche globale Small- und Midcapfonds (vgl. z.B. Fonds-Portfolio: Mein Fonds | CAPinside und Globale Small-Caps: Faire Benchmark für meinen Artikel 9 Fonds?).

Ein Fondsinvestment war also bisher ein „Free Lunch“ in Bezug auf Nachhaltigkeit: Ein besonders konsequent nachhaltiges Portfolio mit marktüblichen Renditen und (eher niedrigeren) Risiken. Vergangene Performance ist allerdings kein guter Indikator für künftige Performance.

Illustration ESG-DNA from Pixabay by Elias Schaeferle

ESG-DNA: Researchpost 214

ESG-DNA illustration from Pixabay by Elias Schäferle

11x new research on digital aid, cheap housing, ESG-DNA, climate returns, climate education, greenwashing, ESG scores, brown loans, alpha illusion, skew return, hedgefund illusion (# shows the number of SSRN full paper downloads as of Feb. 20th, 2025)

Social and ecological research

Effective digital aid: Can Digital Aid Deliver During Humanitarian Crises? By Michael Callen, Miguel Fajardo-Steinhäuser, Michael Findley, and Tarek Ghani as of January 31st, 2025 (#26): “… partnering directly with governments is often neither feasible nor desirable … We experimentally evaluated digital payments to extremely poor, female-headed households in Afghanistan, as part of a partnership between community, nonprofit, and private organizations. The payments led to substantial improvements in food security and mental well-being. Despite beneficiaries’ limited tech literacy, 99.75% used the payments, and stringent checks revealed no evidence of diversion. … Delivery costs are under 7 cents per dollar, which is 10 cents per dollar less than the World Food Programme’s global figure for cash-based transfers. These savings can help reduce hunger without additional resources …” (abstract).

Profitable cheap housing: An Alpha in Affordable Housing? by Sven Damen, Matthijs Korevaar, and Stijn Van Nieuwerburgh as of Jan. 31st, 2025 (#175): “Residential properties with the lowest rent levels provide the highest investment returns to their owners. Using detailed rent, cost, and price data from the United States, Belgium, and The Netherlands, we show that this phenomenon holds across housing markets and time. If anything, low-rent units hedge business cycle risk. We also find no evidence for differential regulatory risk exposure. We document segmentation of investors, with large corporate landlords shying away from the low-tier segment possibly for reputational reasons. Financial constraints prevent renters from purchasing their property and medium-sized landlords from scaling up, sustaining excess risk-adjusted returns. Low-income tenants ultimately pay the price for this segmentation in the form of a high rent burden”. My comment:  Highly regulated and transparent residential affordable housing REITs with high new building activities could be attractive for investors and hopefully low-income tenants as well.

ESG investment research (in: ESG-DNA)

Little ESG-DNA? Responsible Investment Funds and their Management Companies’ Emphasis on ESG Performance: First Priority or Icing on the Cake? by Huiqiong Tang, Bart Frijns, Aaron Gilbert, and Ayesha Scott as of Sept. 29th, 2024 (#37): “… Using a comprehensive dataset of US domestic equity Responsible Investment Funds (RIFs) over the period 2005 to 2020, we find that improvements in fund-level ESG scores is … promptly sacrificed if the fund suffers outflows. We also find that RIFs managed by FMCs with either the lowest (≤20%) or the highest (>80%) ESG exposure levels are more likely to put extra effort toward enhancing funds’ ESG scores. Additionally, we observe that investors who choose FMCs with the highest ESG exposure level are less sensitive to financial returns when considering ESG performance” (abstract). My comment: My analysis of thousands of mutual funds show that my fund has one of the highest ESG-scores in addition to the highest SDG-aligned revenues based on Clarity.ai data from January 2025 (see SDG-Umsätze: Die wichtigste Nachhaltigkeitskennzahl – Responsible Investment Research Blog)

Climate risk returns: Do investors price physical climate risk? An analysis of weather-related power outages across the United States by Mert Demir, Cem O. Karatas, and Terrence F. Martell as of Feb. 13th, 2025 (#30): “…public attention to climate change in creases significantly after weather-related power outages, and this heightened awareness is mirrored by investors, as these risks are considered material and reflected in stock returns. Specifically, our findings show that firms in states with greater exposure to physical climate risks experience higher stock returns … We also show that the impact of physical climate risk on stock returns can be mitigated through proactive climate risk assessment models and effective response strategies. … We also observe a higher return premium compensating investors for the physical climate risk in states where climate change may be perceived as a lower priority on the agenda“ (p. 41/42).

Climate-education deficit: The Role of Information Provision for Sustainable Investing by Jennifer Brunne as of Oct. 2nd, 2024 (#30): “In a sequential discrete choice experiment, potential investors need to decide between a sustainable and unsustainable investment with either low, medium or high returns. Individuals … receive either additional unspecific or specific information on the climate consequences of investment decisions. … The main study was conducted for a representative US sample …” (N=1003; abstract). “… The results suggest that specific information exerts a bigger impact on the investment decision, especially when provided in webpage or text format with the latter requiring some initiative to gather information. … the impact is larger the higher climate values and climate concerns. Providing accompanying information to those already interested in sustainable investment might thus be most effective in achieving climate policy goals via an increased demand for sustainable investments” (p. 38/39). My comment: I provide detailed information with my monthly reports see FutureVest Equity Sustainable Development Goals

Greenwashing damages: When green turns red: Is the perception of greenwashing a barrier to individual green investment? By Syrine Gacem, Fabrice Hervé, and Sylvain Marsat as of Feb. 14th, 2025 (#14): “… Based on a survey of 2,215 French investors … Our findings reveal that greenwashing perception acts as a significant barrier to green investing, discouraging conventional investors from considering green funds as attractive options, and dissuading existing green investors from increasing their green investments. … we also find an asymmetrical effect … whereas low perceptions have no positive impact“ (abstract).

ESG score differences: Do ESG Scores Explain ESG Controversies? By Robert Stewart as of Feb. 19th, 2025 (#6): “… The study uses ESG ratings from Bloomberg, Refinitiv, and Sustainalytics, and ESG controversy scores from Refinitiv and Sustainalytics on a sample of S&P 500 companies between 2018 and 2022. Sustainalytics’ ESG scores demonstrate consistent statistical significance in explaining ESG controversies while Bloomberg’s and Refinitiv’s ESG scores show weak explanatory power with some unintuitive association. The ESG methodology of the three raters are examined to determine potential sources of the differences in efficacy with the intent that ESG ratings that better explain ESG controversies may be used to inform better ESG rating design“ (abstract). … “Sustainalytics measures a risk score (unmanaged ESG risk) while Bloomberg and Refintiv measure a more generalized metric. Bloomberg’s ESG scores measure ESG management, and Refinitiv’s ESG scores measure ESG performance, commitment, and effectiveness” (p. 21).

SDG investment research

Hot loans: Financing the Transition? Taking the Temperature of European Banks’ Corporate Loan Books from the European Banking Authority by Raffaele Passaro, Benno Schumacher, Jacopo Pellegrino, Hannah Helmke and Elnaz Roshan as of Dec. 2nd, 2024 (#48): “… the average implied temperature rise of banks’ (non-SME) corporate loan portfolios ranges between 3.7°C and 4.1°C …. While we observe some heterogeneity across banks, none of them is on a pathway compatible with the agreed target. Additionally, we show that the implied temperature rise as per our methodology can also serve as proxy for transition risk, thereby combining the twofold objective from a double materiality perspective in a single metric” (abstract). My comment: I do not invest in bank stocks, my only direct financial services investment is HASI. My more detailed comment see Neues Research: Banken mit sehr hohen Klimarisiken | CAPinside

Other investment research (in: ESG-DNA)

Alpha-illusion? Out-of-Sample Alphas Post-Publication by Andrei S. Gocalves, Johnathan A. Loudis, and Richard E. Ogden as of Feb. 12th, 2025 (#141): “Anomaly strategies generate positive and significant CAPM alphas post-publication. Existing explanations include non-market risks, trading costs, and investment frictions. This paper introduces a complementary and novel channel: when a new anomaly strategy is published, investors face uncertainty in identifying the optimal weight to allocate to the anomaly in order to achieve a positive alpha post-publication, making the strategy less appealing. Empirically, we find that the average post-publication alpha of anomaly strategies is close to zero when optimal weights are estimated out-of-sample using pre-publication data. … Conceptually, this suggests investors have little incentive to add a new anomaly strategy to their portfolios.” (abstract).

Skew return: A Skew is a Skill: Portfolio Skewness of Mutual Fund Holdings by Jo Drienko, Chao Gao, and Yifei Liu as of Sept.28th, 2024 (#268): “The return cross-section of a mutual fund’s portfolio holdings is positively skewed on average. At the fund level, portfolio skewness varies substantially across funds yet is highly persistent over time. We show that actively managed mutual funds with high portfolio skewness outperform funds with low portfolio skewness by 2.88% ($7.35 million) on an annualized basis. This association becomes stronger amid more investment opportunities in the market. Further stock-level analyses reveal that shares added or tilted to by high skewness funds relative to low skewness funds significantly outperform their counterparts, pointing to stock selection skill as an explanation for both the portfolio skewness and its predictability of fund performance” (abstract).

Hedgefund underperformance: Active versus passive investment strategy and market outperformance: Are hedge funds overrated? by Julius Felix Thomas Pauli and Agnieszka Gehringer as of Feb. 11th, 2025 (#48): “Our results show evidence of a missing outperformance of the analyzed sample of over 3,000 hedge funds. Accordingly, and given the low observed market risk coefficient of these funds, their primary use should be to optimize the risk-return structure of a portfolio rather than relying on their individual returns”. My comment: The article argues in favor of funds of hedge fund investments without sufficiently addressing the volatility smoothing and significant direct and indirect costs and illiquidity risks.

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Werbung (in: ESG-DNA)

Unterstützen Sie meinen Researchblog, indem Sie in den von mir beratenen globalen Small-/Mid-Cap-Investmentfonds (siehe FutureVest Equity Sustainable Development Goals R) investieren und/oder ihn empfehlen.

Der Fonds konzentriert sich auf die UN-Ziele für nachhaltige Entwicklung mit durchschnittlich einzigartig hohen 99% SDG-vereinbaren Umsätzen der Portfoliounternehmen und sehr hohen E-, S- und G-Best-in-Universe-Scores sowie einem besonders umfangreichen Aktionärsengagement bei derzeit 28 von 30 Unternehmen (siehe auch My fund).

Zum Vergleich: Ein traditionelle globaler Small-Cap-ETF hat eine SDG-Umsatzvereinbarkeit von 20%, für einen Gesundheits-ETF beträgt diese 7% und für einen ETF für erneuerbare Energien 43%.

Insgesamt hat der von mir beratene Fonds seit der Auflage im August 2021 eine ähnliche Performance wie durchschnittliche globale Small- und Midcapfonds (vgl. z.B. Fonds-Portfolio: Mein Fonds | CAPinside und Globale Small-Caps: Faire Benchmark für meinen Artikel 9 Fonds?).

Ein Fondsinvestment war also bisher ein „Free Lunch“ in Bezug auf Nachhaltigkeit: Ein besonders konsequent nachhaltiges Portfolio mit marktüblichen Renditen und (eher niedrigeren) Risiken. Vergangene Performance ist allerdings kein guter Indikator für künftige Performance.

SDG-Umsätze: Illustration von Pixabay von Joshua Miranda

SDG-Umsätze: Die wichtigste Nachhaltigkeitskennzahl

SDG-Umsätze: Attraktive Nachhaltigkeitskennzahl und neue SDG-Vereinbarkeitsdaten für Aktien, ETFs und aktive Investmentfonds mit einer Illustration von Pixabay von Joshua Miranda

Seltsame angeblich nachhaltige Unternehmen: Berechtigte ESG-Kritik

Meiner Meinung nach ist das größte Problem sogenannter nachhaltiger Fonds, dass sie Wertpapiere enthalten, die für viele potenzielle Interessenten nicht nachhaltig sind. Laut Morningstar ist zum Beispiel Iberdrola aus Spanien in den Top 20 vertreten (vgl. „Diese 8 Aktien sind in globalen Nachhaltigkeitsfonds weit verbreitet“ von Morningstar.de vom 29.1.2025). Iberdrola erwirtschaftet aber einen nennenswerten Teil seiner Umsätze mit Gas und Atomenergie. Und Aptiv PLC ist ein traditioneller Automobilzulieferer und auch TE Connectivity gehört zu den Top 20: „Der Konzern entwickelt, fertigt und vermarktet Produkte für Kunden im Automobilsektor sowie im Bereich Luft- und Raumfahrt, Verteidigungssysteme, Telekommunikation, Computer und Unterhaltungselektronik“ (Wikipedia-Abruf vom 16.2.2025). Zu den Top 20 gehört auch Trane Technologies: “… focused on heating, ventilation, and air conditioning (HVAC) and refrigeration systems” (Wikipedia-Abruf vom 16.2.2025).

HQ Trust hat vor kurzem eine Analyse veröffentlicht, nach der bei sogenannten Klimafonds NVIDIA, Microsoft, Apple, Alphabet, Meta, und Amazon besonders häufig hoch allokiert werden (vgl. Hannah Dudeck in Das Investment vom 4.2.2025: Welche Aktien in Klimafonds hoch gewichtet sind). Diese Unternehmen verbrauchen sehr viel Energie und Wasser. Auch das Halbleiterunternehmen Broadcom und Pharmaunternehmen Eli Lilly gehören oft zu den Top Ten solcher Fonds.

Diese Unternehmen haben meistens gute oder sogar sehr gute ESG-Ratings. Das zeigt aber nur, dass sie in Bezug auf ihre Wettbewerber aus derselben Branche relativ (Best-in-Class) ökologisch, sozial und mit guter Unternehmensführung arbeiten. Best-in-Universe ESG-Scores, bei denen ein Vergleich mit allen gerateten Unternehmen erfolgt, werden dagegen selten veröffentlicht. Außerdem kann auch ein Unternehmen, das im Vergleich zu allen anderen Aktien gute ESG-Scores hat, Produkte und Services anbieten, die nicht besonders nachhaltig erscheinen, weil sich die Scores vor allem auf die Prozesse der Unternehmen beziehen.

Gute Zusatzkennzahl verfügbar: SDG-Umsätze

Zusätzlich kann man schätzen bzw. messen, wie gut Unternehmen mit den nachhaltigen Entwicklungszielen der Vereinten Nationen vereinbar sind. Dafür kann man klassische Branchenkategorisierungen nutzen. Danach wären zum Beispiel alle Unternehmen mit dem Fokus Erneuerbare Energien oder Gesundheit komplett SDG-kompatibel. Seit einigen Jahren bieten Nachhaltigkeitsdatenanbieter aber detailliertere Beurteilungen an (vgl. dazu zum Beispiel SDG-Wirkungsmessung – ein Update zu Datenanbietern und deren Methodik von der DVFA vom Oktober 2023).

Dabei sollte man zwischen SDG-Scores und SDG-vereinbaren Umsätzen und -Investments unterscheiden. SDG-Scores umfassen oft viele Elemente von ESG-Scores wie zum Beispiel Strom- und Wasserbrauch oder Diversitätskennzahlen. Aber auch Unternehmen mit guten SDG-Scores können nicht-nachhaltige Produkte und Services anbieten. SDG-vereinbare Umsätze sind deshalb eine hilfreichere Kennzahl. Auch SDG-vereinbare Investitionen können genutzt werden, um Unternehmen zu finden, die aktuell noch relativ geringe SDG-vereinbare Umsätze haben, aber bei denen sich das durch solche Investitionen künftig ändern sollte.

+100% oder -20% bei unterschiedlichen Definitionen der SDG-Umsätze

SDG-vereinbare Umsätze werden bereits von einigen Praktikern genutzt. Anleger müssen dabei auf mindestens zwei Aspekte achten: Wird eine unternehmensbezogene oder eine aktivitätsbasierte Bestimmung genutzt und werden Netto- oder Brutto-Umsätze verwendet. Bei der unternehmensbezogenen Methode („entity based“) wird ein Unternehmen mit Umsätzen oberhalb des selbst festgelegten Mindestwertes von zum Beispiel 30% als komplett SDG-vereinbar eingeschätzt. So wird ein Anbieter mit 60% Umsätzen mit fossiler Energie und 40% Umsätzen mit erneuerbarer Energie als 100% SDG-kompatibel klassifiziert.

Wenn nur der positive „Brutto-„SDG-vereinbare Umsatz betrachtet wird, kommt dasselbe Unternehmen auf 40% SDG-kompatible Umsätze. Bei der „Netto-„SDG-Vereinbarkeits-Umsatzbetrachtung ergeben dagegen 40% erneuerbare (positive) und 60% fossile (negative) Umsätze „netto“ -20% SDG-vereinbare Umsätze.

Auch bei Anwendern der strengen Netto-Aktivitätsmethode kann es noch große Unterschiede geben. In der einfachen Variante werden zum Beispiel alle komplett auf Gesundheit oder erneuerbare Energien fokussierten Unternehmen als zu 100% SDG-kompatibel klassifiziert. Andere Anbieter schränken die Anrechnung aber ein, zum Beispiel nur in Bezug auf bestimmte Regionen, vor allem Entwicklungsländer, ober bestimmte Gesundheitsanwendungen wie zum Beispiel nur die schwersten Krankheiten.  

Der von mir genutzte Datenanbieter Clarity.ai zum Beispiel weist mit einem solchen strengen Ansatz für einen diversifizierten Gesundheits-ETF nur 7 % und für einen breit gestreuten ETF für erneuerbare Energien 43 % aktivitätsbasierte SDG Netto-Umsatzvereinbarkeit aus.

Die von diesem Datenanbieter als SDG-kompatibel klassifizierten Unternehmen sind auch von Laien anhand einfacher Analysen der Umsätze dieser Unternehmen sehr gut nachvollziehbar. Für (prozessorientierte) SDG- und ESG-Scores gilt das leider nicht, weil sie sich oft aus Dutzenden von nicht einfach nachvollziehbaren Informationen zusammensetzen.

Ein weiterer Vorteil der Kennzahl SDG-vereinbare Umsätze ist, dass diese nicht nur grüne, sondern auch soziale Umsätze umfasst, die bisher regulatorisch nicht ausreichend definiert sind und deshalb in vielen Nachhaltigkeitsfonds unterrepräsentiert sind. Deshalb ist (aktivitätsbasierter Netto-) SDG-Umsatz eine Kennzahl, die nicht nur für Produkteinschätzungen, sondern auch für Regulierungszwecke gut geeignet ist.

Anleger sollten ESG-Scores und SDG-Umsätze gemeinsam nutzen

Allerdings sollten ESG-Scores (oder SDG Scores) auch eine wichtige Rolle spielen, denn ein Wasserstoff-Spezialist oder ein Elektroautobauer wie Tesla mit schlechten Sozialscores sind keine umfassend nachhaltigen Investments.

Wenn für Anleger zusätzlich noch Ausschlüsse oder Shareholder-Engagement eine Rolle spielen müssen sie entscheiden, wie sie die einzelnen Nachhaltigkeitskriterien kombinieren bzw. gewichten wollen. Dazu hat die Deutsche Vereinigung für Finanzanalyse und Assetmanagement schon vor einigen Jahren ein kostenloses Tool veröffentlicht, das kürzlich aktualisiert wurde (vgl. 18 Dimensionen nachhaltiger Anlagepolitik vom 8. November 2024 und ein aktuelles Anwendungsbeispiel hier Absolut_Report_Spezial_2024_06_DVFA_Anforderung.pdf).

Ich nutze die einzelnen Elemente für direkte Aktieninvestments so: Viele 100% Ausschlüsse, relativ hohe separate Best-in-Universe Umwelt-, Sozial und Governancescore-Anforderungen und möglichst hohe aktivitätsbasierte netto SDG-Umsätze. Außerdem sollten die Unternehmen möglichst positiv auf mein Shareholder Engagement reagieren (zu den Begründungen und Details vgl. Nachhaltigkeitsinvestmentpolitik_der_Soehnholz_Asset_Management_GmbH)).

Es bleiben genug Diversifikationsmöglichkeiten übrig

Vielfach wird kritisiert, dass zu hohe Nachhaltigkeitsanforderungen die mögliche Diversifikation von Portfolios beschränken würden und deshalb zu riskanteren Portfolios führen würden. Sicher ist, dass jede Art von Anlagebeschränkung das Investmentuniversum reduziert. Weniger Aktien im Portfolio zu haben ist aber nicht gleichbedeutend mit mehr Risiko. So gilt die aktuell hohe Gewichtung von Technologie- und US-Aktien in Weltaktienindizes, die sehr viele Wertpapiere enthalten, als ziemlich riskant. Außerdem ist der Grenznutzen von Diversifikation typischerweise sehr gering: Zusätzlich Aktien bringen diversifizierten Portfolios wenig zusätzliche Risikosenkungen.

Hinzu kommt, dass eine Beschränkung auf Aktien mit geringen Umwelt-, Sozial- und Umweltrisiken tendenziell Gesamtrisiko-senkend und nicht Risiko-erhöhend ist. Außerdem lässt sich gut argumentieren, dass Investments in Unternehmen, die gut mit den nachhaltigen Zielen der Vereinten Nationen vereinbar sind, zumindest mittel- bis langfristig gute Renditen haben sollten. Dagegen sollten künftig immer weniger Käufer bzw. verfügbare Investments für SDG-schädliche Unternehmen bereitstehen, was deren Renditeaussichten erheblich reduzieren kann. 

Dutzende von Aktien aber nur wenige SDG-aligned ETFs oder aktive Investmentfonds

Aus über dreissigtausend Aktien mit ausreichenden Nachhaltigkeitsdaten sind nach Anwendung meiner strengen Nachhaltigkeitsanforderungen noch ungefähr 150 mit mindestens 50% netto-SDG Umsatzvereinbarkeit übrig. Davon haben etwas mehr als die Hälfte über 90% SDG-Umsatz. Aus diesen bilde ich ein Portfolio aus 30 Aktien unterschiedlicher Branchen und Länder mit inzwischen 99% SDG-Umsatzvereinbarkeit. Weil (SDG-)spezialisierte Unternehmen eher klein sind, ist die durchschnittliche Kapitalisierung ähnlich wie die von Small- bzw. MidCap-Unternehmen. In den letzten Jahren wurde damit eine ähnliche Rendite wie die von traditionellen Sammle-/MidCap-Unternehmen bei erheblich niedrigerer Schwankung erreicht.

Wenn man meine Ausschlusskriterien ändert, zum Beispiel Tierversuche und genetisch modifizierte Organismen zulässt, erfüllen auch einige Großunternehmen meine Nachhaltigkeitsanforderungen.

In einer Studie von Clarity.ai vom Dezember 2024 (s. SDG Revenue Alignment: Bringing Clarity to Impact Investing | Clarity AI) wird auf Basis von deren ziemlich strikten SDG-Umsatzberechnungen festgestellt, dass Artikel 9 Fonds im Schnitt nur eine SDG-Umsatzvereinbarkeit von 21% haben während es bei Impactfonds immerhin 48% sind (siehe Figure 3). Die von Clarity berechneten regulatorisch definierten Sustainable Investment Quoten liegen mit 82% bei Artikel 9 Fonds bzw. 70% bei Impactfonds dagegen erheblich höher (s. Figure 4).

Konkreter wird es mit der von der Soehnholz ESG im Januar 2025 durchgeführten Analyse auf Basis von Daten von Clarity.ai (zu einer früheren unvollständigen Analyse siehe Impactfonds im Nachhaltigkeitsvergleich). Die Datenbasis umfasst knapp fünfhunderttausend Fondstranchen. Davon sind geschätzt ungefähr die Hälfte Tranchen von Aktienfonds, die vermutlich in Deutschland erworben werden können. Etwa fünfzehntausend Tranchen (5,5% der Aktienfonds) bzw. 2.400 Fonds inklusive etwa 150 ETFs haben eine netto SDG-Umsatzvereinbarkeit von mindestens 25%. Circa 3.500 Tranchen bzw. 600 Fonds haben eine netto SDG-Umsatzvereinbarkeit von mindestens 50% (1,3% der Aktienfonds).

Von den Fonds mit mindestens 25% SDG-Umsatzvereinbarkeit haben 96% einen Best-in-Universe ESG Score (eigene Definition auf Basis von Daten von Clarity.ai) von mindestens 50 und 74% mindestens 60. Es gibt allerdings nur 42 Fonds mit einem ESG-Score von 70 oder mehr (2%).

Maximal 95% SDG-Vereinbarkeit oder ein ESG Score von 72

Der höchste Best-in-Universe ESG-Score ist 72. Dabei handelt es sich um einen Fonds mit Investments in Schweizer Aktien. Die anderen Top-Fonds sind fast ausschließlich Gesundheitsfonds. Der ESG-beste diversifizierte Fonds ist der Sycomore Social Impact Fonds mit einem ESG-Score von 71. Dieser Fonds hat einen SDG-Umsatz von 29%.

Nach SDG-Umsatz geordnet gibt es nur zwei Fonds mit 95% (oder mehr) SDG-Umsatzanteil. Neben dem von mir beratenen FutureVest Equity Sustainable Development Goals ist das der Rhenman Healthcare Equities Hedgefonds. Fünf Fonds haben 90% SDG-Umsatzvereinbarkeit oder mehr und für knapp 60 Fonds wird eine SDG-Umsatzvereinbarkeit von 80% oder mehr ausgewiesen.

Bei einem Gleichgewicht von ESG- und SDG-Kriterien liegt der FutureVest Equities SDG mit 82,5 an erster Stelle vor dem Hedgefonds von Rhenman mit 79. Nur knapp über 100 Fonds erreichen 70 und mehr und der Median der ungefähr 2.000 Fonds liegt bei 48,5 (Mittelwert 51).

Aus den nachhaltigsten ETFs bzw. aktiven Fonds stelle ich diversifizierte Portfolios mit aktivitätsbasierten Netto-SDG Umsatzvereinbarkeiten von über 70% und hohen ESG-Best-in-Universe Scores zusammen. Für das SDG ETF-Portfolio 2025 nutze ich 12 (Themen-) ETFs mit einer SDG-Umsatzvereinbarkeit von insgesamt knapp 80%. Bei dem in Bezug auf die zugrunde liegenden Wertpapiere etwas stärker diversifizierten Portfolio aus aktiv gemanagten Fonds sind es insgesamt 70% SDG-Vereinbarkeit.

Die auf besonders gute ESG-Scores statt auf SDG fokussieren Portfolios aus aktiven Fonds erreichen dagegen nur etwas über 40% SDG-Vereinbarkeit und die entsprechenden ETF-Portfolios liegen sogar bei unter 20%.

Die ESG-Scores der unterschiedlichen Portfolios, auch die der SDG-Portfolios, liegen dagegen wesentlich näher zusammen. 

Vereinfachend zusammengefasst haben auch diese Portfolios in der Vergangenheit ähnliche Performances wie traditionelle Vergleichsportfolios erreicht.

Zusammenfassung und Ausblick: Nachhaltigere Fonds und bessere Regulierung?

Konsequent nachhaltige Investments sollten niedrige ESG-Risiken haben. Für an nachhaltigen Investments interessierte Anleger können zudem (aktivitätsbasierte) SDG-vereinbare (Netto-)Umsätze eine sehr wichtige weitere Kennzahl sein. Der Hauptvorteil: Diese Kennzahl ist relativ einfach verständlich und nachvollziehbar und kann somit Green- und Sozialwashing viel einfacher erkennbar machen.

Bisher gibt es aber erst wenige Fonds bzw. ETFs, die diese Kennzahl ausweisen und sehr wenige, die hohe Netto-SDG Vereinbarkeiten haben.

ESG-Scores, Principal Adverse Indicators, Do-No-Significant-Harm-Kriterien und Sustainable Investment Quoten sind oft nur aufwändig zu berechnen oder schwer nachzuvollziehen. Mindestquoten von Netto-SDG-vereinbaren Umsätzen und/oder Kapitalinvestitionen sind eine viel bessere Basis für die Selektion von nachhaltgien Investments und auch die Regulierung von Nachhaltigkeitsinvestments.

Biodiversity investment illustration from Pixabay by Clkr-Free Vector Images

Biodiversity investment: Researchpost 213

Biodiversity investment illustration from Pixabay by Clkr-Free Vector Images

9x new research on slow Green Deal progress, (too big?) brown banks, green robo investing, performant decarbonization, biodiversity investment growth, greening suppliers, pseudo-optimal portfolios, and 2x investment AI (#shows the number of SSRN full document downloads as of Feb. 12th, 2025)

Social and ecological research

Slow Green Deal? Delivering the EU Green Deal – Progress towards targets by Marelli Luisa et al. from the European Commission as of Feb. 5th, 2025: “This report provides a comprehensive assessment of progress towards the European Green Deal (EGD), the European Union’s transformative agenda for achieving climate neutrality by 2050. The analysis encompasses 154 quantifiable targets from 44 policy documents between 2019 and 2024 across key sectors such as climate, energy, circular economy, transport, agriculture and food, ecosystems and biodiversity, water, soil and air pollution. … As of mid-2024, 32 of the 154 targets are currently “on track” and 64 are identified as “acceleration needed” meaning that more progress is needed to meet the targets on time. Furthermore, 15 of the targets are found to be “not progressing” or “regressing”, and for 43 of the targets no data is currently available” (abstract).

Big brown banks: Too-big-to-strand? Bond versus bank financing in the transition to a low-carbon economy by Winta Beyene, Manthos D. Delis, and Steven Ongena as of Nov. 7th, 2024 (#162): “… fossil fuel firms with more stranded asset risk rely less on bond finance and more on bank credit. Investors in the bond market price the risk that reserves held by fossil fuel firms will strand, while banks in the syndicated loan market do not. … Bigger banks provide cheaper and more financing to fossil fuel firms, possibly giving rise to a novel “too-big-to-strand” concern for banking regulators“ (abstract).

ESG investment research (in: Biodiversity investment)

Green robo investing? Nudging Investors towards Sustainability: A Field Experiment with a Robo-Advisor by Lars Hornuf, Christoph Merkle, and Stefan Zeisberger as of Jan. 29th, 2025 (#84): “In a field experiment with robo-advisor clients, we explore how default investment options shape sustainable investments choices. Setting sustainable investing as the default significantly increases adoption, with 36% of investors selecting it, compared to just 23% when conventional investing is the default. A follow-up survey reveals stark differences in expectations: most conventional investors believe that their choice offers higher returns and a better risk-return trade-off, while sustainable investors are confident that their portfolios will outperform. … the strong focus on financial returns suggests that investors remain reluctant to forgo substantial gains for sustainability in real-world scenarios” (abstract).

Performant decarbonization: Performance and Challenges of Net-Zero Strategies in the Context of the EU Regulation by Fabio Alessandrini, Eric Jondeau, and Lou-Salomé Vallée as of Sept. 3rd, 2024 (#75): “… an NZ strategy that meets most of the EUSFD Regulation requirements can be implemented at a moderate cost …. The CTB would have resulted in a tracking error of approximately 0.6 0.8% per year, while the PAB would have been more costly, with a tracking error closer to 1.7-1.8% per year. … While tracking error minimization results in a lower ex-post tracking error … Some securities may become substantially overweighted, potentially raising concerns about a lack of liquidity for these securities. … PAB does not suffer from the exclusion of the energy sector in terms of risk-adjusted performance. The Sharpe ratio of the PAB is higher than that of the CTB across all strategies we considered …“ (p. 31). My comment: The authors mention that the results may be influenced by the data (2012-2021).

SDG investment research

Biodiversity investment growth: Current Trends and Projections in Biodiversity Finance by Zannatus Saba as of Feb. 7th, 2025 (#16): “This chapter delves into the dynamic field of biodiversity finance, outlining key trends and future projections. It highlights the proliferation of specialized investment funds dedicated to biodiversity conservation, the integration of biodiversity considerations into Environmental, Social, and Governance (ESG) criteria, and the development of innovative financial mechanisms such as blended finance, green bonds, and nature bonds. The chapter explores how corporations are increasingly embedding biodiversity considerations into their strategic frameworks and examines the expanding roles of both the public and private sectors in driving investments. Looking forward, it projects a heightened emphasis on nature-based solutions, the evolution of regulatory landscapes, technological advancements in biodiversity monitoring, and enhanced methodologies for impact measurement. These insights underscore the critical necessity for effective biodiversity finance mechanisms to address the global biodiversity crisis and promote sustainable conservation practices. Additionally, the chapter underscores the growing practice of integrating biodiversity into financial decision-making and the development of biodiversity-sensitive financial products. Through relevant case studies, the chapter illustrates the implications for investors, corporations, and policymakers, advocating for the alignment of financial strategies with biodiversity objectives to ensure long-term environmental resilience. This nuanced exploration of current trends and future projections in biodiversity finance provides a comprehensive framework for understanding the multifaceted interactions between finance and biodiversity conservation, emphasizing the urgent need for robust financial solutions to safeguard our planet’s biodiversity“ (abstract) “ (abstract).

Supply decarbonization: Greening the Supply Chain: Financial Tools to Catalyze Decarbonization by Small Businesses (#10) by Kyle J. Blasinsky as of Feb. 10th, 2025: “… small- and medium-sized enterprises (“SMEs”) … aggregate emissions … account for half of all emissions in the United States annually. … many SMEs express interest in decarbonization, but they often cite insufficient capital and expertise as central barriers to these efforts. … this Article proposes integrating energy savings performance contracts (“ESPCs”) into large firms’ supply chains … ESPCs allow firms to invest in energy efficiency upgrades with an experienced energy services company that oversees the project and accesses financing by guaranteeing savings from those upgrades. …” (abstract). My comment: This is a good idea for shareholder engagement, see Supplier engagement – Opinion post #211 – Responsible Investment Research Blog

Other investment research (in: Biodiversity investment)

Pseudo-optimal portfolios: Low Risk, High Variability: Practical Guide for Portfolio Construction by Antonello Cirulli, Gianluca De Nard, Joshua Traut, and Patrick Walter as of January 20th, 2025 (#306): “This paper explores how various portfolio construction choices influence the performance of low-risk portfolios. We show that methodological decisions critically influence portfolio outcomes, causing substantial dispersion in performance metrics across weighting schemes and risk estimators. This can only be marginally mitigated by incorporating constraints such as short-sale restrictions and size or price filters. … Transaction costs are found to significantly affect performance and are vitally important in identifying the most attractive portfolios … ” (abstract). My comment: I use equal weighted portfolios with yearly rebalancing which typically perform well (for pseudo-optimization see e.g.  Kann institutionelles Investment Consulting digitalisiert werden? Beispiele)

Investment AI: Generative AI and Investor Processing of Financial Information by Elizabeth Blankespoor, Joe Croom and Stephanie Grant as of Dec. 13th, 2024 (#249): “… Our survey of 2,175 retail investors, complemented by an analysis of 40,000 investor questions posed to a GenAI chatbot … we observe widespread adoption, with nearly half of surveyed investors already using GenAI, … nearly two-thirds of investors plan to continue or start using GenAI and believe it will become a standard tool for investors, many non-users remain skeptical. This hesitancy toward future GenAI adoption appears related to concerns about data privacy and response quality, as well as younger and less sophisticated investors having difficulty identifying or leveraging the processing benefits of GenAI …” (abstract).

Good AI advice: Using Large Language Models for Financial Advice by Christian Fieberg, Lars Hornuf, Maximilian Meiler, and David J. Streich as of Feb. 11th, 2025 (#9): “… we elicit portfolio recommendations from 32 LLMs for 64 investor profiles, which differ in their risk preferences, home country, sustainability preferences, gender, and investment experience. Our results suggest that LLMs are generally capable of generating suitable financial advice that takes into account important investor characteristics when determining market and risk exposures. The historical performance of the recommended portfolios is on par with that of professionally managed benchmark portfolios. We also find that foundation models and larger models generate portfolios that are easier to implement and more sensitive to investor characteristics than fine-tuned models and smaller models. Some of our results are consistent with LLMs inheriting human biases such as home bias. We find no evidence of gender-based discrimination, which can be found in human financial advice“ (abstract).

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Werbung (in: Biodiversity investment)

Unterstützen Sie meinen Researchblog, indem Sie in den von mir beratenen globalen Small-/Mid-Cap-Investmentfonds (siehe FutureVest Equity Sustainable Development Goals R) investieren und/oder ihn empfehlen.

Der Fonds konzentriert sich auf die UN-Ziele für nachhaltige Entwicklung mit durchschnittlich außerordentlich hohen 99% SDG-vereinbaren Umsätzen der Portfoliounternehmen und verwendet separate E-, S- und G-Best-in-Universe-Mindestratings sowie Aktionärsengagement bei derzeit 28 von 30 Unternehmen (siehe auch My fund).

Zum Vergleich: Ein traditionelle globaler Small-Cap-ETF hat eine SDG-Umsatzvereinbarkeit von 20%, für einen Gesundheits-ETF beträgt diese 7% und für einen ETF für erneuerbare Energien 43%.

Insgesamt hat der von mir beratene Fonds seit der Auflage im August 2021 eine ähnliche Performance wie durchschnittliche globale Small- und Midcapfonds (vgl. z.B. Fonds-Portfolio: Mein Fonds | CAPinside und Globale Small-Caps: Faire Benchmark für meinen Artikel 9 Fonds?).

Ein Fondsinvestment war also bisher ein „Free Lunch“ in Bezug auf Nachhaltigkeit: Ein besonders konsequent nachhaltiges Portfolio mit markttypischen Renditen und (eher niedrigeren) Risiken. Vergangene Performance ist allerdings kein guter Indikator für künftige Performance.

Beastly problems illustration from Pixabay by Clkr free vector images

Beastly problems: Researchpost 212

Beastly problems illustration from Pixabay by Clkr-free Vector Images

11x new research on meat and milk, electricity outages, emissions against competition, costly ESG events, cheaper ESG funds, ESG AI, impact channels, political banks, fund flow risks, and private equity outperformance illusion (#shows SSRN full paper downloads as of Feb. 7th, 2025).

Ecological and social research

Beastly problems (1): Climate and Nature based Interventions in Livestock – Assessing the Mitigation Potential and Financing Flows by FAIRR as of Jan. 28th, 2025:  “Annual public and private funding towards on-farm livestock interventions estimated in this report are low, amounting to USD $284.5 million (globally) and USD $120 million (for the US), respectively, representing between 0.1% and 0.2% of all climate financing over the periods assessed. … Continued reliance on interventions with incremental benefits creates a lock-in, incentivising intensive livestock production practices and delaying our ability to transition towards a net-zero and nature-positive future. … The research highlights the need to dedicate more capital towards interventions that address nature-related planetary boundaries such as biogeochemical flows, freshwater change, land-system change, biosphere integrity and novel entities. Furthermore, research, engagement and increased investment are needed across a broad range of interventions, including sustainable on-farm practices, but also demand-side measures such as protein diversification, alternative food technologies, and tackling food loss and waste to effectively reduce emissions, curb nature loss, and address human health-related impacts across the entire livestock value chain“ (p. 6).

Beastly problems (2): „Super-Emittenten“ der Fleisch- und Milchwirtschaft in Deutschland – Studie zu ihren Treibhausgasemissionen und Klimaverpflichtungen von Konstantinos Tsilimekis von Germanwatch vom Januar 2025: „In Deutschland trägt die Tierhaltung zu 5,3 % aller THG-Emissionen und zu 68,1 % der THG-Emissionen aus der Landwirtschaft bei. … Wir zeigen u. a., dass die Emissionen der zehn umsatzstärksten Schlachtkonzerne und der zehn umsatzstärksten Milchkonzerne im Jahr 2022 rund 61 % der im selben Jahr in Deutschland ausgestoßenen Emissionen durch PKWs entsprachen. Berücksichtigt man bei der Berechnung auch sog. Opportunitätskosten, dann steigen die Emissionen der Konzerne sogar auf das 1,5-fache der PKW-Emissionen. Darüber hinaus nehmen wir auch bisherige klimaschutzbezogene Eigenangaben der beiden Marktführer Tönnies und DMK Deutsches Milchkontor näher in den Blick. Dabei kommen wir zu dem Schluss, dass gerade diese beiden Konzerne noch deutlich in Sachen Vollständigkeit, Transparenz und Kohärenz nachbessern und damit für die Branche wegweisend vorlegen müssen …“ (Zusammenfassung).

Expensive outages: The Economic Costs of Temperature Uncertainty by Luca Bettarelli, Davide Furceri, Michael Ganslmeier, and Marc Tobias Schiffbauer from the International Monetary Fund as of Jan. 31st, 2025 (#18): “Combining novel high-frequency geospatial temperature data from satellites with measures of economic activity for the universe of US listed firms, … the results show that temperature uncertainty—by increasing power outages, reducing labor productivity, and increasing the degree of exposure of firms to environmental and non-political risks, as well as economic uncertainty at the firm-level—persistently reduce firms’ investment and sales. This effect varies across firms, with those characterized by tighter financial constraints being disproportionally more affected” (abstract).

Emissions against competition? The Carbon Cost of Competitive Pressure by Vesa Pursiainen, Hanwen Sun and and Yue Xiang as of Feb. 3rd, 2025 (#33):  “… The positive relationship between competition and carbon emissions is stronger for firms in areas less concerned about climate change. It is also stronger in areas with weaker social norms. Our results suggest that short termism is not the primary driver, as the emissions-competition link is at least as strong for firms with longer-term-oriented shareholders. … ” (abstract).

ESG investment research (in: Beastly problems)

Costly ESG events: Understanding Reputational Risks: The Impact of ESG Events on European Banks by Erdinc Akyildirim, Shaen Corbet, Steven Ongena, and David Staunton as of July 27th, 2024 (#152): “This study examines the financial impact of Corporate Social Irresponsibility (CSI) events on European banks. Exploiting a dataset of 11,832 reputational shocks from 2007 through 2023, we find evidence of significant negative abnormal stock returns and increased volatility following CSI media coverage. High-severity media coverage, as well as the reporting of previously unknown problems, increases the magnitude of the shock. … proactive ESG engagement buffers against reputational risks. European banks with higher deposit instability exhibit especially negative short-term returns, reflecting the interconnections between investor and depositor behaviour. Changes in total deposits that coincide with negative CSI news magnify the effect on stock prices and volatility”.

Cheaper ESG funds: ESMA Market Report Costs and Performance of EU Retail Investment Products 2024 as of Jan. 14th, 2025: “… Despite the decline in costs, active equity funds continued to underperform (after fees) passive non-exchange-traded equity funds and exchange-traded equity funds. … As reported in 2022, the ongoing costs of environmental, social and governance (ESG) funds are lower than or similar to the ongoing costs of non-ESG equivalents. Overall, ESG funds outperformed their non-ESG equivalents in 2023, with disparities across asset classes. Equity ESG funds outperformed their equivalents, while fixed income and mixed ESG funds underperformed” (p. 4).

ESG AI + and -: Big Data and Machine Learning in ESG Research by Kai Li as of Feb. 4th, 2025 (#112):  “In recent years, there has been a drastic increase in the use of machine learning methods in ESG research. Finance and accounting researchers have employed various machine learning methods, ranging from simple bag-of-words and topic modeling to more advanced methods such as word embedding, BERT, and generative AI. These methods have equipped researchers with useful tools to explore and analyze new data sets that were previously difficult or impossible to study. Moreover, machine learning has significantly expanded the range of tool kits researchers can employ to process data, as well as the range of data beyond texts, such as audio and videos … much work has been done on the “E” dimension, focusing on evaluating environmental performance, such as climate change, climate risk, and extreme weather exposure, at different levels. Meanwhile, more work could be done to measure “S” performance and gain a better understanding from the social perspective. …“ (p. 15).

SDG and impact investment research

10 impact channels: Channels of influence in sustainable finance: A framework for conceptualizing how private actors shape the green transition” by Jan Fichtner, Simon Schairer, Paula Haufe, Nicolás Aguila, Riccardo Baioni, Janina Urban and Joscha Wullweber as of  January 27th, 2025 …: “… growth in ‘sustainable finance’ assets is not necessarily causing more sustainability-advancing productive investment to drive the green transition. We thus argue that sustainable finance is not exclusively about investing or providing finance, but crucially also about changing corporate practices toward greater sustainability. … We identify ten channels of influence concerning sustainable finance: (1) initial financing; (2) refinancing; (3) (re)insurance; (4) ratings; (5) climate-litigation; (6) company engagement; (7) divestment; (8) reputation; (9) coalition-building; and (10) standard-setting. These are grouped according to the specificity and breadth of their sustainability impact …” (abstract). My detailed comment see Neues Research: Vielfältige reale Nachhaltigkeitswirkung | CAPinside

Political banks: Do banks price environmental risk? Only when local beliefs are binding! By Irem Erten and Steven Ongena as of Nov. 7th, 2024 (#151): “… At loan origination banks charge higher rates to firms creating more environmental damage, especially when they are lowly capitalized, and when the firms operate in “greener” states with lower climate denial and there is more negative environmental news. Biodiversity risk is also priced, especially when public interest in it intensifies. Following the Trump withdrawal from Paris, banks modulate their environmental risk pricing in “browner” states. In sum, environmental risk pricing in bank lending is also driven by local beliefs and attitudes” (abstract).

Other investment research (in: Beastly problems)

Flow risks: Risky Business: When Behavioral Biases Meet Mutual Fund Scale Challenges by Cristhian Andres Rodriguez Revilla as of Oct. 28th, 2024 (#118): “… A key discovery is that perceptions of threat profoundly influence managerial behavior. In conditions of substantial contractions, managers can capitalize on these challenges, effectively protecting and potentially increasing portfolio value. Conversely, during periods of significant expansion, the excessive rewards appear to compromise strategic focus and reduce investment decision quality, … The study highlights that the poorest competitive results during heavy inflows are linked to managers’ speculative choices, particularly in initiating new positions that result in adverse investment returns after three months …“ (p. 45).

Private outperformance illusion: The tyranny of IRR by Ludovic Phalippou as of Dec. 10th, 2024 (#4009): “The use of since-inception Internal Rate of Return (si-IRR) may contribute to the prevailing belief that private equity returns are much greater than those of other asset classes. This perception, in turn, drove the sharp increase in capital allocated to private equity funds in developed markets, and their fast penetration into retail investor portfolios. The „Yale model,“ which posits that superior returns arise from substantial allocations to private equity, is heavily predicated on a si-IRR …” (abstract).

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Werbung (in: Beastly problems)

Unterstützen Sie meinen Researchblog, indem Sie in den von mir beratenen globalen Small-/Mid-Cap-Investmentfonds (siehe FutureVest Equity Sustainable Development Goals R) investieren und/oder ihn empfehlen.

Der Fonds konzentriert sich auf die UN-Ziele für nachhaltige Entwicklung mit durchschnittlich außerordentlich hohen 99% SDG-vereinbaren Umsätzen der Portfoliounternehmen und verwendet separate E-, S- und G-Best-in-Universe-Mindestratings sowie Aktionärsengagement bei derzeit 28 von 30 Unternehmen (siehe auch My fund).

Zum Vergleich: Ein traditionelle globaler Small-Cap-ETF hat eine SDG-Umsatzvereinbarkeit von 20%, für einen Gesundheits-ETF beträgt diese 7% und für einen ETF für erneuerbare Energien 43%.

Insgesamt hat der von mir beratene Fonds seit der Auflage im August 2021 eine ähnliche Performance wie durchschnittliche globale Small- und Midcapfonds (vgl. z.B. Fonds-Portfolio: Mein Fonds | CAPinside und Globale Small-Caps: Faire Benchmark für meinen Artikel 9 Fonds?).

Ein Fondsinvestment war also bisher ein „Free Lunch“ in Bezug auf Nachhaltigkeit: Man erhält ein besonders konsequent nachhaltiges Portfolio mit markttypischen Renditen und Risiken. Vergangene Performance ist allerdings nicht unbedingt ein guter Indikator für künftige Performance.

Return on sustainability illustration from Pixabay by mageephoto

Return on sustainability: Researchpost 210

Return on sustainability illustration from pIxabay by mageephoto

14x new research on decarbon-now, biodiversity-climate interaction, green investment gap, regulation benefits, ESG literature overview, ESG disclosure effects, confusing supplier ESG, climate bond potential, water costs, return on sustainability, low-beta outperformance, active ETF benefits, trend-following and investment AI problems (#shows the number of SSRN full paper downloads as of Jan. 23rd, 2025: A low number shows a high news-potential).

Social and ecological research

Decarbon-now: Climate Transition: Why Decarbonize Now Not Later? A Literature Review from An Asset Owner Perspective by Wendy Fang, Skye King, Michael Mi, Mohamed Noureldin, Ben Squires, Eliza Wu, and Jing Yu as of Jan. 9th, 2025 (#39): “… Integrating insights from climate science, economics, and finance, we present three key angles: (1) Scientific evidence demands urgent action to avert irreversible damage from exceeding 1.5◦C global warming. (2) Economic models may underestimate climate impacts by not fully accounting for systemic shocks, nonlinearities, and tipping points. (3) Asset pricing theory predicts a higher carbon premium (higher cost of capital for high-climate-risk assets), yet empirical evidence shows that green assets outperform brown counterparts, especially in recent years. We reconcile this debate by arguing that markets have not fully priced in climate risks; investors’ underestimation of the urgency and magnitude of damage leads to complacency and inaction, exacerbating irreversible physical risks in a feedback loop. Thus, expecting a carbon premium is unwarranted until equilibrium is reached …“ (abstract).

Intertwined risks: Nature Loss and Climate Change: The Twin-Crises Multiplier by Stefano Giglio, Theresa Kuchler, Johannes Stroebel, Olivier Wang as of Jan. 2025: “We study the economic effects of the interaction of nature loss and climate change in a model that incorporates important aspects of both processes. We capture the distinct ways in which they affect economic activity—with nature constituting a key factor of production and climate change destroying parts of output—but also the ways in which they interact: climate change causes nature loss, and nature provides both a carbon sink and adaptation tools to reduce climate damages. Our analysis of these feedback loops reveals a novel amplification channel—the Twin-Crises Multiplier—that systematically affects optimal climate and nature conservation policies” (abstract).

Green investment gap: Investing in Europe’s green future – Green investment needs, outlook and obstacles to funding the gap by Carolin Nerlich and many more from the European Central Bank as of Jan. 10th, 2025 (#59): “The green transition of the EU economy will require substantial investment to 2030 and beyond. Estimates … all point to a requirement for faster and more ambitious action. Green investment will need to be financed primarily by the private sector. … capital markets need to deepen further, especially to support innovation financing. Progress on the capital markets union would support the green transition. Public funds will be vital to complement and de-risk private green investment. Structural reforms and enhanced business conditions should be tailored to encourage firms, households and investors to step up their green investment activities” (abstract).

Regulation benefits: More Constraints, More Consensus? How Regulation Shapes Investor Information Asymmetry by John M. Barrios, Zachary R. Kaplan, and Yongzhao Vincent Lin as of Nov. 23rd, 2024 (#144): “We examine the relation between product market regulation (PMR) and information asymmetry among investors. … greater PMR significantly reduces bid-ask spreads and insider trading. This reduction in information asymmetry is driven by decreased operating profit volatility, which lowers uncertainty about firm operations. However, the impact of PMR diminishes when government commitment to regulation is weak, particularly during periods of elevated economic policy uncertainty or among politically active firms capable of strategically influencing regulation …” (abstract).

ESG investment research (in: Return on sustainability)

ESG overview: A Review on ESG Investing by Javier Vidal-García and Marta Vidal as of Jan. 11th, 2025 (#86): “The overall results show significant heterogeneity, evidencing three predominant positions: some research suggests that ESG investments outperform conventional ones, others indicate a lower performance for ESG, implying a premium paid for sustainability criteria, and a third position indicates an equivalence in performance between the two. These discrepancies are attributed to the period analyzed, the sample, the statistical methodology, the culture and the ESG rating provider” (p. 25/26). My comment: If the performance is similar, why invest traditionally instead of sustainably?

ESG disclosure effects: Profit or Planet? Both! ESG Drivers of Efficient Portfolios and the Costs of Disclosure by Nico Rosamilia as of Jan. 2nd, 2025 (#13): “This study integrates the ESG variables in the five-factor asset pricing model by Fama and French and a model-free methodology represented by machine learning. The markets‘ main focus for the governance pillar relates to board characteristics and functions. The social pillar shows the significance of employee-related issues, while greenhouse emissions for the environmental pillar. The machine learning results provide the main drivers yielding the excess returns of the best sustainable portfolios. Finally, we test the ESG prediction power of fundamentals and find that ESG disclosure diverts company resources toward long-term sustainable investment over investment for profitability in the short term“ (abstract).

Confusing supplier ESG? ESG Alignment and Supply Chain Dynamics: Evidence from U.S. Customer-Supplier Relationships by Stefan Hirth and Sai Palepu as of Jan. 15th, 2025 (#21): “We study the role of Environmental, Social, and Governance (ESG) alignment in shaping customer-supplier relationships within U.S. supply chains. … we find that major customers significantly influence supplier ESG performance, with a 6.9% increase linked to one unit increase in the major customer ESG scores. Positive ESG divergence, where a supplier outperforms its major customer, increases the likelihood of relationship termination by 18.1% …. Replacement suppliers generally exhibit higher ESG ratings than their predecessors …” (abstract). My comment: The “positive ESG divergence” confuses me, because I don’t expect suppliers to stop selling to lower-ESG customers and neither I expect customers stop buying from higher-ESG suppliers. My supplier activities see Supplier engagement – Opinion post #211 – Responsible Investment Research Blog

SDG investment research

Climate bond potential: Climate-linked bonds by Dirk Broeders, Daniel Dimitrov, and Niek Verhoeven from the European Central Bank as of Jan. 10th, 2025 (#68): “Climate-linked bonds, issued by governments and supranational organizations, are pivotal in advancing towards a net-zero economy. These bonds adjust their payoffs based on climate variables such as average temperature and greenhouse gas emissions, providing investors a hedge against long-term climate risks. … The price differential between climate-linked bonds and nominal bonds reflects market expectations of climate risks. This paper introduces a model of climate risk hedging and estimates that approximately three percent of government debt in major economies could be converted into climate-linked bonds” (abstract).

Water opportunity costs: The Pricing of Water Usage by Adrian Fernandez-Perez, Ivan Indriawan and Yiuman Tse as of Jan. 14th, 2025 (#61) “…we examine the relationship between firms’ water usage and stock returns. Our analysis shows a negative relationship between water usage and excess returns, with high-water-usage firms generating lower returns compared to their industry peers. This effect is stronger in high-water-consumption sectors like mining and manufacturing. We also find a positive link between water usage and operating costs …” (abstract).

Return on sustainability: The Sustainability Dividend: A Primer on Sustainability ROI by Matteo Tonello as of January 4th,2025: “… companies face growing pressure to determine the return on investment (ROI) of their sustainability efforts, a critical factor in gaining stakeholder trust and ensuring long-term success. This report highlights insights from a series of Member roundtables and polls, discusses the current state of sustainability ROI, and provides guidance for companies to get started. … Few companies are capitalizing on the power of authentic and transparent sustainability communication to showcase their sustainability results and gain internal and stakeholder support for sustainability“ (p. 2).

Other investment research (in: Return on sustainability)

Low-beta outperformance? Persistence in Alphas without Persistence in Skill by Sina Ehsani and Juhani Linnainmaa as of Jan. 8th, 2025 (#33): “The persistence of mutual fund alphas is often viewed as evidence that some funds possess skill and that this skill persists. … high-alpha funds are predominantly low-beta funds and vice versa. Thus, a strategy of investing in high-alpha funds benefits not from skill, but from a betting-against-multiple-betas effect …” (abstract).

Active ETF (AETF) benefits: ETFs as a disciplinary device by Yuet Chau, Karamfil Todorov and Eyub Yegen as of Jan. 6th, 2025 (#126): “… Unlike mutual fund shares, ETF shares can be shorted, which enables investors to bet against manager performance. We show that AETFs exhibit over five times greater flow-performance sensitivity than mutual funds, indicating that AETF managers face harsher penalties for poor performance. When an underperforming manager joins an AETF, investors respond by shorting more shares of the fund. Consequently, this manager is more likely to exit the fund management industry, thereby enhancing overall sector efficiency and allowing more high-performing managers to remain. Moreover, the stocks held within AETFs exhibit improved price informativeness. We also find that AETF managers outperform both mutual fund and passive fund managers” (abstract).

 Sensible trend-following: Can the variability of trend-following signals add value? By Philippe Declerck and Thomas Vy as of Dec. 6th,2024 (#67): “We document that there is information in the variability of binary signals used to build a cross-asset trend-following strategy. This information may help building trend-following strategies with slightly higher Sharpe ratios. This added value may come with higher maximum drawdown to vol ratios for short lookback periods (up to one month), while the longest period tested (2.5 months) lead to a reduction of both ratios. The optimal results are obtained for observation periods of 1 to 2 months” (abstract). My comment: Since quite some time, I use 40-day averages for risk-signals if clients want to have risk-managed portfolios.

AI model overload: Design choices, machine learning, and the cross-section of stock returns by Minghui Chen, Matthias X. Hanauer and Tobias Kalsbach as of Dec. 2nd, 2024 (#3367): “We fit over one thousand machine learning models for predicting stock returns, systematically varying design choices across algorithm, target variable, feature se lection, and training methodology. … we observe a substantial variation in model performance, with monthly mean top-minus-bottom returns ranging from 0.13% to 1.98%. These findings underscore the critical impact of design choices on machine learning predictions, and we offer recommendations for model design. Finally, we identify the conditions under which non-linear models outperform linear models“ (abstract).

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Werbung (in: Return on sustainability)

Unterstützen Sie meinen Researchblog, indem Sie in den von mir beratenen globalen Small-/Mid-Cap-Investmentfonds (siehe FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T) investieren und/oder ihn empfehlen.

Der Fonds konzentriert sich auf die UN-Ziele für nachhaltige Entwicklung mit durchschnittlich außerordentlich hohen 99% SDG-vereinbaren Umsätzen der Portfoliounternehmen und verwendet separate E-, S- und G-Best-in-Universe-Mindestratings sowie Aktionärsengagement bei derzeit 28 von 30 Unternehmen (siehe auch My fund).

Zum Vergleich: Ein traditionelle globaler Small-Cap-ETF hat eine SDG-Umsatzvereinbarkeit von 5%, für einen Gesundheits-ETF beträgt diese 1% und für einen ETF für erneuerbare Energien 44%.

Insgesamt hat der von mir beratene Fonds seit der Auflage im August 2021 eine ähnliche Performance wie durchschnittliche globale Small- und Midcapfonds (vgl. z.B. Fonds-Portfolio: Mein Fonds | CAPinside und Globale Small-Caps: Faire Benchmark für meinen Artikel 9 Fonds?).

Ein Fondsinvestment war also bisher ein „Free Lunch“ in Bezug auf Nachhaltigkeit: Man erhält ein besonders konsequent nachhaltiges Portfolio mit markttypischen Renditen und Risiken.

AI for SDGs illustration by open clipart vectors from pixabay

AI for SDGs: Researchpost 209

AI for SDGs illustration by OpenClipArt Vectors from Pixabay

22x new research on smartphones, state aid, green policy, green procurement, public benefit, risk-reducing ESG, ESG dividends, biodiversity costs and risks, ESG willingness to pay, pollution divestments, climate adaptions, green employee value, AI driven financial research, LLM investing help, virtual robo advisors, discount illusion, hedge funds and pixel art (#shows the number of SSRN full paper downloads as of Jan. 16th, 2025: A low number shows a high news-potential).

Social and ecological research

AI for SDGs: Key Digital Enablers of Sustainability: A Bibliometric Analysis Using Elsevier Sustainable Development Goals (SDGs) Mapping by Jaewoo Bong, Jeongmi Ga, Myeongjun Yu, and Minjung Kwak as of Jan. 14th, 2025 (#9): “The analysis identified key technologies frequently associated with the 17 SDGs, revealing trends in research volume, dominant technologies, and their impacts on specific SDGs. Notably, artificial intelligence and robotics have emerged as the most influential technologies across multiple goals, whereas other technologies such as 3D printing, cloud computing, and extended reality exhibit more targeted associations, highlighting their specialized applications. This study also highlights emerging research areas such as the integration of digital twins, blockchain, and the Internet of Things in sustainable development …” (abstract).

Stupid smartphones: From Decline to Revival: Policies to Unlock Human Capital and Productivity by Dan Andrews, Balázs Égert, Christine de La Maisonneuve as of Dec. 23rd, 2024 (#20): “The productivity slowdown in many OECD countries over the last decades coincided with a significant deceleration in human capital growth. We show that nearly one-sixth of this productivity slowdown can be attributed to a decline in human capital growth, mainly driven by the decline in the quality of human capital, as measured by PISA scores. … The results highlight the negative effects of smartphone and social media usage on student performance and suggest that responsible internet use programs and education policy reforms could mitigate these effects. … Without policy intervention, continued declines in PISA scores could reduce long-term MFP (Sö: Multifactor productivity) growth by nearly 3%. Combining education reforms with structural reforms could mitigate these effects and boost long-term MFP by about 1.5%“ (abstract).

Bad state aid: A Bitter Aftertaste: How State Aid Affects Recipient Firms and Their Competitors in Europe by Luis Brandao Marques and Hasan Toprak from the International Monetary fund as of Dec. 16th, 2024: “This paper estimates the effects of state aid between 2016 and 2023 on listed nonfinancial firms in Belgium, France, Germany, the Netherlands, Spain, and the United Kingdom (until 2020) … It finds that firms that receive state aid increase employment and revenue, but not investment or labor productivity. Moreover, it finds that there are adverse spillover effects to competing firms that significantly undo any positive own effects“ (abstract).

Green over all: Green Investing and Political Behavior by Florian Heeb, Julian F. Kölbel,  Stefano Ramelli, and Anna Vasileva as of Jan. 6th, 2025 (#1586): “A fundamental concern about green investing is that it may crowd out political support for public policy addressing negative externalities. We examine this concern in a preregistered experiment shortly before a real referendum on a climate law with a representative sample of the Swiss population (N = 2,051). We find that the opportunity to invest in a climate-friendly fund does not reduce individuals’ support for climate regulation, measured as political donations and voting intentions. The results hold for participants who actively choose green investing. We conclude that the effect of green investing on political behavior is limited”.

Green procurement: The New EU-US Joint Catalogue of Best Practices on Green Public Procurement: A Breakthrough in International Dialogue on Sustainability and an Opportunity for the WTO Committee on Government Procurement to Move Forward by Robert D. Anderson and Antonella Salgueiro as of Jan. 14th, 2025 (#29): “In April 2024, the European Union(EU) and the United States (US) jointly issued an extensive “Catalogue” of perceived best practices for promoting green public procurement (GPP) … The Catalogue provides an extremely useful compendium … the examples cited range from relatively standard goods procurement to the provision of public transport services through to building construction and a government-wide contract for IT and related infrastructure in an EU member state. The tools, approaches and innovations relating to the promotion of GPP that are set out in the Catalogue are equally diverse and impressive” (abstract).

Good intentions, bad outcome? For-benefit or For-profit? The Dark Side of Stakeholderism Legislation by Chenchen Li, Frank Zhang, and Kailiang Zhang as of Nov. 23rd, 2024 (#50): “The Public Benefit Corporation (PBC) legislation redefines corporate purposes by introducing a new legal form of corporate structure, the for-benefit corporation, which must include public benefits in its certificate of incorporation. … We posit that PBC legislation heightens the uncertainty of directors’ fiduciary duties and diminishes the perceived commitment to public interests for traditional for-profit corporations. Consequently, for profit companies will reduce their corporate social responsibility activities following the enactment of PBC laws, a phenomenon we term the corrosion effect. By exploiting the staggered enactment of PBC legislation across U.S. states, we find results consistent with our predictions. … In addition, we find that traditional for-profit corporations become more shareholder-centric at the expense of broader stakeholder interests following PBC legislation, leading to improved financial performance. We also find an overall increase in state-level pollution, suggesting that the environmental efforts of for-benefit companies are insufficient to counterbalance the reduced environmental initiatives by for-profit firms“ (abstract).

ESG investment research (in: AI for SDGs)

Risk-reducing ESG: The Impact of Economic Uncertainty on Corporate ESG Performance by Geyao Zhang, Effie Kesidou, and Muhammad Ali Nasir as of Jan. 8th, 2025 (#18): “… The results suggest that, in response to heightened economic uncertainty, firms tend to send positive signals by boosting their ESG performance. … the positive impact of economic uncertainty on corporate ESG performance is more significant for firms in consumer-facing and low-pollution industries. Additionally, the highly uncertain economic environment has had a significant positive impact on the ESG performance of firms in countries with lower media freedom and upper-middle income levels” (abstract).

ESG dividend effects: Are ESG ratings relevant? Evidence from dividend cuts by Guner Velioglu as of Jan.  14th, 2025 (#30): “… the market reactions to dividend cuts are significantly less severe when the underlying firms have high Environmental, Social, and Governance (ESG) ratings. … the environmental pillar rating contributes most significantly to my findings. I further document that high ESG performance premium tend to partially substitute for dividend premium” (abstract).

Corporate biodiversity costs: The Silent Cost of Biodiversity Loss: Unveiling its Impact on Institutional Ownership by Yueyang Wang as of Sept. 11th, 2024 (#14): “The research utilises a sample of U.S. companies from 2009 to 2023 … Companies facing higher biodiversity risks tend to experience a reduction in institutional ownership, likely due to concerns over increased debt risk and potential reputational damage” (abstract).

Costly biodiversity risks: Biodiversity, Governance, and Municipal Bonds by Yanghua Shi as of Jan. 9th, 2025 (40): „The paper shows that legislative changes that are harmful to local biodiversity signicantly impact municipal bond markets and are associated with an increase in municipal bond yields. … The analysis is based on a series of statewide regulatory shocks that conservation biologists consider to be detrimental to biodiversity conservation. These regulatory changes result in laws that hinder effective population management of unowned cats a well-known invasive species that contributes to biodiversity loss” (abstract).

ESG Index WTP: Sustainability Preferences of Index Fund Investors: A Discrete Choice Experiment by Rob Bauer, Bin Dong, and Peiran Jiao as of Jan. 9th, 2024 (#140): “… we show how index fund investors cope with the conflict between index tracking and the pursuit of sustainability. We measure the willingness-to-pay for sustainability in an online discrete choice experiment (DCE) with real index fund investors. On average, our participants are willing to pay for sustainability but are insensitive to ESG intensity. They prefer the negative screening strategy, but are indifferent among other ESG integration strategies. In the meantime, our latent class analysis shows considerable heterogeneity among investors in their sustainability preferences” (abstract).

Impact investment research

Pollution divestment (1): Sustainability or Greenwashing: Evidence from the Asset Market for Industrial Pollution by Ran Duchin, Janet Gao and Qiping Xu as of May 5th, 2024 (#3616): “We study the asset market for pollutive plants. Firms divest pollutive plants in response to environmental pressures. The buyers are firms facing weaker environmental pressures, with supply chain relationships or joint ventures with the sellers. While pollution levels do not decline following divestitures, the sellers highlight their sustainable policies in subsequent conference calls, earn higher returns as they sell more pollutive plants, and benefit from higher ESG ratings and lower compliance costs. Overall, the asset market allows firms to redraw their boundaries in a manner perceived as environmentally friendly without real consequences for pollution and with substantial gains from trade” (abstract). My comment: If buyers (and owners of these buyers) care for ESG, divesting pollution does not work well. Also, the use of Scope 3 Greenhouse Gas emissions which includes suppliers helps to mitigated pollution divestments.

Pollution divestment (2): Out of Sight, Out of Mind: Divestments and the Global Reallocation of Pollutive Assets by Tobias Berg, Lin Ma, and Daniel Streitz as of Nov. 13th, 2024 (#762): “We analyze firms’ carbon reduction strategies worldwide and identify one key channel: large, primarily European firms facing increased investor pressure divest pollutive as sets to firms that are less in the limelight. There is no evidence of increased engagement in other emission reduction activities. We estimate that 369 million metric tons (mt) of CO2e are reallocated via divestments in the post-Paris Agreement period, shifting pollutive assets from Europe to the rest of the world. Our results indicate significant global asset reallocation effects and imply that responsible investors who want to truly invest responsibly need to monitor firms’ divestment strategies closely” (abstract).

Adaptation dividends: Why do we need to strengthen climate adaptations? Scenarios and financial lines of defense by Francesco Paolo Mongelli, Andrej Ceglar, and Benedikt Alois Scheid as of Dec. 17th, 2024 (#39): “… we now have better granular climate data to study the impacts of climate hazards and forecast climate risks … and there is an increasing pool of case studies from which to learn. There is evidence that efficient adaptation investments can yield “triple-dividends” helping to close the financing gap. … Innovative financial instruments, such as catastrophe bonds and climate bonds, might support challenged insurance coverages“ (abstract).

Green employee pressure? Clients, employees and institutional owners: Who influences corporate decarbonisation commitments? by Andreas G. F. Hoepner, Ifigenia Paliampelou and Frank Schiemann as of Jan. 8th, 2025 (#17): “This study examines the determinants of corporate decarbonization commitments … the findings highlight that institutional ownership (IO) exerts the strongest influence on decarbonization decisions, followed by employees with CSR concerns (SGA). Additionally, companies with higher green revenues are more likely to set decarbonization commitments, often at the subsidiary level, driven by specific customer pressures …” (abstract).

Employee engagement: Bottom-up collaborative approach to transformative sustainable business model innovation: Developing engagement in an incumbent firm by Genet Corine and Rose Bote as of Dec. 6th, 2024 (#6): “This paper investigates the emergence of employee engagement through the process of transformative sustainable business model innovation (SBMI) within an established organization. … Recognizing the critical role that employees play in these transformations, we aim to examine how their engagement emerges. Based on a qualitative case study of a mature nuclear-based organization … From a practical perspective, we advocate for forums to encourage intrapreneurial creativity for incumbent firms seeking transformation in their business models” (abstract). My comment: I try to include employees in ma stakeholder engagement activities see HR-ESG shareholder engagement: Opinion-Post #210 – Responsible Investment Research Blog

Other investment research (in: AI for SDGs)

AI driven financial research: AI and Finance by Andrea Eisfeldt and Gregor Schubert as of November 18th, 2024 (#1102): “We provide evidence that the development and adoption of Generative AI is driving a significant technological shift for firms and for financial research. We review the literature on the impact of ChatGPT on firm value and provide directions for future research investigating the impact of this major technology shock. Finally, we review and describe innovations in research methods linked to improvements in AI tools, along with their applications. We offer a practical introduction to available tools and advice for researchers interested in using these tools” (abstract).

LLM investing help: Stock Portfolio Selection Based on Risk Appetite: Evidence from ChatGPT by Constantin J. Schneider and Yahya Yilmaz as of Dec. 17th, 2024 (#155): “… We prompt ChatGPT to generate portfolios tailored to different risk appetites of retail investors focusing on U.S. and European equity markets. Our analysis of multiple ChatGPT models reveals that higher risk portfolios generally yield higher returns. However, the models exhibit varying performance across different markets … We further demonstrate that ChatGPT can effectively adjust portfolio risk and return metrics in accordance with individual risk preferences” (abstract).

Virtual robo advice: Artificial Intelligence (AI) and Virtual Reality Convergence in Financial Services: The Power of Digital Twin Robo-Advisers by Marco I. Bonelli and Jiahao Liu as of Dec. 31st, 2024 (#22): “… By combining AI’s predictive power with the immersive nature of VR, robo-advisors now offer the most advanced toolset available to investors. AI-powered Digital Twins provide real-time simulations of investment portfolios, allowing users to explore multiple scenarios, assess risks, and optimize their strategies with precision. The addition of VR creates a lifelike, 3D financial environment where users can visualize their portfolios, simulate various financial decisions, and gain deeper insights into how these choices impact their long-term financial goals“ (p. 12).

Discount illusion: „Buy the Dip“ – Wie gut funktioniert diese Anlagestrategie? von Gerd Kommer vom 9. Januar 2024: Buy the Dip-Investieren (BTD) … produziert schlechtere Durchschnittsrenditen und Endvermögenswerte als vergleichbares Sofort-All-In Buy-and-Hold Investieren (SAI B&H). Zwar steigt die statistische Renditeerwartung von Aktien nach einem Abschwung in der Tat, dieser Anstieg gleicht die Minderrendite, also die Opportunitätskosten, der für BTD notwendigen Investitionsreserve nicht ausreichend aus. Die Argumentation, dass BTD-Strategien im Allgemeinen ein geringeres Risiko aufweisen als vergleichbare SAI B&H-Strategien relativiert die maue BTD-Performance u. E. nur partiell“ (in: Fazit).

Disappointing hedge funds: Hedge Funds: A Poor Choice for Most Long-Term Investors by Richard M. Ennis as of Dec. 13th, 2024 (#27): “For years, hedge fund investments have reduced the alpha of most institutional investors (helped drive it negative, actually). At the same time, they deprive long-term investors of desired equity exposure. In other words, hedge funds have been alpha-negative and beta-light. For these reasons, it is difficult to see a strategic benefit to having a diversified hedge fund allocation in the mix for most endowment and pension funds. If, however, an institution has access to a few truly exceptional hedge funds and can resist the temptation to diversify hedge fund exposure excessively, a small allocation may be warranted” (p. 7).

Pixel passion: Passion for Pixels: Affective Influences in the NFT Digital Art Market by Guneet Kaur Nagpal and Luc Renneboog as of Jan. 8th, 2025 (#23): “Passion investment (e.g., paintings, sculptures, non-fungible tokens [NFTs]) are not based on straightforward valuations. To establish the valuation of collectible NFTs in the nascent market of digital art, this study uses approximately 14,000 transactions by 3,230 unique traders in a highly liquid digital collectibles market … First, there is evidence of subjective valuation of visual (aesthetic) elements of art among market participants, who are homogenous on the value of objectively measurable traits. Second, contrary to popular perception, NFT market participants’ who are naive (in terms of crypto currency experience) or experienced a windfall gain (due to favorable cryptocurrency exchange rates) trade at lower prices. … Third, prior trading activity and prices positively associate with future prices, implying price extrapolation and anchoring. The findings suggest that compared to the traditional art and investment domains, digital ownership might evoke similar, if not stronger, emotional responses among consumers than physical ownership“ (abstract).

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Werbung (in: AI for SDGs)

Unterstützen Sie meinen Researchblog, indem Sie in den von mir beratenen globalen Small-/Mid-Cap-Investmentfonds (siehe FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T) investieren und/oder ihn empfehlen.

Der Fonds konzentriert sich auf die UN-Ziele für nachhaltige Entwicklung mit durchschnittlich außerordentlich hohen 99% SDG-vereinbaren Umsätzen der Portfoliounternehmen und verwendet separate E-, S- und G-Best-in-Universe-Mindestratings sowie Aktionärsengagement bei derzeit 28 von 30 Unternehmen (siehe auch My fund).

Zum Vergleich: Ein traditionelle globaler Small-Cap-ETF hat eine SDG-Umsatzvereinbarkeit von 5%, für einen Gesundheits-ETF beträgt diese 1% und für einen ETF für erneuerbare Energien 44%.

Insgesamt hat der von mir beratene Fonds seit der Auflage im August 2021 eine ähnliche Performance wie durchschnittliche globale Small- und Midcapfonds (vgl. z.B. Fonds-Portfolio: Mein Fonds | CAPinside und Globale Small-Caps: Faire Benchmark für meinen Artikel 9 Fonds?).

Ein Fondsinvestment war also bisher ein „Free Lunch“ in Bezug auf Nachhaltigkeit: Man erhält ein besonders konsequent nachhaltiges Portfolio mit markttypischen Renditen und Risiken.

Impact beats ESG illustration by Megan Rezaxin Conde from Pixabay

Impact beats ESG: Researchpost 208

Impact beats ESG illustration by Megan Rezaxin Conde from Pixabay

Impact beats ESG includes 6x new research papers on Ukrainian refugees, brown monetary risks, ESG washing, pollution measurement and impact funds (#shows the number of SSRN full paper downloads as of Jan. 9th, 2025).

Social and ecological research

Homesickness: The Effect of Conflict on Ukrainian Refugees’ Return and Integration by Joop Adema, Cevat Giray Aksoy, Yvonne Giesing, and Panu Poutvaara as of March 14th, 2024 (#23): “Our analysis has highlighted that the vast majority of Ukrainians in Ukraine plan to stay and most Ukrainian refugees in Europe plan to return … which contrasts with high pre-war emigration desires. … In our panel survey, we find that close to 2% of Ukrainian refugees returned every month. … Ukrainians’ confidence in their government and optimism have reached exceptionally high levels in international comparison … ” (p. 24).

ESG investment research (in: Impact beats ESG)

Brown monetary risks: Green Stocks and Monetary Policy Shocks: Evidence from Europe by Michael D. Bauer, Eric A. Offner, and Glenn D. Rudebusch as of Dec. 23rd, 2024 (#44): “… euro-area green stocks appear significantly less affected by monetary policy surprises to interest rates than higher-carbon brown stocks … focusing on narrower stock market indexes for the green and brown energy sectors, we find that the interest rate reactions of the renewable energy industry are weaker than the response of the oil & gas energy sector … These conclusions are in broad agreement with recent research using U.S. data … a carbon premium, while not firmly established empirically in the literature, seems to be a promising potential candidate explanation for the differential green/brown sensitivity. … Another potential explanation is a demand channel, according to which the product demand for green firms is less cyclical and less interest-sensitive than for brown firms …“ (p.34/35).

ESG washing: Green Window Dressing by Gianpaolo Parise and Mirco Rubin as of Dec 13th, 2024 (#46):  “ESG fund managers are assigned two conflicting objectives: to deliver performance and to invest responsibly. While investors monitor how fund managers fare along the first dimension daily and from unbiased performance metrics, they tend to evaluate funds’ responsibility through sustainability ratings. These ratings are based on granular portfolio holdings that must be publicly disclosed four times a year. However, portfolio disclosure is only informative as long as managers disclose portfolio holdings that are representative. If managers move into and out of responsible portfolios to time regulatory filings, sustainability ratings might be uninformative. In this paper, we establish that money managers engage in “green window dressing.” We document that funds move in and out of ESG stocks around disclosure to inflate sustainability ratings. We support this claim with four separate sets of analyses. … We find that expensive funds, as well as star and laggard funds are more likely to engage in green window dressing. … green window dressers end up attracting substantially higher capital flows. This last result holds only for institutional clients, which is consistent with the argument that institutional investors delegate green window dressing to ESG mutual funds” (p. 37-39). My comment: I disclose the fund holdings monthly and change them typically only once a year (see www.futurevest.fund).

Impact beats ESG: Different Shades of ESG Funds by Simona Abis, Andrea M Buffa and Meha Sadasivam as of Dec. 9th, 2024 (#84): “… among active equity mutual funds in the US …. the majority of the growth in ESG investment … comes from what we define as opportunistic funds; i.e, those funds which use ESG-related information only with the objective of maximizing risk-adjusted returns. Whereas, funds that have ESG-related considerations in their objective function for non-pecuniary reasons, altogether only represent 25% of the funds and 8% of the AUM of ESG-related active mutual funds by 2022. A more detailed portfolio analysis uncovers that funds with different ESG objectives display very different portfolios and trading behavior. With only impact, impact activist and opportunistic activist funds displaying significantly greater ESG ratings of stocks held” (p. 33). My comment: My fund invests in very high ESG rated companies which should have a positive impact measured by SDG-aligned revenues and in addition I try to have investor impact through stakeholder engagement

Impact investment research

Pollution washing? Socially responsible investing and multinationals’ pollution – Evidence from global remote sensing data by Virginia Gianinazzi, Victoire Girard, Mehdi Lehlali, and Melissa Porras Prado as of Dec. 19th, 2024 (#69): “Our findings reveal a positive association between ESG or sustainable institutional ownership and pollution reduction …. Firms with higher SRI ownership tend to decrease pollution. This relationship is predominantly observed in OECD countries or those with stringent environmental laws. In contrast, in non-OECD locations, where environmental regulations may be less stringent, vegetation quality around facilities does not show any significant reaction to SRI inflows. This heterogeneity suggests a potential strategic behavior of multinationals receiving SRI when deciding where to focus their environmental efforts. These insights also illuminate the concrete environmental impacts driven by sustainable capital, surpassing reliance solely on self reported emissions data” (p. 29).

Other investment research

Unfair investment AI? AI, Investment Decisions, and Inequality by Alex G. Kim,  David S. Kim, Maximilian Muhn, Valeri V. Nikolaev and Eric C. So as of Dec. 30th, 2024 (#1400): “Using two large-scale experiments with actual financial data from 200 publicly traded firms … our evidence shows that generative AI significantly enhances both financial comprehension and investment performance, making earnings information more accessible to a broader investor base. … AI’s effectiveness critically depends on the alignment between its outputs and user expertise … AI can widen performance gaps by disproportionately benefiting sophisticated investors“ (p.33/34).

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Werbung (in: Impact beats ESG)

Unterstützen Sie meinen Researchblog, indem Sie in den von mir beratenen globalen Small-/Mid-Cap-Investmentfonds (siehe FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T) investieren und/oder ihn empfehlen.

Der Fonds konzentriert sich auf die UN-Ziele für nachhaltige Entwicklung mit durchschnittlich außerordentlich hohen 99% SDG-vereinbaren Umsätzen der Portfoliounternehmen und verwendet separate E-, S- und G-Best-in-Universe-Mindestratings sowie Aktionärsengagement bei derzeit 28 von 30 Unternehmen (siehe auch My fund).

Zum Vergleich: Ein traditionelle globaler Small-Cap-ETF hat eine SDG-Umsatzvereinbarkeit von 5%, für einen Gesundheits-ETF beträgt diese 1% und für einen ETF für erneuerbare Energien 44%.

Insgesamt hat der von mir beratene Fonds seit der Auflage im August 2021 eine ähnliche Performance wie durchschnittliche globale Small- und Midcapfonds (vgl. z.B. Fonds-Portfolio: Mein Fonds | CAPinside und Globale Small-Caps: Faire Benchmark für meinen Artikel 9 Fonds?).

Ein Fondsinvestment war also bisher ein „Free Lunch“ in Bezug auf Nachhaltigkeit: Man erhält ein besonders konsequent nachhaltiges Portfolio mit markttypischen Renditen und Risiken.

SDG-Investmentbeispiel 32 Illustration von Bruno von Pixabay

SDG-Investmentbeispiel 32: Innovative US-Diabetes-Technik

SDG-Investmentbeispiel 32 Illustration von Pixabay von Bruno

Insulet: Unternehmensübersicht

SDG-Investmentbeispiel 32 aus dem von mir beratenen Fonds ist Insulet, ein Medizintechnikunternehmen aus den USA. Auf der Internetseite des Unternehmens steht: „Insulet Corporation … wurde im Jahr 2000 mit dem Ziel gegründet, das Leben von Menschen mit Diabetes zu verbessern. Insbesondere durch unser revolutionäres Omnipod Insulin Management System versuchen wir, den Einsatz der Insulinpumpentherapie zu erweitern“.

Insulet macht fast seinen gesamten Umsatz mit Omnipod, davon inzwischen gut ein Viertel außerhalb der USA. In einer Pressemitteilung von Anfang Dezember steht zu Omnipod: „Mit seinem einfachen, tragbaren Design bietet der schlauchlose Einweg-Pod bis zu drei Tage lang eine ununterbrochene Insulinabgabe, ohne dass man eine Nadel sehen oder handhaben muss. Das Flaggschiff von Insulet, das Omnipod 5 Automated Insulin Delivery System, lässt sich mit einem kontinuierlichen Blutzuckermessgerät kombinieren, um den Blutzucker ohne mehrfache tägliche Injektionen und ohne Fingerstiche zu kontrollieren, und kann in den USA mit einem kompatiblen Smartphone oder mit dem Omnipod 5 Controller gesteuert werden. Insulet nutzt das einzigartige Design seines Pods auch, indem es seine Omnipod-Technologieplattform für die Verabreichung von subkutanen Medikamenten, die kein Insulin sind, in anderen therapeutischen Bereichen anpasst“ (übersetzt mit der kostenlosen Version von Deepl.com).

SDG-Vereinbarkeit und ESG-Risiken (In: SDG-Investmentbeispiel 32)

Auch Insulet erfüllt meinen wichtigsten Nachhaltigkeitsanspruch, nämlich Produkte oder Services anzubieten, die möglichst kompatibel mit den Nachhaltigen Entwicklungszielen der Vereinten Nationen (SDG) sind. Clarity.ai hält Insulet zu 100% für SDG-vereinbar. Zum Vergleich: Der Amundi MSCI World Health Care ETF erreicht brutto nur 14% und netto 8% SDG-Umsatzvereinbarkeit, nachdem SDG-schädliche Umsätze abgezogen wurden. Der von mir beratene Fonds hat aktuell insgesamt 95% netto-SDG-Umsatzvereinbarkeit.

Dieser Unterschied erklärt sich vor allem dadurch, dass Clarity.ai nur Krankheiten berücksichtigt, die für die ersten 80 % der beeinträchtigungsbereinigten Lebensjahre verantwortlich sind („Disability-adjusted life years (Hashtag#DALYs), DALYs are calculated by adding the years of life lost due to premature death (YLLs) and the years of healthy life lost due to disability (YLDs). One DALY represents the loss of one year of full health“).

Schwere Incidents oder Verstöße gegen die zahlreichen 100% Ausschlußkriterien bzw. kritischen Aktivitäten des Fonds sind nicht bekannt.

Der aggregierte ESG-Best-in-Universe Score von Insulet liegt bei 71 von 100 und damit ähnlich wie der Fonds insgesamt. Mit 69 für den Sozialscore und je 72 für den Umwelt- und Governancescore liegen diese Werte nahe beieinander und weit oberhalb der mindestens 50, die für eine Aufnahme in den Fonds erforderlich sind.

Schnelle Reaktion auf mein Share- und Stakeholder-Engagement

Insulet ist eine von drei der dreißig Aktien des Fondsportfolios, die im Rahmen der jährlichen Neuselektion im Dezember 2024 ins Portfolio aufgenommen wurden.

Insulet hat sehr schnell auf meine erste Informationsanfrage reagiert. Allerdings war die Antwort inhaltlich nicht besonders hilfreich. Inzwischen sind meine daraufhin an Insulet geschickten konkreten Veränderungsvorschläge von Investor Relations an das Nachhaltigkeitsteam weitergeleitet worden (Hier sind meine Vorschläge zu GHG-Emissionen, ESG-Befragungen von Kunden und Mitarbeitern und Nachhaltigkeitsbewertungen von Lieferanten  (vgl. 241203_Nachhaltigkeitsinvestmentpolitik_der_Soehnholz_Asset_Management_GmbH.pdf).

Gute Portfoliodiversifikation (In: SDG-Investmentbeispiel 32)

Insulet ist der erste Diabetes-Spezialist im Portfolio und deshalb ein guter Diversifikator. Nach den Planungen des Unternehmens sollen die Umsätze außerhalb der USA ausgeweitet werden. Außerdem soll die Diabetes-Technik auch für weitere Anwendungen genutzt werden. Das kann zu einer Risikoreduktion für die Aktie führen.

Mit einer Marktkapitalisierung von gut 20 Mrd. US-Dollar ist Insulet kein Smallcap mehr. Typischerweise haben Unternehmen, die meine SDG- und alle anderen Nachhaltigkeitsanforderungen erfüllen, eine Kapitalisierung unter vier Milliarden US-Dollar, was dem aktuellen Median der Aktien des Fonds entspricht.  Um genug attraktive Aktien für das Portfolio zu finden, nutze ich allerdings keine formale Kapitalisierungs-Obergrenze. Allerdings erfüllen fast nur Small- und Mid-Caps meine Nachhaltigkeitsanforderungen. So liegt die Median-Kapitalisierung der aktuellen Fondskandidaten inklusive der potenziellen Nachrücker bei 2,7 Milliarden Euro.

Der Kurs der Aktie hat sich seit der Aufnahme ins Portfolio kaum verändert.

Weitere Informationen zum Fonds

Insgesamt hat der von mir beratene Fonds seit der Auflage im August 2021 eine ähnliche Performance wie durchschnittliche globale Small- und Midcapfonds (vgl. z.B. Fonds-Portfolio: Mein Fonds | CAPinside und Globale Small-Caps: Faire Benchmark für meinen Artikel 9 Fonds?).

Ein Fondsinvestment war also bisher ein „Free Lunch“ in Bezug auf Nachhaltigkeit: Man erhält ein besonders konsequent nachhaltiges Portfolio mit markttypischen Renditen und Risiken (vgl. Free Lunch: Diversifikation nein, Nachhaltigkeit ja?).

Weitere Beiträge zum Fonds (In: SDG-Investmentbeispiel 32)

My fund

Nachhaltiges Investmentbeispiel 1: Gesundheitspersonalservices (5-2024)

SDG-Investment 2: Handschuhe aus Australien (6-2024)

Impactbeispiel 3: Wassermessgeräte (6-2024)

Impactbeispiel 4: Schwedische Labortechnik (6-2024)

Impactfonds im Nachhaltigkeitsvergleich (6-2024)

SDG-Investmentbeispiel 5: US-Arzneimittelvertrieb (7-2024)

SDG-Investmentbeispiel 6: Hörimplantate aus Australien (8-2024)

3 Jahre nachhaltigster diversifizierter Fonds? (8-2024)

My shareholder engagement: Failures, successes and adaption (8-2024)

SDG-Investmentbeispiel 7: Chinesische Taxis? (9-2024)

SDG-Investmentbeispiel 8: Baskische Schienenfahrzeuge (9-2024)

SDG-Investmentbeispiel 9: Krebsbekämpfung aus Schweden (9-2024)

SDG-Investmentbeispiel 10: US-Krebsvorsorge und -Diagnose (9-2024)

SDG-Investmentbeispiel 11: Solartechnik aus den USA (9-2024)

SDG-Investmentbeispiel 12: Schweizer Apotheken (9-2024)

SDG-Investmentbeispiel 13: Fokus Grüner Star (10-2024)

SDG-Investmentbeispiel 14: US-Dentalvertrieb (10-2024)

SDG-Investmentbeispiel 15: Smart Grids aus der Schweiz) (10-2024)

SDG-Investmentbeispiel 16: Schweizer Orthopädie (10-2024)

SDG-Investmentbeispiel 17: Mettler Toledo (10-2024)

SDG-Investmentbeispiel 18: Nachhaltige Busse (10-2024)

SDG-Investmentbeispiel 19: Deutsche Gesundheits-Software (10-2024)

SDG-Investmentbeispiel 20: Deutsche Onshore-Windenergie (10-2024)

SDG-Investmentbeispiel 21: Medizingeräte aus Japan (11-2024)

SDG-Investmentbeispiel 22: US-Gesundheitsservices (11-2014)

SDG-Investmentbeispiel 23 Pro Medicus (11-2014)

SDG-Investmentbeispiel 24: Australischer Krankenhausbetreiber (11-2014)

SDG-Investmentbeispiel 25: Biopharmatechnik (12-2024)

SDG-Investmentbeispiel 26: Erneuerbare Energie für Afrika (12-2024)

SDG-Investmentbeispiel 27: Laborservices aus Australien (12-2024)

SDG-Investmentbeispiel 28: Finnische Wellness (12-2024)

SDG-Investmentbeispiel 29: Transplantationsprodukte (12-2024)

SDG-Investmentbeispiel 30: Deutsche Medizintechnik (12-2024)

SDG-Investmentbeispiel 31: Finanzierung nachhaltiger Energieproduktion (12-2024)

Disclaimer

Dieser Beitrag 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 keine Finanzanalyse und nicht als Verkaufsangebot oder Aufforderung zur Abgabe eines Kauf- oder Zeichnungsangebots für Anteile der/s in dieser Unterlage dargestellten Aktie/Fonds zu verstehen und ersetzen nicht eine anleger- und anlagegerechte Beratung.

Die in diesem Artikel enthaltenen Informationen dienen ausschließlich zu Bildungs- und Informationszwecken. Sie sind weder als Aufforderung noch als Anreiz zum Kauf oder Verkauf eines Wertpapiers oder Finanzinstruments zu verstehen. Die in diesem Artikel enthaltenen Informationen sollten nicht als alleinige Quelle für Anlageentscheidungen verwendet werden.

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 des Fonds werden bei der Kapitalverwaltungsgesellschaft (Monega Kapitalanlagegesellschaft mbH), der Verwahrstelle (Kreissparkasse Köln) und den Vertriebspartnern zur kostenlosen Ausgabe bereitgehalten. Die Verkaufsunterlagen sind zudem im Internet unter www.monega.de erhältlich. Die in dieser Unterlage zur Verfügung gestellten Inhalte dienen lediglich der allgemeinen Information und stellen keine Beratung oder sonstige Empfehlung dar. Die Kapitalanlage ist stets mit Risiken verbunden und kann zum Verlust des eingesetzten Kapitals führen. Vor einer etwaigen Anlageentscheidung sollten Sie eingehend prüfen, ob die Anlage für Ihre individuelle Situation und Ihre persönlichen Ziele geeignet ist.

Diese Unterlage enthält ggf. Informationen, die aus öffentlichen Quellen stammen, die die Erstellerin für verlässlich hält. Die dargestellten Inhalte, insbesondere die Darstellung von Strategien sowie deren Chancen und Risiken, können sich im Zeitverlauf ändern. Einschätzungen und Bewertungen reflektieren die Meinung der Erstellerin zum Zeitpunkt der Erstellung und können sich jederzeit ändern. Es ist nicht beabsichtigt, diese Unterlage laufend oder überhaupt zu aktualisieren. Sie stellt nur eine unverbindliche Momentaufnahme dar. Die Unterlage ist ausschließlich zur Information und zum persönlichen Gebrauch bestimmt. Jegliche nicht autorisierte Vervielfältigung und Weiterverbreitung ist untersagt.

SDG-Investmentbeispiel 31 Bild von HASI

SDG-Investmentbeispiel 31: Finanzierung nachhaltiger Energieproduktion

SDG-Investmentbeispiel 31 Illustration von HASI

Hannon Armstrong Sustainable Infrastructure: Unternehmensübersicht

Der von mir beratene Fonds enthält zwar nur 30 Aktien, aber Anfang Dezember 2024 wurde die jährliche Aktienselektion durchgeführt. Diese hat zum Verkauf von drei Aktien aus dem Bestandsportfolio geführt, davon zwei wegen meiner Erhöhung der SDG-Umsatzvereinbarkeitsanforderung von 50% auf 90%.

Das SDG-Investmentbeispiel 31 aus dem von mir beratenen Fonds ist HASI bzw. Hannon Armstrong Sustainable Infrastructure. HASI ist eine von den drei neu in den Fonds aufgenommenen Aktien. HASI finanziert Investments mit Fokus auf nachhaltige Energie. Dafür hat HASI drei Geschäftsbereiche: „Behind the meter“ mit Energieeffizienz und netzunabhängigen Solarinvestments, netzgebundene Solar-, Wind- und Speicherinvestments und „Fuels, Transport & Nature“. Insgesamt wurden zuletzt über 13 Milliarden US-Dollar gemanagt.  Durch den projektorientierten Ansatz schwanken die Umsätze mit den drei Bereichen beträchtlich.

Sehr hohe SDG-Vereinbarkeit und geringe ESG-Risiken (in: SDG-Investmentbeispiel 31)

Auch HASI erfüllt meinen wichtigsten Nachhaltigkeitsanspruch, nämlich Produkte oder Services anzubieten, die möglichst kompatibel mit den Nachhaltigen Entwicklungszielen der Vereinten Nationen (SDG) sind. Clarity.ai weist für HASI 100% netto-Umsatzvereinbarkeit mit den SDG aus. Das ist noch höher als die aktuell 95% des von mir beratenen Fonds und liegt erheblich über den 53% des Amundi MSCI New Energy ESG Screened ETFs. Schwere Incidents oder Verstöße gegen die zahlreichen 100% Ausschlusskriterien bzw. kritischen Aktivitäten des Fonds sind nicht bekannt.

Der aggregierte Best-in-Universe ESG-Score von HASI liegt mit 74 von 100 über dem bereits hohen Fondsdurchschnitt von 70. Mit 97 ist besonders der E-Score herausragend (Fonds: 73) aber auch der Governance-Score ist mit 83 sehr gut (Fonds:80). Auch der Sozialscore liegt mit 63 über dem Fondsdurchschnitt von 61.

Positive Share- und Stakeholder-Engagement-Reaktion

Investment- und Engagementstart bei HASI war Anfang Dezember 2024. Die Investor Relations Abteilung von HASI hat sich auf meine Anfrage hin sehr schnell gemeldet und meine Fragen beantwortet. Ausserdem wurde signalisiert, dass man für meine Anregungen in Bezug auf ESG-Mitarbeiter- und Kundenbefragungen aber auch Lieferantenbewertungen offen ist. Ich habe daraufhin meine konkreten Vorschläge mit den zugehörigen wissenschaftlichen Grundlagen und Best-Practice-Beispielen an HASI geschickt (vgl. 241203_Nachhaltigkeitsinvestmentpolitik_der_Soehnholz_Asset_Management_GmbH.pdf).

Gute Portfoliodiversifikation (in: SDG-Investmentbeispiel 31)

HASI ist das einzige Unternehmen im Portfolio, welches dem Finanzdienstleistungssektor zugerechnet wird. Mit First Solar ist nur noch ein anderes US-basierte Unternehmen in Bereich erneuerbare Energien tätig, aber die Geschäftsmodelle sind komplett unterschiedlich, so dass kein direkter Wettbewerb besteht. Damit ist die Diversifikationseigenschaft gut.

Mit knapp 4 Mrd. USD Marktkapitalisierung ist HASI nahe am Median der Unternehmen des Fonds und damit dem angestrebten Smallcapfokus.

Seit der Aufnahme ins Portfolio ist der Aktienkurs von HASI um 10% gefallen.

Weitere Informationen zum Fonds

Insgesamt hat der von mir beratene Fonds seit der Auflage im August 2021 eine ähnliche Performance wie durchschnittliche globale Small- und Midcapfonds (vgl. z.B. Fonds-Portfolio: Mein Fonds | CAPinside und Globale Small-Caps: Faire Benchmark für meinen Artikel 9 Fonds?).

Ein Fondsinvestment war also bisher ein „Free Lunch“ in Bezug auf Nachhaltigkeit: Man erhält ein besonders konsequent nachhaltiges Portfolio mit markttypischen Renditen und Risiken (vgl. Free Lunch: Diversifikation nein, Nachhaltigkeit ja?).

Weitere Beiträge zum Fonds (in: SDG-Investmentbeispiel 31)

My fund

Nachhaltiges Investmentbeispiel 1: Gesundheitspersonalservices (5-2024)

SDG-Investment 2: Handschuhe aus Australien (6-2024)

Impactbeispiel 3: Wassermessgeräte (6-2024)

Impactbeispiel 4: Schwedische Labortechnik (6-2024)

Impactfonds im Nachhaltigkeitsvergleich (6-2024)

SDG-Investmentbeispiel 5: US-Arzneimittelvertrieb (7-2024)

SDG-Investmentbeispiel 6: Hörimplantate aus Australien (8-2024)

3 Jahre nachhaltigster diversifizierter Fonds? (8-2024)

My shareholder engagement: Failures, successes and adaption (8-2024)

SDG-Investmentbeispiel 7: Chinesische Taxis? (9-2024)

SDG-Investmentbeispiel 8: Baskische Schienenfahrzeuge (9-2024)

SDG-Investmentbeispiel 9: Krebsbekämpfung aus Schweden (9-2024)

SDG-Investmentbeispiel 10: US-Krebsvorsorge und -Diagnose (9-2024)

SDG-Investmentbeispiel 11: Solartechnik aus den USA (9-2024)

SDG-Investmentbeispiel 12: Schweizer Apotheken (9-2024)

SDG-Investmentbeispiel 13: Fokus Grüner Star (10-2024)

SDG-Investmentbeispiel 14: US-Dentalvertrieb (10-2024)

SDG-Investmentbeispiel 15: Smart Grids aus der Schweiz) (10-2024)

SDG-Investmentbeispiel 16: Schweizer Orthopädie (10-2024)

SDG-Investmentbeispiel 17: Mettler Toledo (10-2024)

SDG-Investmentbeispiel 18: Nachhaltige Busse (10-2024)

SDG-Investmentbeispiel 19: Deutsche Gesundheits-Software (10-2024)

SDG-Investmentbeispiel 20: Deutsche Onshore-Windenergie (10-2024)

SDG-Investmentbeispiel 21: Medizingeräte aus Japan (11-2024)

SDG-Investmentbeispiel 22: US-Gesundheitsservices (11-2014)

SDG-Investmentbeispiel 23 Pro Medicus (11-2014)

SDG-Investmentbeispiel 24: Australischer Krankenhausbetreiber (11-2014)

SDG-Investmentbeispiel 25: Biopharmatechnik (12-2024)

SDG-Investmentbeispiel 26: Erneuerbare Energie für Afrika (12-2024)

SDG-Investmentbeispiel 27: Laborservices aus Australien (12-2024)

SDG-Investmentbeispiel 28: Finnische Wellness (12-2024)

SDG-Investmentbeispiel 29: Transplantationsprodukte (12-2024)

SDG-Investmentbeispiel 30: Deutsche Medizintechnik (12-2024)

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