Archiv der Kategorie: Asset Allocation

Climate Shaming: Illustration from Nina Garman from Pixabay

Climate shaming: Researchpost 171

Ilustration from Pixabay by Nina Garman

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

Ecological and social research

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

ESG investment research (in: Climate Shaming)

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

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

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

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

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

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

Impact investment research (in: Climate Shaming)

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

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

Other investment research

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

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


Advert for German investors:

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

Q1 Performance Illustration von Gerd Altmann von Pixabay

Q1 Renditen der Soehnholz ESG Portfolios

Q1 Renditen: Passive Multi-Asset Portfolios OK

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

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

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

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

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

Q1 Renditen: Direkte ESG SDG Portfolios OK

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

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

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

Weiterführende Infos:

Regeländerungen: Nachhaltig aktiv oder passiv? – Responsible Investment Research Blog (

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

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

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

ESG rumor illustration from yaobim from Pixaby

ESG rumors: Researchpost #169

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

Ecological and social research

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

ESG investment research (ESG rumors)

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

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

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

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

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

Other investment research (ESG rumors)

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

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


Advert for German investors:

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

Nutrition changes: Picture shows aubergine caricature by nneem from Pixabay

Nutrition changes: Researchpost #163

Nutrition changes: 13x new research on biodiversity, food, socially responsible buying, SFDR, ESG data, green indices, derivatives, impact investing, ESG compensation, stock and bond risks, and financial advisor biases by Patrick Velte, BaFin, Morningstar and many others (# shows number of full SSRN downloads as of Feb. 15th, 2024):

Social and ecological research (in: “Nutrition changes”)

Man vs. biodiversity: The Main Drivers of Biodiversity Loss: A Brief Overview  by Christian Hald-Mortensen as of Oct. 18th, 2023 (#101): “The drivers of biodiversity loss are complex – this paper has examined the main drivers, namely agricultural expansion, climate change, overfishing, urbanization, and the introduction of invasive species. To avoid further biodiversity loss, the role of agricultural expansion and land use change becomes apparent as a cause of 85% of at-risk species” (p. 5/6).

Nutrition changes (1): European Food Trends Report: Feeding the Future Opportunities for a Sustainable Food System by Christine Schäfer, Karin Frick and Johannes C. Bauer as of Nov. 7th, 2023 (#41): “…Industry, logistics, retail and research are developing new solutions for a diet that does not come at the expense of the planet. By employing methods of agro-ecology and precision agriculture, farmers can produce in a more resource-efficient way. Smart data enables more efficient logistics. New virtual distribution channels and a vibrant creator economy – which includes food bloggers, influencers and online chefs – are shaking up the industry and are able to bring important issues to consumers’ attention. By using packaging that is recyclable or biodegradable, the processing industry is able to reduce its ecological footprint. Meanwhile, researchers have long since explored alternative protein sources based on cells or fermentation, the production of which generates fewer greenhouse gas emissions compared with conventional meat production” (p. 2).

Nutrition changes (2): From Intention to Plate: Why Good Dietary Resolutions Fail by Petra Tipaldi, Christine Schäfer and Johannes C. Bauer as of Jan. 11th, 2024 (#17): “What we eat accounts for more than 30% of man-made greenhouse gas emissions. … The majority of the Swiss population is aware of this: 98% want to change the way they eat, at least partially. 91% want to avoid generating food waste, more than three-quarters want to eat more healthy, seasonal and regional foods and even 42% want to often cut out fish and meat. Despite Swiss people being so motivated, the same products mostly end up on their plates like before, as a representative survey from the Gottlieb Duttweiler Institute shows. The study reveals: there is an intention-behaviour gap. … Consumers can do the most for the environment by avoiding food waste, reducing their consumption of fish, meat and animal products in general and buying food with the lowest possible CO2 emissions. The study also shows the extent to which companies, the retail industry and politicians can support consumers to seize their opportunities for action so that sustainable diets do not remain an intention but become a reality on consumers’ plates”.

Community & supply SCR: Which CSR Activities Motivate Socially Responsible Buying? by Katherine Taken Smith, Donald Lamar Ariail, Murphy Smith, and Amine Khayati as of Feb. 8th, 2023 (#14): “In support of prior research, our findings revealed consumers to be more inclined to purchase from companies engaged in CSR activities. … While consumers voiced support for CSR activities in each of the social issues, only two were identified as motivating socially responsible buying: i.e., community and supply chain. As a CSR issue, the term supply chain encompasses ethical labor concerns such as child labor and human trafficking. The term community refers to a company investing resources in the local economy. … females displayed significantly higher buying intentions towards companies that practice CSR. Females, compared to males, were more supportive of CSR activities related to ethics and philanthropy. … Non-conservative consumers, compared to conservative, exhibited a higher degree of socially responsible buying. … religious consumers, compared to non-religious, were more supportive of CSR activities related to community and ethics“ (p. 18/19). My comment: My shareholder engagement activities include a focus on suppliers by asking buyers to use comprehensive ESG-ratings, see Supplier engagement – Opinion post #211 – Responsible Investment Research Blog (

Responsible investment research (in: “Nutrition changes”)

Sustainable fund details: SFDR Article 8 and Article 9 Funds: Q4 2023 in Review? by Hortense Bioy, Boya Wang, Arthur Carabia, Biddappa A R from Morningstar as of Jan. 25th, 2024: “In the fourth quarter of 2023, Article 8 funds registered the largest quarterly outflows on record and Article 9 funds their very first quarterly outflows … Over the entirety of 2023, Article 8 funds registered net outflows of EUR 27 billion, while Article 9 funds collected EUR 4.3 billion and Article 6 funds garnered EUR 93 billion. Actively managed funds drove all the outflows in the fourth quarter as well as over the full year. Passive funds sustained their positive momentum. Assets in Article 8 and Article 9 funds rose by 1.7% over the quarter to a new record of EUR 5.2 trillion. Together, Article 8 and Article 9 funds saw their market share climb further to nearly 60% of the EU universe primarily due to continued reclassification from Article 6 to Article 8 or 9. We identified 256 funds that altered their SFDR status in the fourth quarter, including 218 that upgraded to Article 8 from Article 6, while only four funds downgraded to Article 8 from Article 9” (p. 1). My comment: There are only very few Article 9 funds with a focus on SDGs (if so, mostly ecology oriented funds) or small and midcaps. There is still limited competition (and overlap with other funds) for my small/midcap (social) SDG fund which – since inception – has a similar performance as traditional small/midcap funds (see Fonds-Portfolio: Mein Fonds | CAPinside)

ESG rating deficits: BaFin Marktstudie – Durchführung einer Marktstudie zur Erhebung von und Umgang mit ESG-Daten und ESG-Ratingverfahren durch Kapitalverwaltungsgesellschaften vom 14.2.2024: „Mithilfe einer Befragung von 30 deutschen KVGen und 6 ESG-Ratinganbietern untersucht die vorliegende Marktstudie der BaFin den Status Quo hinsichtlich der Erhebung und des Umgangs der KVGen mit ESG-Daten und Ratings. … 84% der KVGen zieht MSCI als Datenanbieter heran, gefolgt von ISS (44%), Bloomberg (28%) und Sustainalytics sowie Solactive (jeweils 20%). Über 70% der KVGen, die externe Datenanbieter heranziehen, nutzen mehr als einen Anbieter… Nur rund 38% der KVGen betrachten die Qualität extern erhobener ESG-Daten und Ratings als „hoch“ … Als Gründe werden neben der zum Teil schlechten Datenabdeckung auch die zum Teil unzureichende Aktualität der Daten genannt … während 64% der KVGen sich eine schnellere Beantwortung ihrer Fragen durch die Anbieter wünschten“ (p. 3-5). My comment: MSCI is not necessarily the best sustainability data provider. The costs of <50k EUR p.a. for ESG data seems low and not high to me. Most likely, (indirect) costs charged to the portfolio managers of the funds are not included in that figure. And those costs can be very high, if detailed and transparent reporting to end-investors is offered. Also, there is a (under)performance risk if there is crowding in highly MSCI rated investments (compare: Glorreiche 7: Sind sie unsozial? – Responsible Investment Research Blog (

Green index variations: Resilience or Returns: Assessing Green Equity Index Performance Across Market Regimes by An Duong as of Jan. 5th, 2024 (#20): “… we embark on a comprehensive examination of the performance differential between green equity indices, specifically the FTSE4Good series, and conventional equity indices across a diverse set of economies: the US, UK, Japan, Indonesia, Malaysia, Mexico, and Taiwan. … in periods of market stress, green indices often demonstrate slightly less negative returns than their conventional counterparts, … in developing economies, green indices exhibit higher volatility, indicating greater sensitivity to market downturns, contrasted with the lower volatility observed in developed markets. … In addition, Green indices show a higher likelihood of remaining in bearish states, suggesting either a resilience to rapid shifts or a slower adaptation to positive market changes “ (p. 31).

Commodity ESG: ESG and Derivatives by Rajkumar Janardanan, Xiao Qiao, and K. Geert Rouwenhorst as of Feb. 8th, 2024 (#40): “We present a simple conceptual framework to illustrate how ESG considerations can be applied to derivatives in practice, using the market for commodity futures as an example. Because derivatives do not target individual firms, we link the S and G scores to the geography of global production. … Some preliminary simulation evidence suggests that, for now, including ESG considerations in the selection of commodity futures would have not materially impacted the risk and return properties of investor portfolios” (p. 14).

Impact investment research (in: “Nutrition changes”)

Beyond ESG: From ESG to Sustainable Impact Finance: Moving past the current confusion by Costanza Consolandi and Jim Hawley as of Feb. 5th, 2024 (#86): “We argue that ESG/Sustainability is moving from being based primarily on ESG ratings and rankings … to sustainability (ESG) being based on mandated disclosure and analysis of externalities. We briefly examine the basis of ESG ranking and ratings confusion concluding that based on current methodologies of major providers results in neither significant change nor accurate disclosures by firms. Alternatively, we suggest an integration of externality data will significantly modify Modern Portfolio Theory as it does not account for externality effects either … Not accounting for externalities leads to sub-optimum economic system performance … Finally, we place these concepts and developments the context of global emerging regulatory and standard setting” (abstract).

Good ESG bonus? Archival research on sustainability-related executive compensation. A literature review of the status quo and future improvements by Patrick Velte as of Feb. 13th, 2024: “This literature review summarizes previous quantitative archival research on sustainability-related executive compensation (SREC) … there are clear indications that SREC has a positive effect on sustainability performance. In contrast to the business case argument for sustainability, this is not true for financial performance. We find major limitations and research gaps in previous studies that should be recognized in future studies (e.g., differentiation between symbolic and substantive use of SREC)” (abstract). My comment: I hope that there will be more such research, e.g. focusing on pay ratios, see Pay Gap, ESG-Boni und Engagement: Radikale Änderungen erforderlich – Responsible Investment Research Blog (

Other investment research

Risk versus time: The Long and Short of Risk and Return by Leo H. Chan as of Dec. 20th, 2023 (#31): “I show that risk increases as the measurement time frame shortens, while it decreases as the measurement time frame increases. … Over the long horizon, risk (as measured by standard deviation of returns) is no longer a concern. Rather, an investor should pay more attention to the total return of an investment portfolio. In this regard, what is considered risky (stocks) is a far better choice than what is considered safe (bonds)” (abstract).

Only stocks or more? Stocks for the Long Run? Sometimes Yes, Sometimes No by Edward F. McQuarrie as of Feb. 13th, 2024: “Digital archives have made it possible to compute real total return on US stock and bond indexes from 1792. The new historical record shows that over multi-decade periods, sometimes stocks outperformed bonds, sometimes bonds outperformed stocks and sometimes they performed about the same. New international data confirm this pattern. Asset returns in the US in the 20th century do not generalize. Regimes of asset outperformance come and go; sometimes there is an equity premium, sometimes not” (abstract).

Advisor bias: Financial Advisors and Investors’ Bias by Marianne Andries, Maxime Bonelli, and David Sraer as of Jan. 27th, 2024 (#73): “We exploit a quasi-natural experiment run by a prominent French brokerage firm that removed stocks’ average acquisition prices from the online platform used by financial advisors. … First, even in our sample of high-net-worth investors receiving regular financial advice, the disposition effect – investors’ tendency to hold on to their losing positions and sell their winning stocks – is a pervasive investment bias. Second, financial advisors do exert a significant influence on their clients’ investment decisions. Third, financial advisors do not actively mitigate their clients’ biases: when advisors have access to information relevant to their clients’ disposition effect – whether stocks in their portfolio are in paper gains or losses – clients exhibit more, not less, disposition effect“ (p. 25). … “(a) decrease in disposition effect bias leads to higher portfolio returns, increased client inflow, and a lower likelihood of leaving the firm” (abstract).


Advert for German investors:

Sponsor my research by investing in and/or recommending my global small/midcap mutual fund (SFDR Art. 9). The fund focuses on social SDGs and uses separate E, S and G best-in-universe minimum ratings and broad shareholder engagement with currently 26 of 30 companiesFutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T or Noch eine Fondsboutique? – Responsible Investment Research Blog (

2023: Bild von Gerd Altmann von Pixabay

2023: Passive Allokation und ESG gut, SDG nicht gut

2023: Vereinfacht zusammengefasst haben meine Portfolioregeln in 2023 diese Wirkung gehabt: Passive Allokation und ESG gut, SDG schlecht und Trendfolge sehr schlecht…. Im Jahr 2022 hatten dagegen besonders meine Trendfolge und SDG-Portfolios gut rentiert (vgl. SDG und Trendfolge: Relativ gut in 2022).

Passives Allokations-Weltmarktportfolio 2023 mit guter Rendite

Das nicht-nachhaltige Alternatives ETF-Portfolio hat in 2023 mit 7,2% rentiert, also deutlich schlechter als Aktien insgesamt mit ca. 17%. Das regelbasierte „most passive“ Multi-Asset Weltmarkt ETF-Portfolio hat mit +9,9% trotz seines hohen Anteils an Alternatives dagegen relativ gut abgeschnitten, denn die Performance ist sogar etwas besser als die flexibler aktiver Mischfonds (+8,2%).

Das  Alternatives-ETF Portfolio (Start 2016) wird künftig nicht mehr aktiv angeboten (vgl. Alternatives: Thematic replace alternative investments ( Damit ist künftig das Weltmarkt ETF-Portfolio (Start 2016) das einzige verbleibende traditionelle Portfolio im Angebot.

ESG ETF-Portfolios OK

Eine vergleichbare Performance gilt für das ebenfalls breit diversifizierte ESG ETF-Portfolio mit +9%. Das ESG ETF-Portfolio ex Bonds lag dagegen mit +12,8% aufgrund des hohen Alternatives- und geringen Tech-Anteils erheblich hinter traditionellen Aktien-ETFs. Die Rendite ist aber ganz ähnlich wie die +12,1% traditioneller aktiv gemanagter globaler Aktienfonds. Das ESG ETF-Portfolio ex Bonds Income verzeichnete ein geringeres Plus von +9,1%. Das ist etwas schlechter als die +9,8% traditioneller Dividendenfonds.

Mit +0,8% schnitt das ESG ETF-Portfolio Bonds (EUR) ähnlich wie die +1,5% für vergleichbare traditionelle Anleihe-ETFs ab. Aktive Fonds haben jedoch +4,6% erreicht. Anders als in 2022, hat meine Trendfolge mit -1,8% für das ESG ETF-Portfolio ex Bonds Trend aber nicht gut funktioniert.

SDG ETF-Portfolio: 2023 naja

Das aus thematischen Aktien-ETFs bestehende SDG ETF-Portfolio lag mit +2,6% stark hinter traditionellen Aktienanlagen zurück und das SDG ETF-Trendfolgeportfolio zeigt mit -10% eine sehr schlechte Performance. Für thematische Investments mit ökologischem Fokus lief es allerdings in 2023 generell nicht so gut.

Um das Portfolioangebot zu straffen, werden künftig nur noch 4 ESG ETF-Portfolios aktiv angeboten: Multi-Asset (Start 2016), Aktien, renditeorientierte Anleihen und sicherheitsorientierte Anleihen (alle Start 2019). Hinzu kommen, wie gehabt, die beiden SDG ETF-Portfolios (Start 2019 und 2020).

Direkte pure ESG-Aktienportfolios OK

Das aus 30 Aktien bestehende Global Equities ESG Portfolio hat +14,6% gemacht und liegt damit besser als traditionelle aktive Fonds (+12,1%) aber hinter traditionellen Aktien-ETFs, was vor allem an den im Portfolio nicht vorhandenen Mega-Techs lag. Das nur aus 5 Titeln bestehende Global Equities ESG Portfolio S war mit +8,9% etwas schlechter, liegt aber seit dem Start in 2017 immer noch vor dem 30-Aktien Portfolio.

Das Infrastructure ESG Portfolio hat -5,1% verloren und liegt damit erheblich hinter den +0,8% traditioneller Infrastrukturfonds und den +9,2% eines traditionellen Infrastruktur-ETFs. Das Real Estate ESG Portfolio hat +7,2% gewonnen, während traditionelle globale Immobilienaktien-ETFs +6,9% und aktiv gemanagte Fonds +7,9% gewonnen haben. Das Deutsche Aktien ESG Portfolio hat +6,7% zugelegt. Das wiederum liegt erheblich hinter aktiv gemanagten traditionellen Fonds mit +15,1% und nennenswert hinter vergleichbaren ETFs mit +16,2%.

Direkte ESG plus SDG-Aktienportfolios: Nicht so gut

Das auf soziale Midcaps fokussierte Global Equities ESG SDG hat mit -0,7% im Vergleich zu allgemeinen Aktienfonds sehr schlecht abgeschnitten. Das ist vor allem auf den hohen Gesundheitsanteil zurückzuführen. Das Global Equities ESG SDG Trend Portfolio hat mit -8,4% – wie die anderen Trendfolgeportfolios – besonders schlecht abgeschnitten. Das Global Equities ESG SDG Social Portfolio hat dagegen mit +10,4% im Vergleich zum Beispiel zu Gesundheits-ETFs bzw. aktiven Fonds (-0,6 bzw. -1,0%) dagegen ziemlich gut abgeschnitten.

Aufgrund mangelnder Nachfrage werden die direkten ESG-Aktienportfolios für globale Aktien, deutsche Aktien, Infrastrukturaktien und Immobilienaktien (alle Start 2016 und 2017) künftig nicht mehr aktiv angeboten, sondern nur noch die ESG + SDG-Aktienportfolios (Start 2017 und 2022).

Fondsperformance: Nicht so gut

Mein FutureVest Equity Sustainable Development Goals R Fonds (Start 2021) zeigt nach einem im Vergleich zu anderen Portfolios sehr guten Jahr 2022 (-8,1%) in 2023 mit +0,5% eine starke Underperformance gegenüber traditionellen Aktienmärkten. Das liegt vor allem an der Branchenzusammensetzung des Portfolios mit Fokus auf Gesundheit und an den relativ hohen nachhaltigen Infrastruktur- und Immobilienanteilen (weitere Informationen wie z.B. auch den aktuellen detaillierten Engagementreport siehe FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T). Hinzu kommt, dass die sogenannten Glorreichen 7 bewusst in keinem meiner direkten Portfolios enthalten sind (vgl. Glorreiche 7: Sind sie unsozial? – Responsible Investment Research Blog ( Dafür sind das letzte Quartal 2023 mit +9,4% und vor allem der Dezember mit +9,0% besonders gut gelaufen.

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

Sustainable investment: Picture by Peggy and Marco-Lachmann-Anke from Pixabay

Sustainable investment = radically different?

Sustainable investment can be radically different from traditional investment. „Asset Allocation, Risk Overlay and Manager Selection“ is the translation of the book-title which I wrote in 2009 together with two former colleagues from FERI in Bad Homburg. Sustainability plays no role in it. My current university lecture on these topics is different.

Sustainability can play a very important role in the allocation to investment segments, manager and fund selection, position selection and also risk management. Strict sustainability can even lead to radical changes: More illiquid investments, lower asset class diversification, significantly higher concentration within investment segments, more active instead of passive mandates and different risk management. Here is why:

Central role of investment philosophy and sustainability definition for sustainable investment

Investors should define their investment philosophy as clearly as possible before they start investing. By investment philosophy, I mean the fundamental convictions of an investor, ideally a comprehensive and coherent system of such convictions (see Das-Soehnholz-ESG-und-SDG-Portfoliobuch 2023, p. 21ff.). Sustainability can be an important element of an investment philosophy.

Example: I pursue a strictly sustainable, rule-based, forecast-free investment philosophy (see e.g. Investment philosophy: Forecast fans should use forecast-free portfolios). To this end, I define comprehensive sustainability rules. I use the Policy for Responsible Investment Scoring Concept (PRISC) tool of the German Association for Asset Management and Financial Analysis (DVFA) for operationalization.

When it comes to sustainable investment, I am particularly interested in the products and services offered by the companies and organizations in which I invest or to which I indirectly provide loans. I use many strict exclusions and, above all, positive criteria. In particular, I want that the revenue or service is as compatible as possible with the Sustainable Development Goals of the United Nations (UN SDG) („SDG revenue alignment“). I also attach great importance to low absolute environmental, social and governance (ESG) risks. However, I only give a relatively low weighting to the opportunities to change investments („investor impact“) (see The Soehnholz ESG and SDG Portfolio Book 2023, p. 141ff). I try to achieve impact primarily through shareholder engagement, i.e. direct sustainability communication with companies.

Other investors, for whom impact and their own opportunities for change are particularly important, often attach great importance to so-called additionality. This means, that the corresponding sustainability improvements only come about through their respective investments. If an investor finances a new solar or wind park, this is considered additional and therefore particularly sustainable. When investing money on stock exchanges, securities are only bought by other investors and no money flows to the issuers of the securities – except in the case of relatively rare new issues. The purchase of listed bonds or shares in solar and wind farm companies is therefore not considered an impact investment by additionality supporters.

Sustainable investment and asset allocation: many more unlisted or alternative investments and more bonds?

In extreme cases, an investment philosophy focused on additionality would mean investing only in illiquid assets. Such an asset allocation would be radically different from today’s typical investments.

Better no additional allocation to illiquid investments?

Regarding additionality, investor and project impact must be distinguished. The financing of a new wind farm is not an additional investment, if other investors would also finance the wind farm on their own. This is not atypical. There is often a so-called capital overhang for infrastructure and private equity investments. This means, that a lot of money has been raised via investment funds and is competing for investments in such projects.

Even if only one fund is prepared to finance a sustainable project, the investment in such a fund would not be additional if other investors are willing to commit enough money to this fund to finance all planned investments. It is not only funds from renowned providers that often have more potential subscriptions from potential investors than they are willing to accept. Investments in such funds cannot necessarily be regarded as additional. On the other hand, there is clear additionality for investments that no one else wants to make. However, whether such investments will generate attractive performance is questionable.

Illiquid investments are also far from suitable for all investors, as they usually require relatively high minimum investments. In addition, illiquid investments are usually only invested gradually, and liquidity must be held for uncertain capital calls in terms of timing and amount. In addition, illiquid investments are usually considerably more expensive than comparable liquid investments. Overall, illiquid investments therefore have hardly any higher return potential than liquid investments. On the other hand, mainly due to the methods of their infrequent valuations, they typically exhibit low fluctuations. However, they are sometimes highly risky due to their high minimum investments and, above all, illiquidity.

In addition, illiquid investments lack an important so-called impact channel, namely individual divestment opportunities. While liquid investments can be sold at any time if sustainability requirements are no longer met, illiquid investments sometimes have to remain invested for a very long time. Divestment options are very important to me: I have sold around half of my securities in recent years because their sustainability has deteriorated (see: Divestments: 49 bei 30 Aktien meines Artikel 9 Fonds).

Sustainability advantages for (corporate) bonds over equities?

Liquid investment segments can differ, too, in terms of impact opportunities. Voting rights can be exercised for shares, but not for bonds and other investment segments. However, shareholder meetings at which voting is possible rarely take place. In addition, comprehensive sustainability changes are rarely put to the vote. If they are, they are usually rejected (see 2023 Proxy Season Review – Minerva).

I am convinced that engagement in the narrower sense can be more effective than exercising voting rights. And direct discussions with companies and organizations to make them more sustainable are also possible for bond buyers.

Irrespective of the question of liquidity or stock market listing, sustainable investors may prefer loans to equity because loans can be granted specifically for social and ecological projects. In addition, payouts can be made dependent on the achievement of sustainable milestones. However, the latter can also be done with private equity investments, but not with listed equity investments. However, if ecological and social projects would also be carried out without these loans and only replace traditional loans, the potential sustainability advantage of loans over equity is put into perspective.

Loans are usually granted with specific repayment periods. Short-term loans have the advantage that it is possible to decide more often whether to repeat loans than with long-term loans, provided they cannot be repaid early. This means that it is usually easier to exit a loan that is recognized as not sustainable enough than a private equity investment. This is a sustainability advantage. In addition, smaller borrowers and companies can probably be influenced more sustainably, so that government bonds, for example, have less sustainability potential than corporate loans, especially when it comes to relatively small companies.

With regard to real estate, one could assume that loans or equity for often urgently needed residential or social real estate can be considered more sustainable than for commercial real estate. The same applies to social infrastructure compared to some other infrastructure segments. On the other hand, some market observers criticize the so-called financialization of residential real estate, for example, and advocate public rather than private investments (see e.g. Neue Studie von Finanzwende Recherche: Rendite mit der Miete). Even social loans such as microfinance in the original sense are criticized, at least when commercial (interest) interests become too strong and private debt increases too much.

While renewable raw materials can be sustainable, non-industrially used precious metals are usually considered unsustainable due to the mining conditions. Crypto investments are usually considered unsustainable due to their lack of substance and high energy consumption.

Assuming potential additionality for illiquid investments and an impact primarily via investments with an ecological or social focus, the following simplified assessment of the investment segment can be made from a sustainability perspective:

Sustainable investment: Potential weighting of investment segments assuming additionality for illiquid investments:

Source: Soehnholz ESG GmbH 2023

Investors should create their own such classification, as this is crucial for their respective sustainable asset allocation.

Taking into account minimum capital investment and costs as well as divestment and engagement opportunities, I only invest in listed investments, for example. However, in the case of multi-billion assets with direct sustainability influence on investments, I would consider additional illiquid investments.

Sustainable investment and manager/fund selection: more active investments again?

Scientific research shows that active portfolio management usually generates lower returns and often higher risks than passive investments. With very low-cost ETFs, you can invest in thousands of securities. It is therefore no wonder that so-called passive investments have become increasingly popular in recent years.

Diversification is often seen as the only „free lunch“ in investing. But diversification often has no significant impact on returns or risks: With more than 20 to 30 securities from different countries and sectors, no better returns and hardly any lower risks can be expected than with hundreds of securities. In other words, the marginal benefit of additional diversification decreases very quickly.

But if you start with the most sustainable 10 to 20 securities and diversify further, the average sustainability can fall considerably. This means that strictly sustainable investment portfolios should be concentrated rather than diversified. Concentration also has the advantage of making voting and other forms of engagement easier and cheaper. Divestment threats can also be more effective if a lot of investor money is invested in just a few securities.

Sustainability policies can vary widely. This can be seen, among other things, in the many possible exclusions from potential investments. For example, animal testing can be divided into legally required, medically necessary, cosmetic and others. Some investors want to consistently exclude all animal testing. Others want to continue investing in pharmaceutical companies and may therefore only exclude „other“ animal testing. And investors who want to promote the transition from less sustainable companies, for example in the oil industry, to more sustainability will explicitly invest in oil companies (see ESG Transition Bullshit?).

Indices often contain a large number of securities. However, consistent sustainability argues in favor of investments in concentrated, individual and therefore mostly index-deviating actively managed portfolios. Active, though, is not meant in the sense of a lot of trading. In order to be able to exert influence by exercising voting rights and other forms of engagement, longer rather than shorter holding periods for investments make sense.

Still not enough consistently sustainable ETF offerings

When I started my own company in early 2016, it was probably the world’s first provider of a portfolio of the most consistently sustainable ETFs possible. But even the most sustainable ETFs were not sustainable enough for me. This was mainly due to insufficient exclusions and the almost exclusive use of aggregated best-in-class ESG ratings. However, I have high minimum requirements for E, S and G separately (see Glorious 7: Are they anti-social?). I am also not interested in the best-rated companies within sectors that are unattractive from a sustainability perspective (best-in-class). I want to invest in the best-performing stocks regardless of sector (best-in-universe). However, there are still no ETFs for such an approach. In addition, there are very few ETFs that use strict ESG criteria and also strive for SDG compatibility.

Even in the global Socially Responsible Investment Paris Aligned Benchmarks, which are particularly sustainable, there are still several hundred stocks from a large number of sectors and countries. In contrast, there are active global sustainable funds with just 30 stocks, which is potentially much more sustainable (see 30 stocks, if responsible, are all I need).

Issuers of sustainable ETFs often exercise sustainable voting rights and even engage, even if only to a small extent. However, most providers of active investments do no better (see e.g. 2023 Proxy Season Review – Minerva). Notably, index-following investments typically do not use the divestment impact channel because they want to replicate indices as directly as possible.

Sustainable investment and securities selection: fewer standard products and more individual mandates or direct indexing?

If there are no ETFs that are sustainable enough, you should look for actively managed funds, award sustainable mandates to asset managers or develop your own portfolios. However, actively managed concentrated funds with a strict ESG plus impact approach are still very rare. This also applies to asset managers who could implement such mandates. In addition, high minimum investments are often required for customized mandates. Individual sustainable portfolio developments, on the other hand, are becoming increasingly simple.

Numerous providers currently offer basic sustainability data for private investors at low cost or even free of charge. Financial technology developments such as discount (online) brokers, direct indexing and trading in fractional shares as well as voting tools help with the efficient and sustainable implementation of individual portfolios. However, the variety of investment opportunities and data qualities are not easy to analyze.

It would be ideal if investors could also take their own sustainability requirements into account on the basis of a curated universe of particularly sustainable securities and then have them automatically implemented and rebalanced in their portfolios (see Custom ESG Indexing Can Challenge Popularity Of ETFs ( In addition, they could use modern tools to exercise their voting rights according to their individual sustainability preferences. Sustainability engagement with the securities issuers can be carried out by the platform provider.

Risk management: much more tracking error and ESG risk monitoring?

For sustainable investments, sustainability metrics are added to traditional risk metrics. These are, for example, ESG ratings, emissions values, principal adverse indicators, do-no-significant-harm information, EU taxonomy compliance or, as in my case, SDG compliance and engagement success.

Sustainable investors have to decide how important the respective criteria are for them. I use sustainability criteria not only for reporting, but also for my rule-based risk management. This means that I sell securities if ESG or SDG requirements are no longer met (see Divestments: 49 bei 30 Aktien meines Artikel 9 Fonds).

The ESG ratings I use summarize environmental, social and governance risks. These risks are already important today and will become even more important in the future, as can be seen from greenwashing and reputational risks, for example. Therefore, they should not be missing from any risk management system. SDG compliance, on the other hand, is only relevant for investors who care about how sustainable the products and services of their investments are.

Voting rights and engagement have not usually been used for risk management up to now. However, this may change in the future. For example, I check whether I should sell shares if there is an inadequate response to my engagement. An inadequate engagement response from companies may indicate that companies are not listening to good suggestions and thus taking unnecessary risks that can be avoided through divestments.

Traditional investors often measure risk by the deviation from the target allocation or benchmark. If the deviation exceeds a predefined level, many portfolios have to be realigned closer to the benchmark. If you want to invest in a particularly sustainable way, you have to have higher rather than lower traditional benchmark deviations (tracking error) or you should do without tracking error figures altogether.

In theory, sustainable indices could be used as benchmarks for sustainable portfolios. However, as explained above, sustainability requirements can be very individual and, in my opinion, there are no strict enough sustainable standard benchmarks yet.

Sustainability can therefore lead to new risk indicators as well as calling old ones into question and thus also lead to significantly different risk management.

Summary and outlook: Much more individuality?

Individual sustainability requirements play a very important role in the allocation to investment segments, manager and fund selection, position selection and risk management. Strict sustainability can lead to greater differences between investment mandates and radical changes to traditional mandates: A lower asset class diversification, more illiquid investments for large investors, more project finance, more active rather than passive mandates, significantly higher concentration within investment segments and different risk management with additional metrics and significantly less benchmark orientation.

Some analysts believe that sustainable investment leads to higher risks, higher costs and lower returns. Others expect disproportionately high investments in sustainable investments in the future. This should lead to a better performance of such investments. My approach: I try to invest as sustainably as possible and I expect a normal market return in the medium term with lower risks compared to traditional investments.

First published in German on on Dec. 30th, 2023. Initial version translated by

Sustainable investment: Picture by Peggy and Marco-Lachmann-Anke from Pixabay

Nachhaltige Geldanlage = Radikal anders?

Nachhaltige Geldanlage kann radikal anders sein als traditionelle. „Asset Allocation, Risiko-Overlay und Manager-Selektion: Das Diversifikationsbuch“ heißt das Buch, dass ich 2009 mit ehemaligen Kollegen der Bad Homburger FERI geschrieben habe. Nachhaltigkeit spielt darin keine Rolle. In meiner aktuellen Vorlesung zu diesen Themen ist das anders. Nachhaltigkeit kann eine sehr wichtige Rolle spielen für die Allokation auf Anlagesegmente, die Manager- bzw. Fondsselektion, die Positionsselektion und auch das Risikomanagement (Hinweis: Um die Lesbarkeit zu verbessern, gendere ich nicht).

Strenge Nachhaltigkeit kann sogar zu radikalen Änderungen führen: Mehr illiquide Investments, erheblich höhere Konzentration innerhalb der Anlagesegmente, mehr aktive statt passive Mandate und ein anderes Risikomanagement. Im Folgenden erkläre ich, wieso:

Zentrale Rolle von Investmentphilosophie und Nachhaltigkeitsdefinition für die nachhaltige Geldanlage

Dafür starte ich mit der Investmentphilosophie. Unter Investmentphilosophie verstehe ich die grundsätzlichen Überzeugungen eines Geldanlegers, idealerweise ein umfassendes und kohärentes System solcher Überzeugungen (vgl.  Das-Soehnholz-ESG-und-SDG-Portfoliobuch 2023, S. 21ff.). Nachhaltigkeit kann ein wichtiges Element einer Investmentphilosophie sein. Anleger sollten ihre Investmentphilosophie möglichst klar definieren, bevor sie mit der Geldanlage beginnen.

Beispiel: Ich verfolge eine konsequent nachhaltige regelbasiert-prognosefreie Investmentphilosophie. Dafür definiere ich umfassende Nachhaltigkeitsregeln. Zur Operationalisierung nutze ich das Policy for Responsible Investment Scoring Concept (PRISC) Tool der Deutschen Vereinigung für Asset Management und Finanzanalyse (DVFA, vgl. Standards – DVFA e. V. – Der Berufsverband der Investment Professionals).

Für die nachhaltige Geldanlage ist mir vor allem wichtig, was für Produkte und Services die Unternehmen und Organisationen anbieten, an denen ich mich beteilige oder denen ich indirekt Kredite zur Verfügung stelle. Dazu nutze ich viele strenge Ausschlüsse und vor allem Positivkriterien. Dabei wird vor allem der Umsatz- bzw. Serviceanteil betrachtet, der möglichst gut mit Nachhaltigen Entwicklungszielen der Vereinten Nationen (UN SDG) vereinbar ist („SDG Revenue Alignment“). Außerdem lege ich viel Wert auf niedrige absolute Umwelt-, Sozial- und Governance-Risiken (ESG). Meine Möglichkeiten zur Veränderung von Investments („Investor Impact“) gewichte ich aber nur relativ niedrig (vgl. Das-Soehnholz-ESG-und-SDG-Portfoliobuch 2023, S. 141ff). Impact möchte ich dabei vor allem über Shareholder Engagement ausüben, also direkte Nachhaltigkeitskommunikation mit Unternehmen.

Andere Anleger, denen Impact- bzw. eigene Veränderungsmöglichkeiten besonders wichtig sind, legen oft viel Wert auf sogenannte Additionalität bzw. Zusätzlichkeit. Das bedeutet, dass die entsprechenden Nachhaltigkeitsverbesserungen nur durch ihre jeweiligen Investments zustande gekommen sind. Wenn ein Anleger einen neuen Solar- oder Windparkt finanziert, gilt das als additional und damit als besonders nachhaltig. Bei Geldanlagen an Börsen werden Wertpapiere nur anderen Anlegern abgekauft und den Herausgebern der Wertpapiere fließt – außer bei relativ seltenen Neuemissionen – kein Geld zu. Der Kauf börsennotierter Anleihen oder Aktien von Solar- und Windparkunternehmen gilt bei Additionalitätsanhängern deshalb nicht als Impact Investment.

Nachhaltige Geldanlage und Asset Allokation: Viel mehr nicht-börsennotierte bzw. alternative Investments und mehr Anleihen?

Eine additionalitätsfokussierte Investmentphilosophie bedeutet demnach im Extremfall, nur noch illiquide zu investieren. Die Asset Allokation wäre radikal anders als heute typische Geldanlagen.

Lieber keine Mehrallokation zu illiquiden Investments?

Aber wenn Additionalität so wichtig ist, dann muss man sich fragen, welche Art von illiquiden Investments wirklich Zusätzlichkeit bedeutet. Dazu muss man Investoren- und Projektimpact trennen. Die Finanzierung eines neuen Windparks ist aus Anlegersicht dann nicht zusätzlich, wenn andere Anleger den Windpark auch alleine finanzieren würden. Das ist durchaus nicht untypisch. Für Infrastruktur- und Private Equity Investments gibt es oft einen sogenannten Kapitalüberhang. Das bedeutet, dass über Fonds sehr viel Geld eingesammelt wurde und um Anlagen in solche Projekte konkurriert.

Selbst wenn nur ein Fonds zur Finanzierung eines nachhaltgien Projektes bereit ist, wäre die Beteiligung an einem solchen Fonds aus Anlegersicht dann nicht additional, wenn alternativ andere Anleger diese Fondsbeteiligung kaufen würden. Nicht nur Fonds renommierter Anbieter haben oft mehr Anfragen von potenziellen Anlegern als sie akzeptieren wollen. Investments in solche Fonds kann man nicht unbedingt als additional ansehen. Klare Additionalität gibt es dagegen für Investments, die kein anderer machen will. Ob solche Investments aber attraktive Performances versprechen, ist fragwürdig.

Illiquide Investments sind zudem längst nicht für alle Anleger geeignet, denn sie erfordern meistens relativ hohe Mindestinvestments. Hinzu kommt, dass man bei illiquiden Investments in der Regel erst nach und nach investiert und Liquidität in Bezug auf Zeitpunkt und Höhe unsichere Kapitalabrufe bereithalten muss. Außerdem sind illiquide meistens erheblich teurer als vergleichbare liquide Investments. Insgesamt haben damit illiquide Investments kaum höhere Renditepotenziale als liquide Investments. Durch die Art ihrer Bewertungen zeigen sie zwar geringe Schwankungen. Sie sind durch ihre hohen Mindestinvestments und vor allem Illiquidität aber teilweise hochriskant.

Hinzu kommt, dass illiquiden Investments ein wichtiger sogenannter Wirkungskanal fehlt, nämlich individuelle Divestmentmöglichkeiten. Während liquide Investments jederzeit verkauft werden können wenn Nachhaltigkeitsanforderungen nicht mehr erfüllt werden, muss man bei illiquiden Investments teilweise sehr lange weiter investiert bleiben. Divestmentmöglichkeiten sind sehr wichtig für mich: Ich habe in den letzten Jahren jeweils ungefähr die Hälfte meiner Wertpapiere verkauft, weil sich ihre Nachhaltigkeit verschlechtert hat (vgl. Divestments: 49 bei 30 Aktien meines Artikel 9 Fonds – Responsible Investment Research Blog (

Nachhaltigkeitsvorteile für (Unternehmens-)Anleihen gegenüber Aktien?

Auch liquide Anlagesegmente können sich in Bezug auf Impactmöglichkeiten unterscheiden. Für Aktien kann man Stimmrechte ausüben (Voting), für Anleihen und andere Anlagesegmente nicht. Allerdings finden nur selten Aktionärsversammlungen statt, zu denen man Stimmrechte ausüben kann. Zudem stehen nur selten umfassende Nachhaltigkeitsveränderungen zur Abstimmung. Falls das dennoch der Fall ist, werden sie meistens abgelehnt (vgl. 2023 Proxy Season Review – Minerva-Manifest).

Ich bin überzeugt, dass Engagement im engeren Sinn wirkungsvoller sein kann als Stimmrechtsausübung. Und direkte Diskussionen mit Unternehmen und Organisationen, um diese nachhaltiger zu machen, sind auch für Käufer von Anleihen möglich.

Unabhängig von der Frage der Liquidität bzw. Börsennotiz könnten nachhaltige Anleger Kredite gegenüber Eigenkapital bevorzugen, weil Kredite speziell für soziale und ökologische Projekte vergeben werden können. Außerdem können Auszahlungen von der Erreichung von nachhaltigen Meilensteinen abhängig gemacht werden können. Letzteres kann bei Private Equity Investments aber ebenfalls gemacht werden, nicht jedoch bei börsennotierten Aktieninvestments. Wenn ökologische und soziale Projekte aber auch ohne diese Kredite durchgeführt würden und nur traditionelle Kredite ersetzen, relativiert sich der potenzielle Nachhaltigkeitsvorteil von Krediten gegenüber Eigenkapital.

Allerdings werden Kredite meist mit konkreten Rückzahlungszeiten vergeben. Kurz laufende Kredite haben dabei den Vorteil, dass man öfter über die Wiederholung von Kreditvergaben entscheiden kann als bei langlaufenden Krediten, sofern man sie nicht vorzeitig zurückbezahlt bekommen kann. Damit kann man aus einer als nicht nachhaltig genug erkannter Kreditvergabe meistens eher aussteigen als aus einer privaten Eigenkapitalvergabe. Das ist ein Nachhaltigkeitsvorteil. Außerdem kann man kleinere Kreditnehmer und Unternehmen wohl besser nachhaltig beeinflussen, so dass zum Beispiel Staatsanleihen weniger Nachhaltigkeitspotential als Unternehmenskredite haben, vor allem wenn es sich dabei um relativ kleine Unternehmen handelt.

In Bezug auf Immobilien könnte man annehmen, dass Kredite oder Eigenkapital für oft dringend benötigte Wohn- oder Sozialimmobilien als nachhaltiger gelten können als für Gewerbeimmobilien. Ähnliches gilt für Sozialinfrastruktur gegenüber manch anderen Infrastruktursegmenten. Andererseits kritisieren manche Marktbeobachter die sogenannte Finanzialisierung zum Beispiel von Wohnimmobilien (vgl. Neue Studie von Finanzwende Recherche: Rendite mit der Miete) und plädieren grundsätzlich für öffentliche statt private Investments. Selbst Sozialkredite wie Mikrofinanz im ursprünglichen Sinn wird zumindest dann kritisiert, wenn kommerzielle (Zins-)Interessen zu stark werden und private Verschuldungen zu stark steigen.

Während nachwachsende Rohstoffe nachhaltig sein können, gelten nicht industriell genutzte Edelmetalle aufgrund der Abbaubedingungen meistens als nicht nachhaltig. Kryptoinvestments werden aufgrund fehlender Substanz und hoher Energieverbräuche meistens als nicht nachhaltig beurteilt.

Bei der Annahme von potenzieller Additionalität für illiquide Investments und Wirkung vor allem über Investments mit ökologischem bzw. sozialem Bezug kann man zu der folgenden vereinfachten Anlagesegmentbeurteilung aus Nachhaltigkeitssicht kommen:

Nachhaltige Geldanlage: Potenzielle Gewichtung von Anlagesegmenten bei Annahme von Additionalität für illiquide Investments und meine Allokation

Quelle: Eigene Darstellung

Anleger sollten sich ihre eigene derartige Klassifikation erstellen, weil diese entscheidend für ihre jeweilige nachhaltige Asset Allokation ist. Unter Berücksichtigung von Mindestkapitaleinsatz und Kosten sowie Divestment- und Engagementmöglichkeiten investiere ich zum Beispiel nur in börsennotierte Investments. Bei einem Multi-Milliarden Vermögen mit direkten Nachhaltigkeits-Einflussmöglichkeiten auf Beteiligungen würde ich zusätzliche illiquide Investments aber in Erwägung ziehen. Insgesamt kann strenge Nachhaltigkeit also auch zu wesentlich geringerer Diversifikation über Anlageklassen führen.

Nachhaltige Geldanlage und Manager-/Fondsselektion: Wieder mehr aktive Investments?

Wissenschaftliche Forschung zeigt, dass aktives Portfoliomanagement meistens geringe Renditen und oft auch höhere Risiken als passive Investments einbringt. Mit sehr günstigen ETFs kann man in tausende von Wertpapieren investieren. Es ist deshalb kein Wunder, dass in den letzten Jahren sogenannte passive Investments immer beliebter geworden sind.

Diversifikation gilt oft als der einzige „Free Lunch“ der Kapitalanlage. Aber Diversifikation hat oft keinen nennenswerten Einfluss auf Renditen oder Risiken. Anders ausgedrückt: Mit mehr als 20 bis 30 Wertpapieren aus unterschiedlichen Ländern und Branchen sind keine besseren Renditen und auch kaum niedrigere Risiken zu erwarten als mit hunderten von Wertpapieren. Anders ausgedrückt: Der Grenznutzen zusätzlicher Diversifikation nimmt sehr schnell ab.

Aber wenn man aber mit den nachhaltigsten 10 bis 20 Wertpapiern startet und weiter diversifiziert, kann die durchschnittliche Nachhaltigkeit erheblich sinken. Das bedeutet, dass konsequent nachhaltige Geldanlageportfolios eher konzentriert als diversifiziert sein sollten. Konzentration hat auch den Vorteil, dass Stimmrechtsausübungen und andere Formen von Engagement einfacher und kostengünstiger werden. Divestment-Androhungen können zudem wirkungsvoller sein, wenn viel Anlegergeld in nur wenige Wertpapiere investiert wird.

Nachhaltigkeitspolitiken können sehr unterschiedlich ausfallen. Das zeigt sich unter anderem bei den vielen möglichen Ausschlüssen von potenziellen Investments. So kann man zum Beispiel Tierversuche in juristisch vorgeschriebene, medizinisch nötige, kosmetische und andere unterscheiden. Manche Anleger möchten alle Tierversuche konsequent ausschließen. Andere wollen weiterhin in Pharmaunternehmen investieren und schließen deshalb vielleicht nur „andere“ Tierversuche aus. Und Anleger, welche die Transition von wenig nachhaltigen Unternehmen zum Beispiel der Ölbranche zu mehr Nachhaltigkeit fördern wollen, werden explizit in Ölunternehmen investieren (vgl. ESG Transition Bullshit? – Responsible Investment Research Blog (

Indizes enthalten oft sehr viele Wertpapiere. Konsequente Nachhaltigkeit spricht aber für Investments in konzentrierte, individuelle und damit meist indexabweichende aktiv gemanagte Portfolios. Dabei ist aktiv nicht im Sinne von viel Handel gemeint. Um über Stimmrechtsausübungen und andere Engagementformen Einfluss ausüben zu können, sind eher längere als kürzere Haltedauern von Investments sinnvoll.

Immer noch nicht genug konsequent nachhaltige ETF-Angebote

Bei der Gründung meines eigenen Unternehmens Anfang 2016 war ich wahrscheinlich weltweit der erste Anbieter eines Portfolios aus möglichst konsequent nachhaltigen ETFs. Aber auch die nachhaltigsten ETFs waren mir nicht nachhaltig genug. Grund waren vor allem unzureichende Ausschlüsse und die fast ausschließliche Nutzung von aggregierten Best-in-Class ESG-Ratings. Ich habe aber hohe Mindestanforderungen an E, S und G separat (vgl. Glorreiche 7: Sind sie unsozial? – Responsible Investment Research Blog ( Ich interessiere mich auch nicht für die am besten geraten Unternehmen innerhalb aus Nachhaltigkeitssicht unattraktiven Branchen (Best-in-Class). Ich möchte branchenunabhängig in die am besten geraten Aktien investieren (Best-in-Universe). Dafür gibt es aber auch heute noch keine ETFs. Außerdem gibt es sehr wenige ETFs, die strikte ESG-Kriterien nutzen und zusätzlich SDG-Vereinbarkeit anstreben.

Auch in den in besonders konsequent nachhaltigen globalen Socially Responsible Paris Aligned Benchmarks befinden sich noch mehrere hundert Aktien aus sehr vielen Branchen und Ländern. Aktive globale nachhaltige Fonds gibt es dagegen schon mit nur 30 Aktien, also potenziell erheblich nachhaltiger (vgl. 30 stocks, if responsible, are all I need – Responsible Investment Research Blog (

Emittenten nachhaltiger ETFs üben oft nachhaltige Stimmrechtsausübungen und sogar Engagement aus, wenn auch nur in geringem Umfang. Das machen die meisten Anbieter aktiver Investments aber auch nicht besser (vgl. z.B. 2023 Proxy Season Review – Minerva-Manifest). Indexfolgende Investments nutzen aber typischerweise den Impactkanal Divestments nicht, weil sie Indizes möglichst direkt nachbilden wollen.

Nachhaltige Geldanlage und Wertpapierselektion: Weniger Standardprodukte und mehr individuelle Mandate oder Direct Indexing?

Wenn es keine ETFs gibt, die nachhaltig genug sind, sollte man sich aktiv gemanagte Fonds suchen, nachhaltige Mandate an Vermögensverwalter vergeben oder seine Portfolios selbst entwickeln. Aktiv gemanagte konzentrierte Fonds mit strengem ESG plus Impactansatz sind aber noch sehr selten. Das gilt auch für Vermögensverwalter, die solche Mandate umsetzen könnten. Außerdem werden für maßgeschneiderte Mandate oft hohe Mindestanlagen verlangt. Individuelle nachhaltige Portfolioentwicklungen werden dagegen zunehmend einfacher.

Basis-Nachhaltigkeitsdaten werden aktuell von zahlreichen Anbietern für Privatanleger kostengünstig oder sogar kostenlos angeboten. Finanztechnische Entwicklungen wie Discount-(Online-)Broker, Direct Indexing und Handel mit Bruchstücken von Wertpapieren sowie Stimmrechtsausübungstools helfen bei der effizienten und nachhaltigen Umsetzung von individuellen Portfolios. Schwierigkeiten bereiten dabei eher die Vielfalt an Investmentmöglichkeiten und mangelnde bzw. schwer zu beurteilende Datenqualität.

Ideal wäre, wenn Anleger auf Basis eines kuratierten Universums von besonders nachhaltigen Wertpapieren zusätzlich eigene Nachhaltigkeitsanforderungen berücksichtigen können und dann automatisiert in ihren Depots implementieren und rebalanzieren lassen (vgl. Custom ESG Indexing Can Challenge Popularity Of ETFs ( Zusätzlich könnten sie mit Hilfe moderner Tools ihre Stimmrechte nach individuellen Nachhaltigkeitsvorstellungen ausüben. Direkte Nachhaltigkeitskommunikation mit den Wertpapieremittenten kann durch den Plattformanbieter erfolgen.

Risikomanagement: Viel mehr Tracking-Error und ESG-Risikomonitoring?

Für nachhaltige Geldanlagen kommen zusätzlich zu traditionellen Risikokennzahlen Nachhaltigkeitskennzahlen hinzu, zum Beispiel ESG-Ratings, Emissionswerte, Principal Adverse Indicators, Do-No-Significant-Harm-Informationen, EU-Taxonomievereinbarkeit oder, wie in meinem Fall, SDG-Vereinbarkeiten und Engagementerfolge.

Nachhaltige Anleger müssen sich entscheiden, wie wichtig die jeweiligen Kriterien für sie sind. Ich nutze Nachhaltigkeitskriterien nicht nur für das Reporting, sondern auch für mein regelgebundenes Risikomanagement. Das heißt, dass ich Wertpapiere verkaufe, wenn ESG- oder SDG-Anforderungen nicht mehr erfüllt werden.

Die von mir genutzten ESG-Ratings messen Umwelt-, Sozial- und Unternehmensführungsrisiken. Diese Risiken sind heute schon wichtig und werden künftig noch wichtiger, wie man zum Beispiel an Greenwashing- und Reputationsrisiken sehen kann. Deshalb sollten sie in keinem Risikomanagement fehlen. SDG-Anforderungserfüllung ist hingegen nur für Anleger relevant, denen wichtig ist, wie nachhaltig die Produkte und Services ihrer Investments sind.

Stimmrechtsausübungen und Engagement wurden bisher meistens nicht für das Risikomanagement genutzt. Das kann sich künftig jedoch ändern. Ich prüfe zum Beispiel, ob ich Aktien bei unzureichender Reaktion auf mein Engagement verkaufen sollte. Eine unzureichende Engagementreaktion von Unternehmen weist möglicherweise darauf hin, dass Unternehmen nicht auf gute Vorschläge hören und damit unnötige Risiken eingehen, die man durch Divestments vermeiden kann.

Traditionelle Geldanleger messen Risiko oft mit der Abweichung von der Soll-Allokation bzw. Benchmark. Wenn die Abweichung einen vorher definierten Grad überschreitet, müssen viele Portfolios wieder benchmarknäher ausgerichtet werden. Für nachhaltige Portfolios werden dafür auch nachhaltige Indizes als Benchmark genutzt. Wie oben erläutert, können Nachhaltigkeitsanforderungen aber sehr individuell sein und es gibt meiner Ansicht nach viel zu wenige strenge nachhaltige Benchmarks. Wenn man besonders nachhaltig anlegen möchte, muss man dementsprechend höhere statt niedrigere Benchmarkabweichungen (Tracking Error) haben bzw. sollte ganz auf Tracking Error Kennzahlen verzichten.

Nachhaltigkeit kann also sowohl zu neuen Risikokennzahlen führen als auch alte in Frage stellen und damit auch zu einem erheblich anderen Risikomanagement führen.

Nachhaltige Geldanlage – Zusammenfassung und Ausblick: Viel mehr Individualität?

Individuelle Nachhaltigkeitsanforderungen spielen eine sehr wichtige Rolle für die Allokation auf Anlagesegmente, die Manager- bzw. Fondsselektion, die Positionsselektion und auch das Risikomanagement. Strenge Nachhaltigkeit kann zu stärkeren Unterschieden zwischen Geldanlagemandaten und radikalen Änderungen gegenüber traditionellen Mandaten führen: Geringere Diversifikation über Anlageklassen, mehr illiquide Investments für Großanleger, mehr Projektfinanzierungen, mehr aktive statt passive Mandate, erheblich höhere Konzentration innerhalb der Anlagesegmente und ein anderes Risikomanagement mit zusätzlichen Kennzahlen und erheblich geringerer Benchmarkorientierung.

Manche Analysten meinen, nachhaltige Geldanlage führt zu höheren Risiken, höheren Kosten und niedrigeren Renditen. Andere erwarten zukünftig überproportional hohe Anlagen in nachhaltige Investments. Das sollte zu einer besseren Performance solcher Investments führen. Meine Einstellung: Ich versuche so nachhaltig wie möglich zu investieren und erwarte dafür mittelfristig eine marktübliche Rendite mit niedrigeren Risiken im Vergleich zu traditionellen Investments.


Achtung: Werbung für meinen Fonds

Mein Fonds (Art. 9) ist auf soziale SDGs fokussiert. Ich nutze separate E-, S- und G-Best-in-Universe-Mindestratings sowie ein breites Aktionärsengagement bei derzeit 27 von 30 Unternehmen: FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T oder Divestments: 49 bei 30 Aktien meines Artikel 9 Fonds

Biodiversity risk illustration with Marine Life picture fom Pixabay

Biodiversity risk: Researchpost #153

Biodiversity risk: 10x new (critical) research on ESG ETF and net-zero, sustainability-linked bonds, lifecycle and thematic investments, altruism and stablecoins

Biodiversity risk research

Broad biodiversity risk: Living in a world of disappearing nature: physical risk and the implications for financial stability by Simone Boldrini, Andrej Ceglar, Chiara Lelli, Laura Parisi, and Irene Heemskerk from the European Central Bank as of Nov. 14th, 2023 (#23): “Of the 4.2 million euro area NFCs (Sö: Non-financial corporations) that were included in our research, around 3 million are highly dependent on at least one ecosystem service. … approximately 75% of euro area banks’ corporate loans to NFCs (nearly €3.24 trillion) are highly dependent on at least one ecosystem service. … we have enough data and knowledge available to enable timely and nature-friendly decision-making” (p. 38).

Biodiversity risk reduction? How could the financial sector contribute to limiting biodiversity loss? A systematic review by Lisa Junge, Yu-Shan Lin Feuer, and Remmer Sassen as of Feb. 7th, 2023 (#109) “the currently available scientific discourse is also not unanimous about the status of biodiversity in finance. Therefore, this paper aims to synthesise existing publications to gain transparency about the topic, conducting a systematic review. Three main concepts emerge about how the private finance sector can aid in halting biodiversity loss, namely: (1) by increasing awareness of biodiversity, (2) by seizing biodiversity-related business opportunities, and (3) by enlarging biodiversity visibility through reporting. Overall, we assume that the private finance sector upholds a great leverage power in becoming a co-agent of positive biodiversity change”(abstract).

Responsible investment research (Biodiversity risk)

Blackrock-problem? Fossil-washing? The fossil fuel investment of ESG funds by Alain Naef from Banque de France as of Nov. 16th, 2023 (#19): “… I analysed all the large equity Exchange Traded Funds (ETFs) labelled as ESG available at the two largest investors in the world: Blackrock and Vanguard. For Blackrock, out of 82 funds analysed, only 9% did not invest in fossil fuel companies. Blackrock ESG funds include investments in Saudi Aramco, Gazprom or Shell. But they exclude ExxonMobil or BP. This suggests a best-in-class approach by the fund manager, picking only certain fossil fuel companies that they see as generating less harm. But it is unclear what the criteria used are. For Vanguard, funds listed as ESG did not contain fossil fuel investment. Yet this needs to be nuanced as information provided by Vanguard on investments is less transparent and Vanguard offers fewer ESG funds” (abstract). My comment: For my ESG and SDG ETF-selection I use demanding responsibility criteria and more so for my direct equity portfolios, see the newly updated Das-Soehnholz-ESG-und-SDG-Portfoliobuch.pdf (

Listed equity climate deficits: The MSCI Net-Zero Tracker November 2023 – A guide to progress by listed companies toward global climate goals from the MSCI Sustainability Institute as of November 2023: “Listed companies are likely to put 12.4 gigatons (Gt) of GHG emissions into the atmosphere this year, up 11% from 2022. … global emissions are on track reach 60.6 Gt this year, up 0.3% from 2022. … Domestic emissions in eight emerging-market G20 countries examined rose by an average of 1.2% per year over the period, while emissions of listed companies in those markets climbed 3.2% annually. … Just over (22%) of listed companies align with a 1.5°C pathway, as of Aug. 31, 2023 … Listed companies are on a path to warm the planet 2.5°C above preindustrial levels this century … More than one-third (34%) of listed companies have set a climate target that aspires to reach net-zero, up from 23% two years earlier. Nearly one-fifth (19%) of listed companies have published a science-based net-zero target that covers all financially relevant Scope 3 emissions, up from 6% over the same period” (page 6/7).

ESG or cash flow? Does Sustainable Investing Make Stocks Less Sensitive to Information about Cash Flows? by Steffen Hitzemann, An Qin, Stanislav Sokolinski, and Andrea Tamoni as of Oct. 30th, 2023 (#56): “Traditional finance theory asserts that stock prices depend on expected future cash flows. … Using the setting of earnings announcements, we find that sustainable investing diminishes stock price sensitivity to earnings news by 45%-58%. This decline in announcement-day returns is mirrored by a comparable drop in trading volume. This effect persists beyond the immediate announcement period, implying a lasting alteration in price formation rather than a short-lived mispricing“ (abstract).

Similar calls: SLBs: no cal(l)amity by Kamesh Korangi and Ulf Erlandsson as of Nov. 16th, 2023 (#13): A common criticism of sustainability-linked bonds (SLBs) has been around callability, where it is sometimes suggested that bond issuers are pushing this feature into bond structures to wriggle out of sustainability commitments. … Our analysis finds scant quantitative evidence to support this critique. Overall, when comparing SLBs with similar non-SLB issuances, we observe little ‘excess’ callability in SLBs. The key to this result is to control for sectors, ratings and issue age when comparing SLBs with the much larger market of traditional bonds” (p. 1).

Other investment research

100% Equity! Beyond the Status Quo: A Critical Assessment of Lifecycle Investment Advice by Aizhan Anarkulova, Scott Cederburg and Michael S. O’Doherty as of Nov.1st, 2023 (#950): “We challenge two central tenets of lifecycle investing: (i) investors should diversify across stocks and bonds and (ii) the young should hold more stocks than the old. An even mix of 50% domestic stocks and 50% international stocks held throughout one’s lifetime vastly outperforms age-based, stock-bond strategies in building wealth, supporting retirement consumption, preserving capital, and generating bequests. These findings are based on a lifecycle model that features dynamic processes for labor earnings, Social Security benefits, and mortality and captures the salient time-series and cross-sectional properties of long-horizon asset class returns” (abstract).

Lemming investors? The Big Shortfall? Thematic investors lose lion’s share of returns due to poor timing by Kenneth Lamont and Matias Möttölä from Morningstar as of Nov. 15th, 2023 : “While thematic funds‘ average total return was 7.3% annualized over the five-year period through June 30, 2023, investors earned only a 2.4% return when the impact of cash inflows and outflows is considered. … Investors lost more value in focused funds such as those tracking Technology or Physical World broad themes compared with more diversified Broad Thematic peers. Return gaps were far wider in exchange-traded funds than in thematic mutual funds. ETFs tend to offer more concentrated bets and lend themselves to tactical usage. The largest return shortfalls occur across highly targeted funds, which posted eye-catching performance, attracting large net inflows before suffering a change of fortune“ (p. 1). My comment: My approach to thematic investments see e.g. Alternatives: Thematic replace alternative investments (

Risk-loving altruists? Can Altruism Lead to a Willingness to Take Risks? by Oded Shark as of Mov. 7th, 2023 (#7): “I show that an altruistic person who is an active donor (benefactor) is less risk averse than a comparable person who is not altruistic: altruism is a cause of greater willingness to take risks” (abstract). … “The lower risk aversion of an altruistic person … might encourage him to pursue risky ventures which could contribute to economic growth and social welfare” (p. 7).

Unstable coins? Runs and Flights to Safety: Are Stablecoins the New Money Market Funds? by Kenechukwu Anadu et al. from the Federal Reserve Bank of Boston as of Oct. 9th, 2023 (#743): “… flight-to-safety dynamics in money market funds have been extensively documented in the literature—with money flowing from the riskier prime segment of the industry to the safer government segment … flight-to-safety dynamics in stablecoins resemble those in the MMF industry. During periods of stress in crypto markets, safer stablecoins experience net inflows, while riskier ones suffer net outflows. … we estimate that when a stablecoin’s price hits a threshold of 99 cents (that is, a price drop of 100 basis points relative to its $1 peg), investor redemptions accelerate significantly, in a way that is reminiscent of MMFs’ “breaking the buck … Should stablecoins continue to grow and become more interconnected with key financial markets, such as short-term funding markets, they could become a source of financial instability for the broader financial system” (p. 33).

Liquid impact advert for German investors

Sponsor my research by investing in and/or recommending my global small/midcap mutual fund (SFDR Art. 9). The fund focuses on social SDGs and uses separate E, S and G best-in-universe minimum ratings and broad shareholder engagement with currently 23 of 30 companiesFutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T or Noch eine Fondsboutique? – Responsible Investment Research Blog (

Responsible Derivatives illustration shows manager juggler

Responsible derivatives? Researchpost #150

Responsible derivatives: 10x new research on migration, ESG labels, biodiversity measurement, effective shareholder voting, responsible investing mandates, green derivatives, structured products, stock market models, IPOs and alternative investments (# shows the number of full paper SSRN downloads as of Nov. 2nd, 2023)

Social and ecological research (responsible derivatives)

Migration policy backlash: The Effect of Foreign Aid on Migration: Global Micro Evidence from World Bank Projects by Andreas Fuchs, Andre Groeger, Tobias Heidland and Lukas Wellner as of Oct. 2023: “Our short-term results indicate that the mere announcement of a World Bank aid project significantly decreases migration preferences. We find similar effects for project disbursements, which also reduce asylum seeker flows to the OECD in the short run. This reduction seems related to enhanced optimism about the economic prospects in aid recipient provinces and improved confidence in national institutions. In the longer run, aid projects increase incomes and alleviate poverty. The negative effect of aid on asylum seeker flows fades out, and regular migration increases. … There is no evidence in our study that targeting the “root causes” of migration through aid on average increases irregular migration or asylum seeker numbers. … In the short run, aid projects reduce migration preferences and asylum seeker flows to the OECD from Latin America, MENA, and non-fragile Sub-Saharan African countries. However, we do not find a significant effect in fragile countries of Sub-Saharan Africa, which are an important source of irregular migration to Europe. For policymakers, a key takeaway from our study is that aid projects do not keep people from migrating from the 37 most hostile environments, but they can be effective in more stable environments” (p. 37/38).

Sustainable investing research (responsible derivatives)

Rating beats label: Talk vs. Walk: Lessons from Silent Sustainable Investing of Mutual Funds by Dimitrios Gounopoulos, Haoran Wu, and Binru Zhao as of Oct. 26th, 2023 (#81): “… in the Morningstar fund sustainability rating landscape, most funds with top ratings do not self-label as ESG funds (“silent” sustainable investing). … We find that investors tend to overemphasize ESG labels and often overlook sustainability rating signals in the market. More importantly, we show that “silent” funds with high sustainability ratings have comparable return performance to ESG funds and that high sustainability ratings have a stronger influence on mitigating fund risks than the ESG label” (p. 33/34). My comment: In general, I agree. But the type of ESG rating used is also very important. Watch out for my next opinion blogpost on Apple, Amazon, Alphabet etc. and their ESG-ratings

Biodiversity confusion: Critical review of methods and models for biodiversity impact assessment and their applicability in the LCA context by Mattia Damiani, Taija Sinkko, Carla Caldeira, Davide Tosches, Marine Robuchon, and Serenella Sala as of Nov. 17th, 2022 (#139): “… The five main direct drivers of biodiversity loss are climate change, pollution, land and water use, overexploitation of resources and the spread of invasive species. …  this article aims to critically analyse all methods for biodiversity impact assessment … 54 methods were reviewed and 18 were selected for a detailed analysis … There is currently no method that takes into account all five main drivers of biodiversity loss” (abstract).

Explain to change: Voting Rationales by Roni Michaely, Silvina Rubio, and Irene Yi as of Aug. 16th, 2023 (#279): “…studying voting rationales of institutional investors from across the world, for votes cast in US companies’ annual shareholder meetings between July 2013 and June 2021. … institutional investors vote against directors mainly because of (lack of) independence and board diversity. We also find evidence of some well-known reasons for opposing directors, such as tenure, busyness, or firm governance. Institutional investors are increasingly voting against directors due to concerns over environmental and social issues. Our results indicate that voting rationales are unlikely to capture proxy advisors’ rationales, but rather, the independent assessment of institutional investors. … We find that companies that receive a higher proportion of voting rationales related to board diversity (or alternatively, excessive tenure or busy directors) increase the fraction of females on board in the following year (reduce average tenure or director busyness), and the results are driven by companies that receive high shareholder dissent. … our results suggest that disclosure of voting rationales is an effective, low-cost strategy that institutional investors can use to improve corporate governance in their portfolio companies“ (p. 31/32).

Impact impact? Evaluating the Impact of Portfolio Mandates by Jack Favilukis, Lorenzo Garlappi, and  Raman Uppal as of Oct. 2nd, 2023 (#56): “… we examine the impact of portfolio (Sö: e.g. ESG or impact investing) mandates on the allocation of physical capital in a general-equilibrium economy with production and heterogenous investors. … we find that the effect of portfolio mandates on the allocation of physical capital across sectors can be substantial. In contrast, the impact on the equilibrium cost of capital and Sharpe ratio of firms in the two sectors remains negligible, consistent with existing evidence. Thus, a key takeaway of our analysis is that judging the effectiveness of portfolio mandates by studying their effect on the cost of capital of affected firms can be misleading: small differences in the cost of capital across sectors can be associated with significant differences in the allocation of physical capital across these sectors” (p. 31/32). My comment: With my ESG and SDG investing mandates I want to invest as responsibly as possible and hope to achieve similar performances as less responsible investments. With this approach, there is no need to try to prove lower cost of capital for responsible companies.

Responsible derivatives? Climate Risk and Financial Markets: The Case of Green Derivatives by Paolo Saguato as of Oct. 30th, 2023 (#37): “The post-2008 derivatives markets are more transparent and more collateralized than before. However, this regulatory framework might impose excessive regulatory and compliance costs to derivatives market which would undermine market incentives and hamper financial innovation in the green derivatives. … Right now, bespoke OTC sustainable derivatives are the predominant structures in the market, but as soon as green assets and sustainability benchmark standardization will become the norm, then exchange-traded green derivatives might start to develop more strongly, providing a valuable and reliable support to a green transition” (p. 23).

Other investment research

Responsible derivatives? Structured retail products: risk-sharing or risk-creation? by Otavio Bitu, Bruno Giovannetti, and Bernardo Guimaraes as of October 31, 2023 (#151): “Financial institutions have been issuing more complex structured retail products (SRPs) over time. Is risk-sharing the force behind this financial innovation? Is this innovation welfare-increasing? We propose a simple test for that. If a given type of SRP is not based on risk-sharing and pours new unbacked risk into the financial system, we should observe an unusual negative relation between risk and expected return offered to buyers across products of that type. We test this hypothesis using a sample of 1,847 SRPs and find that a relevant type of SRP (Autocallables) creates new unbacked risk” (abstract).

Irrational finance professional? Mental Models of the Stock Market by Peter Andre, Philipp Schirmer, and Johannes Wohlfart as of Oct. 31st, 2023 (#74): “Financial markets are governed by return expectations, which agents must form in light of their deeper understanding of these markets. Understanding agents’ mental models is thus critical to understanding how return expectations are formed. … We document a widespread tendency among households from the general population, retail investors, and financial professionals to draw inferences from stale news regarding future company earnings to a company’s prospective stock return, which is absent among academic experts. This striking difference in their return forecasts results from differences in agents’ understanding of financial markets. Experts’ reasoning aligns with standard asset pricing logic and a belief in efficient markets. By contrast, households and financial professionals appear to employ a naive model that directly associates higher future earnings with higher future returns, neglecting the offsetting effect of endogenous price adjustments. This non-equilibrium reasoning stems from a lack of familiarity with the concept of equilibrium rather than inattention to trading or price responses. … Our findings – that mental models differ across economic agents and that they drastically differ from standard economic theories among important groups of households and financial professionals who advise and trade for these households – are likely to have significant implications. For example, our findings can provide a new perspective on previously documented anomalies in return expectations and trading decisions” (p. 30/31).

M&A not IPO: IPOs on the decline: The role of globalization by M. Vahid Irani, Gerard Pinto, and Donghang Zhang as of Oct. 2nd, 2023 (#37): “Using the average percentage of foreign sales as a proxy for the level of globalization of the U.S. economy or a particular industry, we find that the decline in U.S. initial public offerings (IPOs), particularly small-firm IPOs, is significantly positively associated with the level of globalization at both the macroeconomy and the industry levels. We also find that increased globalization of an industry makes a U.S. private firm in the industry more likely to choose M&A sellouts over IPOs as an exit strategy”“ (abstract).

Unattractive Alternatives: Endowments in the Casino: Even the Whales Lose at the Alts Table by Richard M. Ennis as of Oct. 27th, 2023 (#516): “For more than two decades, so-called alternatives—hedge funds, private-market real estate, venture capital, leveraged buyouts, private energy, infrastructure, and private debt—have been the principal focus of institutional investors. Such investments now constitute an average of 60% of the assets of large endowments and 30% of public pension funds. … … endowments—across the board—have underperformed passive investment alternatives by economically wide margins since the GFC (Sö: Global Financial Crisis) … We observe that large endowments have recorded greater returns than smaller ones because they take greater risk (have a greater equity exposure), not as a result of their alt investing. In fact, their greater returns have occurred in spite of their heavier weighting of alt investments. Alt-investing has not been a source of diversification of stock market risk. … I estimate that institutional investors pay approximately 10 times as much for their alts as they do for traditional stock-bond strategies… despite exhibiting some skill with alts, large endowments would have been better off leaving them alone altogether” (p. 8/9). My comment: See Alternatives: Thematic replace alternative investments (


Liquid impact advert for German investors

Sponsor my research by investing in and/or recommending my global small/midcap mutual fund (SFDR Art. 9). The fund focuses on social SDGs and uses separate E, S and G best-in-universe minimum ratings and broad shareholder engagement with currently 27 of 28 companiesFutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T or Noch eine Fondsboutique? – Responsible Investment Research Blog (

Purpose scrabble word by wokandapix from pixabay

Purpose – Researchpost #149

Purpose: 14x new interesting research on free data, AI, biodiversity, gender gaps, purpose and ESG washing, geodata, shareholder engagement, financial education, ETFs, private equity and asset allocation (# shows SSRN downloads as of Oct. 26th, 2023)

Social and ecological research (Purpose)

Much (free) data: A Compendium of Data Sources for Data Science, Machine Learning, and Artificial Intelligence by Paul Bilokon, Oleksandr Bilokon, and Saeed Amen from Thalesians as of Sept. 12th, 2023 (#942): “… compendium – of data sources across multiple areas of applications, including finance and economics, legal (laws and regulations), life sciences (medicine and drug discovery), news sentiment and social media, retail and ecommerce, satellite imagery, and shipping and logistics, and sports”. My comment: My skeptical view on big data see Big Data und Machine Learning verschlechtern die Anlageperformance und Small Data ist attraktiv from 2018 and more recently How can sustainable investors benefit from artificial intelligence? – GITEX Impact – Leading ESG Event 2023

Unclear AI-Labor relation: Labor Market Exposure to AI: Cross-country Differences and Distributional Implications by Carlo Pizzinelli, Augustus Panton, Marina M. Tavares, Mauro Cazzaniga, Longji Li from the IMF as of Oct. 6th,2023 (#5): “…. a detailed cross-country analysis encompassing both Advanced Economies (AEs) and Emerging Markets (EMs) … high-skill occupations that are more prevalent in AEs, despite being more exposed, can also greatly benefit from AI. Overall, AEs have more employment than EMs in exposed occupations at both ends of the complementarity spectrum. This finding suggests that AEs may expect a more polarized impact of AI on the labor market and are thus poised to face greater risk of labor substitution but also greater benefits for productivity” (p. 31/32).

Pay for biodiversity? Revealing preferences for urban biodiversity as an environmental good by Leonie Ratzke as of Oct. 25th, 2022 (#26): “… relatively little research on urban dwellers’ preferences and willingness to pay (WTP) for urban biodiversity exists. … using a revealed preference approach based on a real estate dataset comprising around 140,000 unique entries of rental and sales transactions of apartments. I find that WTP for biodiversity is exclusively positive and economically relevant” (abstract).

Insurance gender issues: Gender-inclusive Financial and Demographic Literacy: Lessons from the Empirical Evidence by  Giovanna Apicella, Enrico G. De Giorgi, Emilia Di Lorenzo, and Marilena Sibillo as of Jan. 24th, 2023 (#104): “Consistent empirical evidence shows that women have historically experienced lower mortality rates than men. In this paper, we study a measure of the gender gap in mortality rates, we call “Gender Gap Ratio” … The evidence we provide about a Gender Gap Ratio that ranges between 1.5 and 2.5, depending on age and country, translate into a significant reduction of up to 25% in the benefits from a temporary life annuity contract for women with respect to men, against the same amount invested in the annuity. The empirical evidence discussed in this paper documents the crucial importance of working towards a more widespread demographic literacy, e.g., a range of tools and strategies to raise longevity consciousness among individuals and policy makers, in the framework of gender equality policies“ (abstract).

Corporate purpose: Sustainability Through Corporate Purpose: A New Framework for the Board of Directors by Mathieu Blanc and Jean-Luc Chenaux as of July 27th, 2023 (#106): “The definition and implementation of a corporate purpose is the most appropriate process for the board of directors and management to achieve a sustainable as well as profitable business activity, which necessarily encompasses economic, social and environmental components. The corporate purpose statement offers guidance to the managing bodies of a company to determine the necessary and difficult trade-offs between the different stakeholders and set priorities in the long-term interest of the company. In our opinion, this concept is most likely the best tool to reconcile society with business activities and remind shareholders, business leaders, customers and employees that what unites them for the development of society is much stronger that what divides them“ (p. 32). My comment: My corporate purpose is very simple: Offer liquid investment portfolios that are as sustainable as possible.

Purpose-washing? Putting Social Purpose into Your Business by Philip Mirvis of the Babson Institute for Social innovation as of Oct. 15th, 2023 (#9): “… there’s a massive “purpose gap”—large majorities of companies have purportedly proclaimed their purpose but it has not been built into their business and is either unknown to or doubted by their employees and customers. Who get this right? The research reports on how Ben & Jerry’s, Nike, Novo Nordisk, PepsiCo, and Unilever developed and implemented a “social purpose”—a pledge to address serious social problems their business operations, products, partnerships, and social issue campaigns” (abstract).

Responsible investment research (Purpose)

Costly ESG washing: When Non-Materiality is Material: Impact of ESG Emphasis on Firm Value by Sonam Singh, Ashwin V. Malshe, Yakov Bart, and Serguei Netessine as of Oct. 18th, 2023 (#63): “ESG factors are nonmaterial (material) when excluding them from corporate disclosure would not (would) significantly alter the overall information available to a reasonable investor. Using a deep learning model to earnings call transcripts of 6,730 firms from 2005 to 2021 to measure ESG emphasis the authors estimate panel data models for testing this framework. The analysis reveals a 1% increase in nonmaterial ESG emphasis decreases firm value by .30%. This negative impact on firm value is 2.12 times higher than the positive impact of material ESG emphasis. Furthermore, the negative impact of nonmaterial ESG emphasis on firm value grows over time and is more pronounced in regulated industries“ (abstract).

Geodata for ESG: Breaking the ESG rating divergence: an open geospatial framework for environmental scores by Cristian Rossi, Justin G D Byrne, and Christophe Christiaen as of Oct. 19th, 2023 (#20): “… geospatial datasets offer ESG analysts and rating agencies the ability to verify claims of company reported data, to fill in gaps where none is otherwise reported or available, or to provide new types of data that companies would not be able to provide themselves. Free to use geospatial datasets that have broad geographic coverage exist, and some are updated over time. … This paper has proposed a novel framework … to mitigate the reported divergence in ESG scores by using consistent and trusted geospatial data for environmental impact analysis at the physical asset level“ (p. 19).

Green owner success: Divestment and Engagement: The Effect of Green Investors on Corporate Carbon Emissions by Matthew E. Kahn, John Matsusaka, and Chong Shu as of Oct. 13th, 2023 (#72): “We focus on public pension funds, classifying them as green or non-green based on which political party controlled the fund. … Our main finding is that companies reduced their greenhouse gas emissions when stock ownership by green funds increased and did not alter their emissions when ownership by non-green funds changed. We find evidence that ownership and constructive engagement was more effective than confrontational tactics such as voting or shareholder proposals. We do not find that companies with green investors were more likely to sell off their polluting facilities (greenwashing). Overall, our findings suggest that (a) corporate managers respond to the environmental preferences of their investors; (b) divestment in polluting companies may be counterproductive, leading to greater emissions; and (c) private markets may be able to address environmental challenges without explicit government regulation“ (abstract). My comment: My shareholder and stakeholder engagement approach is documented here Shareholder engagement: 21 science based theses and an action plan – (

Political Private Equity: ESG Disclosures in Private Equity Fund Prospectuses and Fundraising Outcomes by John L. Campbell, Owen Davidson, Paul Mason, and Steven Utke as of Sept. 9th, 2023 (#105): “We use a large language model to identify Environment, Social, and Governance (ESG) disclosures in private equity (PE) brochures (Form ADV Part 2) … First, we find environmental, but not social or governance, disclosures are negatively associated with the likelihood a PE adviser raises a new fund. Second, using disclosure tone, we separately identify disclosures of ESG risk from disclosures of ESG related investment activity. We find environmental risk disclosure is negatively associated with new fund formation. In contrast, the effect of environmental investment disclosure is positive or negative depending on the political leaning of investors home state” (abstract).

Other investment research

Literate delegation: Household portfolios and financial literacy: The flight to delegation by Sarah Brown, Alexandros Kontonikas, Alberto Montagnoli, Harry Pickard, and Karl Taylor as of Oct. 17th, 2023 (#6): “ … we analyse the asset allocation of European households, focusing on developments during the period that followed the recent twin financial crises. … We provide novel evidence which suggests that the “search for yield” during the post-crisis period of low interest rates took place not by raising the direct holdings of stocks and bonds, but rather indirectly through higher mutual funds’ holdings, in line with a “flight to delegation”. Importantly, this behaviour is strongly linked to the level of financial literacy, with the most literate households displaying significantly higher use of mutual funds“ (abstract).

Fin-Ed returns: Selection into Financial Education and Effects on Portfolio Choice by Irina Gemmo, Pierre-Carl Michaud, and Olivia S. Mitchell as of Sept. 25th, 2023 (#34): “The more financially literate and those expecting higher gains pay more to purchase education, while those who consider themselves very financially literate pay less. Using portfolio allocation tasks, we show that the financial education increases portfolio efficiency and welfare by almost 20 and 3 percentage points, respectively. In our setting, selection does not greatly influence estimated program effects, comparing those participating and those who do not“ (abstract). My comment: I try to contribute to B2B financial literacy with (free)

Passive problems: Passive Investing and Market Quality by Philipp Höfler, Christian Schlag, and Maik Schmeling as of Oct. 5th, 2023 (#127): “We show that an increase in passive exchange-traded fund (ETF) ownership leads to stronger and more persistent return reversals. … we further show that more passive ownership causes higher bid-ask spreads, more exposure to aggregate liquidity shocks, more idiosyncratic volatility and higher tail risk. We … show that higher passive ETF ownership reduces the importance of firm-specific information for returns but increases the importance of transitory noise and a firm’s exposure to market-wide sentiment shocks” (abstract).

New allocation model: The CAPM, APT, and PAPM by Thomas M. Idzorek, Paul D. Kaplan, and Roger G. Ibbotson as of Sept. 9th, 2023 (#114): “Important insights and conclusions include: In the CAPM, there is only one “taste” and that is a single dimension of risk aversion. The CAPM assumes homogeneous expectations, so there is no “disagreement”. Both the APT and the PAPM have a linear structure, but in the APT an unknown factor structure is supplied by the economy, whereas in the PAPM the structure arises out of the investor demand for security characteristics, which need not be risk based. … The PAPM with “disagreement” leads to mispricing, inefficient markets, and the potential for active management. The CAPM, as well as a number of new ESG equilibrium asset pricing models, are special cases of the PAPM, which allows for any number of tastes for any number of characteristics and disagreement“ (p. 25). My comment: I prefer a much simpler and optimization-free passive asset allocation see 230720 Das Soehnholz ESG und SDG Portfoliobuch


Liquid impact advert for German investors

Sponsor my research by investing in and/or recommending my global small/midcap mutual fund (SFDR Art. 9). The fund focuses on social SDGs and uses separate E, S and G best-in-universe minimum ratings and broad shareholder engagement with currently 28 of 30 companiesFutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T or Noch eine Fondsboutique? – Responsible Investment Research Blog (