Archiv der Kategorie: ETF

Green impact greenwashing illustration

Green impact? Researchpost 205

Green impact: 9x new research on the end of oil, biodiversity stress and neighbor risks, high greenwashing costs, bad climate solution returns, green patent disappointments, venture impact and there is no passive investing (# shows the number of SSRN full paper downloads as of Dec. 5th, 2024)

Nachhaltigkeits- und Investmentforschung aus Impact Investing Insights 2024 von Dirk Söhnholz vom 3. Dezember 2024: „In diesem Beitrag geht es vor allem um die Frage, wie man neue wissenschaftliche Forschung findet, die für die eigene Geldanlage relevant sein kann. Der Fokus liegt dabei auf nachhaltigkeitsbezogenem Research … wer sich nicht auf meine (Sö: Research-=Posts verlassen möchte, kann mit Hilfe dieses Beitrags selbst für sich relevante wissenschaftlich Forschung finden. Damit gibt es keine guten Ausreden mehr, wissenschaftliches Research zu vernachlässigen“ (S. 12/13).

Social and Ecological Research

Winning green paradox? The End of Oil by Ryan Kellogg as of Dec. 2nd, 2024 (#12): “It is now plausible to envision scenarios in which global demand for crude oil falls to essentially zero by the end of this century, driven by improvements in clean energy technologies, adoption of stringent climate policies, or both. This paper asks what such a demand decline, when anticipated, might mean for global oil supply. One possibility is the well-known “green paradox”: because oil is an exhaustible resource, producers may accelerate near-term extraction in order to beat the demand decline. This reaction would increase near-term CO2 emissions and could possibly even lead the total present value of climate damages to be greater than if demand had not declined at all. However, because oil extraction requires potentially long-lived investments in wells and other infrastructure, the opposite may occur: an anticipated demand decline reduces producers‘ investment rates, decreasing near-term oil production and CO2 emissions. … I develop a tractable model of global oil supply that incorporates both effects … I find that for model inputs with the strongest empirical support, the disinvestment effect outweighs the traditional green paradox. In order for anticipation effects on net to substantially increase cumulative global oil extraction, I find that industry investments must have short time horizons, and that producers must have discount rates that are comparable to U.S. treasury bill rates” (abstract).

ESG investment research (in: Green impact)

Low biodiversity risk? A Biodiversity Stress Test of the Financial System by Sophia Arlt, Tobias Berg, Xander Hut and Daniel Streitz as of Dec. 3rd, 2024 (#25): “Our study provides a comprehensive assessment of the European financial system’s exposure to biodiversity-related transition risk, alongside a comparative analysis with climate-related transition risk. … we find that while a non-negligible share of bank credit is linked to industries exposed to biodiversity transition risk (approximately 15% of total credit to non-financial firms), the overall financial system impact appears moderate. The bottom-up stress test indicates that even under severe stress scenarios, the additional losses from biodiversity risks are estimated at only 0.3 to 0.5% of the total non-financial corporate loan portfolio. … the capital shortfall associated with a severe shock to the biodiversity risk factor would only amount to about 0.5% of banks’ market capitalization“ (p. 23).

High biodiversity risk? Double Materiality of Biodiversity-related Risks: From Direct to Supply Chain Portfolio Assessment by Anthony Schrapffer, Jaime Andres Riano Sanchez,  and Julia Bres as of Dec. 3rd, 2024 (#32):“42.7% (resp. 31.4%) of a portfolio based on the Stoxx 600 has a strong or very strong direct (resp. indirect) dependency on biodiversity and that 59.9% (resp. 44.64%) has a strong or very strong direct (resp. indirect) impact on biodiversity. … The integrated oil and gas, clothing and electricity sectors are particularly sensitive as they have both a very high dependency and a very high negative impact on biodiversity“ (abstract).

Dangerous neighbors? Proximity Peril: The Effects of Neighboring Firms’ Biodiversity Risk on Firm Value by Chenhao Guo and Rui Zhong as of Nov. 13th, 2024 (#56): “Since geographically proximate firms operate in local biosphere and rely on common ecosystem services, a focal firm value might be affected by proximate firms’ biodiversity risk. … We find that one standard-deviation increase in neighboring firm’s biodiversity risk measure is associated with about 3.78% decline in the corresponding focal firm’s value on average. Using the Deepwater Horizon oil spill in 2010 as an exogenous shock, we establish a causal relationship. … we find that proximate firm’s biodiversity risk leads to significant declines in sector-wide and long-run value components. Further analysis shows that the negative effects are more pronounced in industries with high biodiversity risk or when firms are connected through supply chains …” (abstract).

High cleanwashing costs: Greenwashing: Measurement and Implications by Qiyang He, Ben R. Marshall, Justin Hung Nguyen, Nhut H. Nguyen, Buhui Qiu, and Nuttawat Visaltanachoti as of Dec. 3rd, 2024 (#102): “This study employs earnings conference call transcripts and a specialized machine learning model, FinBERT, to measure greenwashing intensity for a broad sample of U.S. public-listed firms spanning the 2007-2021 sample period. … First, we observe that the economy-wide aggregate GW measure markedly increased after the 2015 Paris Agreement. Second, we find that the utility industry has the highest level of GW intensity among all industries. Third, we … find that relative to other firms, firms in the fossil fuel industry or the broader stranded asset industries, experienced a significant increase in greenwashing intensity after the Paris Agreement. Fourth, we find that firms with higher greenwashing intensity incur a greater amount of future environmental incidents, experience a higher amount of future EPA enforcement actions, and have higher future carbon emissions. Fifth, despite their higher likelihood of experiencing future environmental incidents and EPA enforcement, we find no evidence that GW firms produce more green innovation than other firms. … Our findings indicate that GW is associated with lower cumulative abnormal stock returns after earnings conference calls and predicts poorer future corporate operating performance. … we … document that firms with greater GW intensity tend to receive higher future environmental ratings from different rating companies. … after the Paris Accord, there is a positive relation between GW and top executives’ future job security. … greenwashing firms are more likely to link their CEO pay with corporate environmental performance in their compensation contracts. These findings suggest an agency explanation for greenwashing: managers engage in greenwashing to increase their job security and compensation, at the expense of shareholders and other stakeholders“ (p. 37/38). My comment: With my focus on high SDG-aligned revenues, high best-in-class instead of best-in-universe E, S an G Scores and my engagement focus on the CEO to average employee pay ration instead of the introduction of ESG-linked compensation I think that I am rather well protected against greenwashing of my portfolio companies.

SDG investment research

Climate hedges: Climate Solutions, Transition Risk, and Stock Returns by Shirley Lu, Edward J. Riedl, Simon Xu, and George Serafeim as of Nov. 21st, 2024 (#112): “A long-short portfolio constructed from firms with high versus low climate solutions within an industry group generates an average excess return of-5.37% per year from 2005 to 2023” (p. 34). … “… we find that high-climate solution firms exhibit lower stock returns and higher market valuation multiples. Their stock prices respond positively to events signaling increased demand for climate solutions. These firms also show higher future profitability during periods of regulatory uncertainty, unexpected increases in climate concerns, and when a larger share of their sales occurs in states with climate plans and stronger public support for addressing climate change. Overall, our results indicate that high-climate solution firms, whose business benefits as climate transition risks materialize, hedge investors against such risks”. My comment: Maybe it is good, that most investors cannot go short climate stocks. And remember: Past returns may not be a good indicator of future returns. My experience with climate-solution investments is rather positive.

No patent green impact? Green Innovations – Do patents pay off for the environment or for the investors? by Malte Schlosser, Ester Trutwin and Thorsten Hens as of Feb. 28th, 2024 (#271): “An examination of WIPO (Sö: World Intellectual Property Organization) patent data in conjunction with MSCI data reveals that companies with relatively more new green patents are those with less carbon emissions … Our analysis indicates that the firm’s green patent ratio does not contribute to an improved ESG score. However, we find evidence that the number of green patents within the last 240 months results in a better E, and industry adjusted ESG score. … While all patent strategies are underperforming the market, they tend to outperform or produce similar returns compared to the environmental and ESG strategies“ (p. 24/25).

Venture capital green impact? Impact Investment Funds by Alan S. Gutterman as of Sept. 16th, 2024 (#37): “This Work begins with an overview of the “impact startup” financial market .. The Work then dives into the practical “nuts and bolts” of practicing impact venture capital including the structure of impact investment funds and the steps that fund managers need to take to effectively “organize for impact” and the fundraising process for capitalizing the fund including due diligence, preparation and use of offering documents and negotiation of terms of the fund’s limited partnership or operating agreement. … The Work closes with a review of some of the challenges that must be overcome for the impact venture capital sector to fulfill its promise as important contributor to developing and implementing innovative and financially viable solutions to achieve society’s aspirations for sustainable development and progress” (p. 1).

Other investment research (in: Green impact)

No passive investing? Casting a Wide Net: Why True Passive Strategies Are Rare Catches by Alejandro Gaba, Jennifer Bender, Yvette Murphy, and John Tucker State Street Global Advisors from State Street Global Advisors as of Sept. 23rd, 2024 (#67): “With the rapid expansion of index funds, including smart beta and factor portfolios, what is active versus what is passive has become difficult to discern. Here we argue that only the theoretical market portfolio is “purely” passive and in practice only index portfolios that track broad market cap weighted indices (“passive-adjacent”) can be viewed as passive investing. Everything else is active. However, everything that is active lies on a spectrum and can be evaluated based on a framework we call “Conceptual Activeness.” We discuss three key parts of Conceptual Activeness – Simplicity, Transparency, and Acceptance …”. My comment: I miss a discussion of Multi-Asset Portfolios which are even less passive than equity portfolios, see Multi-Asset Benchmarks: Gibts nicht, will keiner. Oder doch? – Responsible Investment Research Blog. All my portfolios are rather simple, transparent but – unfortunately – not widely accepted (see Das-Soehnholz-ESG-und-SDG-Portfoliobuch.pdf).

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Werbung (in: Green impact)

Unterstützen Sie meinen Researchblog, indem Sie in den von mir beratenen globalen Small-Cap-Investmentfonds (siehe FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T) investieren und/oder ihn empfehlen. Der Fonds konzentriert sich auf die UN-Ziele für nachhaltige Entwicklung mit durchschnittlich außerordentlich hohen 95% SDG-vereinbaren Umsätzen der Portfoliounternehmen und verwendet separate E-, S- und G-Best-in-Universe-Mindestratings sowie Aktionärsengagement bei derzeit 29 von 30 Unternehmen (siehe auch My fund).

Climate hedge illustrative picture by pixur from Pixabay

Climate hedge? Researchpost 203

Climate hedge illustration by pixur from Pixabay

Climate hedge: 10x new practical research on life-saving trees, good emission trades, complex ESG effects, cost reducing ESG, ESG incident effects, SRI effects, concentrated and thematic ETFs (#shows number of SSRN full paper downloads as of Nov. 21st, 2024)

Social and ecological research

Life-saving trees: Trade, Trees, and Lives by Xinming Du, Lei Li, and Eric Zou as of Nov. 5th, 2024 (#36): “We examine Brazil, which has ramped up agricultural export over the last two decades to meet rising global demand. … we first show that export shocks cause substantial local agricultural expansion and a virtual one-for-one decline in forest cover. .. we establish a causal link between deforestation upstream and subsequent rises in air pollution and premature deaths downstream, with the mortality effects predominantly driven by cardiovascular and respiratory causes. Our estimates reveal a large telecoupled health externality of trade deforestation: over 700,000 premature deaths in Brazil over the past two decades. This equates to $0.18 loss in statistical life value per $1 agricultural exports over the study period“.

Good emission trades: Firms’ Response to Climate Regulations: Empirical Investigations Based on the European Emissions Trading System by Fotios Kalantzis, Salma Khalid, Alexandra Solovyeva, and Marcin Wolski from the International Monetary Fund as of July 15th, 2024 (#41): “Using a novel cross-country dataset, which merges firm-level financials with information on firms’ participation in the European Unions’ Emissions Trading System (ETS) … We find that more stringent policies do not have a strong negative impact on the profitability of ETS-regulated or non-ETS firms. While firms report an increase in their input costs during periods of high carbon prices, their reported turnover is also higher. Among ETS-regulated firms which must purchase emission certificates under the EU ETS, tightening of climate policies in periods of high carbon prices results in increased investment, particularly in intangible assets. … Our findings provide support for the benefits of EU ETS on accelerating firms’ climate transition, while keeping firm-level financial costs at bay” (abstract).

ESG investment research (in: Climate hedge research post)

Climate hedge? Investor Behavior in Response to Climate Risks: Insights from Fund Flows by Camille Baily, Amal Dabbous, Jean-Yves Gnabo, Matthias Horn, and Andreas Oehler as of Sept. 6th, 2024 (#25): “This study examines the impact of climate risk on capital flows in U.S. equity mutual funds using a dataset of 2,633 funds from 2013 to 2018. … Funds with high sustainability ratings have lower average net flows. Yet, they attract significantly higher net flows during periods of negative climate news. These results suggest a strategic allocation of capital to hedge against climate risks or to reflect preferences for environmentally friendly investments“ (abstract). My comment: I expect climate risks to become more prominent. That should favor sustainable fund investment flows.

Climate hedge? Oil-Driven Greenium by Zhan Shi and Shaojun Zhang as of Oct. 24th, 2024 (#215): “As climate attention grows, many argue that investors discipline carbon-intensive firms by increasing their costs of capital, creating a “greenium” favoring green firms. We challenge this view, demonstrating that the observed greenium variation is largely driven by oil demand fluctuations, which boost product prices and growth options for carbon-intensive firms, reducing the greenium. … Revisiting key climate-related events, like the Paris Agreement, we find that once oil’s impact is considered, investor discipline often plays a negligible role. Our findings indicate investors may be less responsive to the climate crisis than anticipated” (abstract). My comment: Investors should focus much more on sustainable investments.

Complex ESG effects? Nonlinear Impact of ESG on Stock Market Performance among Manufacturing and Banking Firms by Ralph Sonenshine and Yan Wang as of Nov.13th, 2024 (#11): “This study assesses the impact of ESG ratings on excess stock market returns and risk adjusted returns among a group of large, U.S. manufacturing and banking companies. … Our findings indicate a non-linear relationship exists between ESG ratings and financial performance. The relationship is usually, but not always, characterized by a U-shape pattern. … In banking, we see increasing returns to governance and decreasing returns to environmental projects relative to excess returns. In manufacturing, there are decreasing returns to investing in governance and environmental projects up to a certain threshold, suggesting large investments in these areas are needed to generate a payback for these investments. Finally, social responsibility ratings appear to have a negative, linear effect on financial performance, with the effect found primarily in the banking industry” (p. 26/27). My comment: I think that separate analysis of E, S and G scores is very important for risk reasons, because I do not want to accept high social risks to be offset by low ecological risks etc.

Good ESG reduces costs: ESG Performance and the Cost of Debt. Evidence from the Corporate Bond Market by Paolo Fiorillo, Antonio Meles, Antonio Ricciardi and Vincenzo Verdoliva as of Nov. 18th, 2024 (#11): “… Using an international sample of 25,234 bonds by 2,677 ESG rated issuers … finding lower yields (by approximately 10 bps) for high-ESG firms. … Finally, we observe lower yield spreads for bond issues occurred after the introduction of the SFDR …Overall, our results suggest that firms can benefit from superior ESG performance in terms of lower cost of debt on the corporate bond market” (abstract). My comment: I only invest in stocks with above-average best-in-universe E, S and G scores

Different incident effects:  Beyond Borders: Asset Price Reaction to ESG Incidents at Horne and Abroad by Tomasz Orpiszewski and Mark Thompson as of Nov. 18th, 2024 (#12): “This study examines the impact of ESG incidents on the stock and corporate bond prices … First, environmental incidents are generally associated with a downward movement in both stocks and corporate bonds. ln Europe, governance-related news also triggers a pronounced negative reaction. Second, ESG incidents occurring within the home jurisdiction in the US and Europe often lead to a price increase or a milder drop, … Third, we observe that incidents reported in non-English languages or occurring farther from the corporate headquarters tend to elicit stronger negative market reactions … Incidents in wealthier countries with higher GDP per capita result in a greater price drop across all assets, whereas bond prices exhibit a smaller decline or even increase when incidents occur in developing countries” (abstract). My comment: My data provider includes the effects of ESG-incidents within the ESG-scores. I only divest from stocks if the respective best-in-universe E, S and G scores fall >10% below the average scores (which happened more often than I thought, see Divestments: 49 bei 30 Aktien meines Artikel 9 Fonds

No SRI disadvantage: Socially Responsible Investment Funds: A Robust Test of Efficiency by Kwasi Boateng, Dan Daugaard, Vladimir Volkov and Faisal Khan as of Aug. 7th, 2024 (#54): “We test the efficiency of socially responsible investment (SRI) equity mutual funds using linear factor pricing models (LFPM) … the method finds no significant performance difference between SRI mutual funds and the broader fund universe” … (abstract). My comment: I f there is no return and risk difference, why not invest everything sustainably?

SDG investment research

Thematic problems: Morningstar Global Thematic Funds Landscape 2024 by Kenneth Lamont, Monika Calay, Daisuke Motori, and Madeleine Black from Morningstar Fund Research as of October  2024: “Despite several years of widespread underperformance, … Thematic funds attracted USD 360 billion in net flows in the postpandemic recovery period, before losing USD 43 billion in net outflows in the subsequent three and a half years. … In the first half of 2024, fund closures marginally surpassed new launches globally for the first time since 2013. … In Europe, 86% of thematic fund assets are in actively managed funds. In contrast, 81% of US thematic fund assets are in indexed strategies. … Broad thematic funds, which invest across many different themes, represent the most popular theme by assets globally. … Eighteen percent of thematic funds in our global universe both survived and outperformed the Morningstar Global Target Market Exposure Index over the trailing year to mid-2024. … Sixty percent of the thematic funds that were available to investors at the onset of that period have since been closed“ (p. 1 and 2). My comment: I focus on SDG-compliant thematic (fund) investments which – unfortunately- have not performed better than other themes recently.

Inflated thematic ETFs: Ponzi Funds by Philippe van der Beck, Jean-Philippe Bouchaud, and Dario Villamaina as of May 21st, 2024 (#2001): “Many active funds hold concentrated portfolios. Flow-driven trading causes price pressure, which pushes up the funds’ existing positions resulting in realized returns. … We find that flows chasing self-inflated returns predict bubbles in ETFs and their subsequent crashes, and lead to a daily wealth reallocation of $500 Million from ETFs alone. We provide a simple regulatory reporting measure– fund illiquidity– which captures a fund’s potential for self-inflated returns“ (abstract).

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Werbung (in: Climate hedge research post)

Unterstützen Sie meinen Researchblog, indem Sie in den von mir beratenen globalen Small-Cap-Investmentfonds (siehe FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T) investieren und/oder ihn empfehlen. Der Fonds konzentriert sich auf die UN-Ziele für nachhaltige Entwicklung mit durchschnittlich außerordentlich hohen 94% SDG-vereinbaren Umsätzen der Portfoliounternehmen und verwendet separate E-, S- und G-Best-in-Universe-Mindestratings sowie Aktionärsengagement bei derzeit 29 von 30 Unternehmen (siehe auch My fund).

Wong ESG compensation illustration from Pixabay by Ray Alexander

Wrong ESG compensation? Researchpost 196

Wrong ESG compensation illustration from Pixabay by Ray Alexander

10x new research on new toxics, climate target ambitions, financial analysts and climate topics, new ESG regulation effect on investments, ESG compensation governance deficits, ESG compensation outcome deficits, costly custom indices, unattractive private capital investments, gender-typical investment problems, and AI for retirement planning

ESG research

New toxics: Novel Entities – A financial time bomb by Planet Tracker as of Oct. 1st, 2024: “There are hundreds of thousands of novel entities – toxic substances created by humans and released into the environment that may be disruptive to the planet – travelling through the global economy. … most novel entities have not undergone safety assessments or information on those are protected or not shared. … Evaluating novel entities after they have been created and released is not acceptable. … Novel entities are often viewed by investors and lenders as technological progress adding to revenue and earnings potential. Novel entities are a source of significant litigation risk. Novel entities produced decades ago can still cause significant financial downside to companies today and in the future” (p. 5).

Intrinsic climate success: Raising the bar: What determines the ambition level of corporate climate targets? by Clara Privato, Matthew P. Johnson, and Timo Busch as of Sept. 9th, 2024: “Since the launch of the Science Based Targets initiative (SBTi), we have witnessed a steady increase in the number of companies committing to climate targets for large-scale reduction of greenhouse gas (GHG) emissions. … a two-stage qualitative study is conducted with a sample of 22 companies from five countries. … Within companies with highly ambitious climate targets, the findings indicate that certain factors are highly present, including leadership engagement, continual management support, employee involvement, participation in climate initiatives, and stakeholder collaboration. Conversely, none of these key factors are highly present in companies with less ambitious climate targets. Rather, these companies strongly identify the initiating factors of market-related pressures and non-market stakeholder influence as being the driving forces behind their target setting“ (abstract).

Climate analysts? Climate Value and Values Discovery by Zacharias Sautner, Laurence van Lent, Grigory Vilkov, and Ruishen Zhang as of July 24th, 2024 (#953): “Analyzing more than 310,000 earnings calls spanning two decades … the interest of analysts in “green topics ” is situational, reflecting market demands rather than persistent individual traits. Trading volume around earnings announcements is positively associated with the degree of climate discussions on earnings calls. … we find correlations between an analyst’s profile in earnings calls and career trajectories, with climate-centric analysts, particularly those focusing on value, experiencing better job opportunities. Climate analysts use voice, not exit, to ask (brown) firms to change“ (p. 25/26).

Regulation-driven divestments: Triggering a Divestment Wave? How ESMA’s Guidelines on ESG Fund Names Affect Fund Portfolios and Stocks by Stefan Jacob, Pauline Vitzthum, and Marco Wilkens as of Sept. 12th, 2024 (#58): “This paper examines the impact of the European Securities and Markets Authority’s (ESMA) Guidelines on funds’ names using ESG-related terms. These guidelines define clear exclusion criteria for sustainability-named funds. We examine the extent to which funds will be required to exclude non-compliant stocks, resulting in substantial divestments, particularly from firms with fossil fuel involvements. The enforcement of these guidelines is expected to significantly decarbonize the portfolios of sustainability-named funds, while at the same time triggering unprecedented selling pressure on certain stocks“ (abstract).

Wrong ESG compensation (1): ESG Overperformance? Assessing the Use of ESG Targets in Executive Compensation Plans by Adam B. Badawi and Robert Bartlett as of Sept. 10th, 2024 (#366): “The practice of linking executive compensation to ESG performance has recently become more prevalent in US public companies. In this paper, we document the extent of this practice within S&P 500 firms during the 2023 proxy season … We find that 315 of these firms (63.0%) include an ESG component in their executives’ compensation and that the vast majority of these incentives are part of the annual incentive plan (AIA) … While executives miss all of their financial targets 22% of the time in our sample, we show that this outcome is exceptionally rare for ESG-based compensation. Only 6 of 247 (2%) firms that disclose an ESG performance incentive report missing all of the ESG targets. We ask whether the ESG overperformance that we observe is associated with exceptional ESG outcomes or, instead, is related to governance deficiencies. Our findings that meeting ESG-based targets is not associated with improvements in ESG scores and that the presence of ESG-linked compensation is associated with more opposition in say-on-pay votes provides support for the weak governance theory over the exceptional performance theory“ (abstract). My comment With my shareholder engagement I ask companies to publish the pay ratio between their CEO and the average employee. Thus, all stakeholders can monitor if ESG compensation increases this already typically critically high metric (which I fear), also see Wrong ESG bonus math? Content-Post #188 and Kontraproduktive ESG-Ziele für Führungskräfte? | CAPinside

Wrong ESG compensation (2)? Paychecks with a Purpose: Evaluating the Effectiveness of CEO Equity and Cash Compensation for the Triple Bottom Line by Dennis Bams, Frederique Bouwman, and Bart Frijns as of Oct. 2nd, 2024 (#4): “We find that CEOs are more inclined to opt for a CSR strategy emphasizing Environmental Outcomes when they receive a larger proportion of their compensation in cash. … additional tests show that intentions have no predictive power for outcomes. … While the proportion of option compensation is beneficial for a CSR strategy that focuses on outcomes, the proportion of stock compensation motivates a focus on intentions. … In conclusion, our study shows that the prevailing approach of compensation packages focusing on equity compensation does not promote the triple bottom line principle.

Other investment research (in: Wrong ESG compensation)

Index illusion: Index Disruption: The Promise and Pitfalls of Self-Indexed ETFs by Bige Kahraman, Sida Li, and Anthony Limburg as of Sept. 27th, 2024 (#42): “The market for index providers is a concentrated market where the five largest providers serve approximately 95 percent of the market. … An increasing number of ETF issuers are creating proprietary indices in-house to avoid paying fees to third party index providers. In this paper, we … find that self-index funds offer higher, not lower, fees to their customers. To explain this, we suggest two hypotheses, one based on product differentiation and the other one based on conflicts of interest. Our results support the latter“ (p. 22). My comment: There are many (sustainability policy) reasons for custom portfolios but these portfolios should not be more expensive (see e.g. my direct SDG indexing options)

Private capital alpha illusion: The Private Capital Alpha by Gregory Brown, Andrei S. Goncalves, and Wendy Hu as of Sept. 25th, 2024 (#368): “We combine a large sample of 5,028 U.S. buyout, venture capital, and real estate funds from 1987 to 2022 to estimate the alphas of private capital asset classes under realistic simulations that account for the illiquidity and underdiversification in private markets as well as the portfolio allocation of typical limited partners. We find that buyout as an asset class has provided a positive and statistically significant alpha during our sample period. In contrast, over our sample period, the venture capital alpha was positive but statistically unreliable and the real estate alpha was, if anything, negative“ (p. 31). My comment: Most investors use gatekeepers of funds of funds to invest in private capital and after those costs even buyout alpha may be negligible”.

Lower-risk women: How Gender Differences and Behavioral Traits matter in Financial Decision-Making? Insights from Experimental and Survey Data by Giuseppe Attanasi, Simona Cicognani, Paola Paiardini, and Maria Luigia Signore as of Feb. 3rd, 2024 (#112): “… Our research suggests that gender alone does not exclusively determine diverse behavioral and investment choices. Instead, it is the context in which these choices are elicited that plays a crucial role. …(but) female investors consistently demonstrated a lower likelihood of engaging in investment activities across the financial domains of risk and ambiguity. … a tendency to invest less in risky financial assets limits the potential for accumulating greater wealth over time “ (p. 30).

Financial AI? Can ChatGPT Plan Your Retirement?: Generative AI and Financial Advice by Andrew W. Lo and Jillian Ross as of Sept. 4th, 2024 (#896): “… We focus on three challenges facing most LLM applications: domain-specific expertise and the ability to tailor that expertise to a user’s unique situation, trustworthiness and adherence to the user’s moral and ethical standards, and conformity to regulatory guidelines and oversight. … we focus on the narrow context of financial advice … Our goal is not to provide solutions to these challenges … but to propose a framework and road map for solving them as part of a larger research agenda for improving generative AI in any application” (abstract).

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Werbehinweis

Unterstützen Sie meinen Researchblog, indem Sie in den von mir beratenen globalen Small-Cap-Investmentfonds (siehe FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T) investieren und/oder ihn empfehlen. Der Fonds konzentriert sich auf die UN-Ziele für nachhaltige Entwicklung (aktuell durchschnittlich außerordentlich hohe 97% SDG-vereinbare Umsätze der Portfoliounternehmen: Investment impact) und verwendet separate E-, S- und G-Best-in-Universe-Mindestratings sowie Aktionärsengagement (Investor impact) bei derzeit 29 von 30 Unternehmen (siehe auch My fund).

Green gatekeepers illustration by Alan Frijns plus AI from Pixabay

Green gatekeepers: Researchpost 194

Green gatekeepers: Illustration from Pixabay by Alan Frijns plus AI from Pixabay 

6x new research on green policy risk reduction effects, the roles and risks of green gate keepers such as SBTI, equity valuation effects of heat anomalies, the potential role of SDG scores, anti-diversification ETF effects and active share as return predictor (#shows the number of SSRN full paper downloads as of Sept. 19th, 2024)

Green policy risk reduction: Economic Policy Uncertainty, Carbon Emissions and Firm Valuation: International Evidence by Sudipta Bose, Syed Shams, Searat Ali, Abdullah Al Mamun, and Millicent Chang as of Sept. 13th, 2024 (#21): “… From a sample spanning 22 countries over the period 2007 to 2018, our results show that, while carbon emissions increase with policy uncertainty, this relationship is mediated by renewable energy consumption. Country factors such as climate change performance, emissions trading schemes, and business culture also affect this relationship. In countries where economic policy uncertainty tends to be high, firms generally have a lower market value, due in part to higher levels of carbon emissions” (abstract).

Green gatekeepers such as SBTI: Green Gatekeepers by Luca Enriques, Alessandro Romano, and Andrew F. Touch as of Sept. 12th, 2024 (#122): “Environmental qualities … cannot be verified by consumers even after consumption. … green gatekeepers certify claims made about the green qualities of products or firms, … After distinguishing green gatekeepers from highly reputation-sensitive traditional gatekeepers in financial markets, we argue that green gatekeepers face weaker reputational constraints than traditional ones. Consequently, they are more likely to issue inaccurate certifications. We hand-code data on over 450 green gatekeepers, and we show that many of these gatekeepers are opaque, as in many instances they do not even disclose the standards they follow. We then propose a framework for regulation …“ (abstract).

Lower earnings, higher returns? The Heat Anomaly Premium by Amir Hosseini as of April 22nd, 2024 (#67): “This paper investigates the premium for exposure to heat anomalies among firms with presence across the U.S. states. … I show that facing larger heat anomalies predicts lower earnings in five industries based on the Fama and French twelve industries classification. The effect is stronger, especially among firms with low geographic dispersion. Given the negative economic effect of heat anomalies and the uncertainty about their magnitude resulting from climate change, I argue that exposure to heat anomalies is a source of risk. I … show that stocks with the highest exposure to heat anomalies, outperform those with the lowest, especially in recent years. The premium for exposure to heat anomalies grows to an average of 62 bps per month for the period after the Paris Agreement when investors’ climate concerns reach their highest levels. I also show that the premium is concentrated among stocks belonging to the industries with earnings sensitivity to heat anomalies and especially among firms with low geographic dispersion. The heat anomaly premium responds positively to the monthly shocks in the news-based index of climate concerns, suggesting that investors’ climate concerns drive the premium“ (abstract).

SDG score benefits: Corporate Sustainability and Scandals by Anna Vasileva, Jan Anton van Zanten, and Laurens Swinkels as of Aug. 22nd, 2024 (#190): “… we find evidence that positive contribution towards Sustainable Development Goals – measured by the SDG score – is broadly associated with fewer scandals in the next time period. We show that this measure offers explanatory power beyond the ESG score and exhibits a stronger and consistent relationship. … the most important individual SDG, which are associated with fewer scandals … are SDG 1 (“No Poverty”), SDG 7 (“Affordable and Clean Energy”), and SDG 13 (“Climate Action”)” (p. 27/28). My comments see Neues Research: SDG-Fokus besser als ESG-Fokus? | CAPinside

ETF risks: Limits to Diversification: Passive Investing and Market Risk by Lily Fang, Hao Jiang, Zheng Su, Ximing Yin, and Lu Zheng as of Sept. 18th, 2024 (#24): “We show that the rise of passive investing leads to higher correlations among stocks and increased market volatility, thereby limiting the benefit of diversification. The extent to which a stock is held by passive funds (index mutual funds and ETFs) positively predicts its beta, correlation, and covariance with other stocks, but not its idiosyncratic volatility. During crisis periods, stocks with high passive holdings contribute more to market risk compared to before the crisis. Correlated trading by passive funds explains these results, which are further amplified by implicit indexing due to performance benchmarking” (abstract). My comment: The smallcap stocks in my fund are held only by rather few and typically small ETFs. The diversification in the corresponding 30-stock model portfolio works fine since it start in 2017.

Active advantage: The Value of Active Share in Global Equity Funds and Across Regions of Investment by Markus Broman and Jon Fulkerson as of April 18th, 2024 (#68): “Using a sample of nearly 3,300 global equity funds from 19 developed markets, we provide out-of-sample evidence of active share as a return predictor in foreign portfolios. However … a fund’s within-region active share only predicts superior performance in Europe and Asia-Pacific, but not in the United States“ (abstract). My comment: My fund ha a very high active share compared to all potentially relevant benchmarks which I know.

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Werbehinweis (in: Green gatekeepers)

Unterstützen Sie meinen Researchblog, indem Sie in den von mir beratenen globalen Smallcap-Investmentfonds (siehe FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T) investieren und/oder ihn empfehlen. Der Fonds konzentriert sich auf die UN-Ziele für nachhaltige Entwicklung (aktuell durchschnittlich 93% SDG-vereinbare Umsätze der Portfoliounternehmen: Investment impact) und verwendet separate E-, S- und G-Best-in-Universe-Mindestratings sowie Aktionärsengagement (Investor impact) bei derzeit 29 von 30 Unternehmen (siehe auch My fund).

Sustainability deficit illustration: Painter by Alexas Fotos from Pixabay

Sustainability deficits: Researchpost 188

Sustainability deficits picture from Pixabay by Alexas Fotos

11x new research on green jobs, carbon prices, GHG reporting, accountants, ESG disclosures, institutional ESG, Governance returns, kid investments, ETF liquidity, loss aversion and customized investments (# shows SSRN full paper downloads as of August 8th, 2024)

Social and ecological research

Good green job effects: The Green Future: Labor Market Implications for Men and Women by Naomi-Rose Alexander, Longji Li, Jorge Mondragon, Sahar Priano, and Marina M. Tavares from the International Monetary Fund as of July 25th, 2024 (#15): “In AEs (Sö: Advanced economies), green jobs are predominantly found among high-skilled workers and cognitive occupations, whereas in EMs, many green jobs are manual positions within the construction sector …. green jobs are disproportionately held by men in both AEs and Ems … Additionally, we observe a green wage premium and narrower gender pay gaps in green jobs … many green jobs are well-positioned to harness the benefits of AI advancements … green jobs with a greater capacity to leverage AI exhibit a reduced gender pay gap” (p. 40/41).

Sustainability deficits (1): Negative carbon price effects: Firms’ heterogeneous (and unintended) investment response to carbon price increases by Anna Matzner and Lea Steininger as of July 29th, 2024 (#13): “Using balance sheet data of 1.2 million European firms and identified carbon policy shocks, we find that higher carbon prices reduce investment, on average. However, less carbon-intensive firms and sectors reduce their investment relatively more compared to otherwise similar firms after a carbon price tightening shock. Following carbon price tightening, firms in demand-sensitive industries see a relative decrease not only in investment but also in sales, employment and cashflow. Moreover, we find no evidence that higher carbon prices incentivise carbon-intensive firms to produce less emission-intensively. Overall, our results are consistent with theories of the growth-hampering features of carbon price increases and suggest that carbon pricing policy operates as a demand shock“ (abstract).

Sustianbility deficits (2): Corporate carbon deficits: The MSCI Sustainability Institute Net-Zero Tracker from the MSCI Sustainability Institute as of July 2024: “A series of indicators that investors use to guide transition finance … suggest that the world’s listed companies remain largely misaligned with global climate goals … Just over one-fifth (22%) of listed companies have set a decarbonization target that aims to reduce their financially relevant GHG emissions to net-zero by 2050 in line with a science-based pathway, as of May 31, 2024, an increase of eight percentage points from a year earlier … 38% of companies disclosed at least some of their upstream Scope 3 emissions, up eight percentage points from a year earlier, while 28% disclosed at least some of their downstream Scope 3 emissions, up seven percentage points over the same period” (p. 4). My comment: I ask every company within my fund to fully disclose GHG Scope 3 data so that all stakeholders can engage regarding these data.

Sustainability deficits (3): Accountant ESG deficits: ESG Assurance and Comparability of Greenhouse Gas Emission Disclosures by Jenna Burke, Jiali Luo, Zvi Singer, and Jing Zhang as of Aug. 7th, 2024 (#7): “… a recent rule from the SEC mandates expanded ESG disclosure, including external assurance of reported greenhouse gas (GHG) emissions. …. we … find that companies with ESG assurance report more comparable GHG emissions. Comparability is further enhanced when companies use the same assurance provider and when the provider is more experienced. We also find some evidence that comparability is higher when assurance is provided by consulting and engineering firms than by accounting firms“ (abstract).

ESG investment research (in: Sustainability deficits)

Sustainability deficits (4): No ESG disclosure benefits? Does mandating corporate social and environmental disclosure improve social and environmental performance?: Broad-based evidence regarding the effectiveness of Directive 2014/95/EU by Charl de Villiers, John Dumay, Federica Farneti, Jing Jia, and Zhongtian Li as of July 11th, 2024 (#33): “The Directive …requires companies that are (i) listed on EU exchanges or have significant operations within the EU; (ii) employing more than 500 people; or (iii) deemed to be public-interest entities; to report their performance on non-financial matters, including environmental issues, social and employee matters, human rights, anti-corruption, and bribery” (p. 1). … “Analysing a cross-country sample from 2009-2020, we find that social and environmental performance has not meaningfully improved since the Directive was enacted, and instead of EU companies increasing their performance more than US companies, there was either no difference (for social performance) or US companies improved more than EU companies (for environmental performance). Thus, the results suggest that the Directive did not have the intended impact on the social and environmental performance of EU companies “ (p. 19). My comment: Is more regulatory pressure required or more stakeholder engagement or both?

Sustainability deficits (5): Institutional ESG deficits: Comparisons of Asset Manager, Asset Owner, and Wealth and Retail Portfolios by Peter Jacobs, Ursula Marchioni, Stefan Poechhacker, Nicolas Werbach, and Andrew Ang from BlackRock as of April 16th,2024 (#183): “We examine 800 portfolios from European asset managers, asset owners, and wealth/retail managers … The average European institutional portfolio exhibits a total risk hovering between 10 to 11%, with little difference across the average asset manager, asset owner, and wealth/retail portfolios. Equity risk … accounting for almost 90% of the total portfolio risk. Decomposing equity risk further, country-specific tilts are the primary driver of equity risk, contributing approximately half of the overall equity risk. Style factors and sectors represent 35% and 17% of the equity risk, respectively. … the largest style factor exposure is small size. … the average European institution has lower carbon intensities, but perhaps surprisingly lower ESG scores, than the MSCI ACWI benchmark“ (p. 22). My comment: I do not expect significant positive share- and bondholder pressure from these investors. This opens room for more customized investor-driven solutions (see the last research publication of this blog post).

Governance returns: From Crisis to Opportunity: The Impact of ESG Scores and Board Structure on Firms’ Profitability by Luis Seco, Azin Sharifi and Shiva Zamani as of Aug. 6th, 2024 (#13): “This study … of firms listed in the S&P 500 index from 2016 to 2022 reveals that firms with a higher BSI index (Sö: Board structure index) demonstrate enhanced financial profitability …. Among the ESG components, only the Governance score significantly impacts financial profitability, … whereas Environmental and Social scores do not show a significant direct effect on net profit margins … the positive impact of robust board structures and governance practices is more pronounced in the post-COVID period “ (p. 16/17). My comment: Our study from 2014 revealed similar results, see Fetsun, A. and Söhnholz, D. (2014): A quantitative approach to responsible investment: Using ESG multifactor models to improve equity portfolios, Veritas Investment Arbeitspapier, presented at PRI Academic Network Conference in Montreal, September 23rd (140227 ESG_Paper_V3 1 (naaim.org))

Other investment research (in: Sustainability deficits)

Kids beat adults: Invest Like for Your Kids: Performance and Implications of Children’s Investment Accounts on Portfolios in Adulthood by Denis Davydov and Jarkko Peltomäki as of April 16th, 2024 (#78): “… we explore the performance of custodial investment accounts for children and their subsequent impact on portfolio performance in adulthood. We find that children’s investment accounts demonstrate superior performance, boasting an average Sharpe ratio over 35% higher and an annual return three times greater compared to adults’ accounts. Notably, the observed trading activity and account behavior in children’s accounts suggest a preference for passive investment strategies. In addition, the combination of lower volatility and higher returns in children’s accounts may indicate a more effective diversification strategy adopted by parents. … the risk-taking and overall account activity of teenage boys become significantly higher than those of girls, resulting in deteriorated investment performance. … individuals who had investment accounts during childhood consistently demonstrate superior performance compared to their peers who started investing in adulthood” (p. 26/27).

ETF liquidity risk: Passing on the hot potato: the use of ETFs by open-ended funds to manage redemption requests by Lennart Dekker, Luis Molestina Vivar, and Christian Weistroffer as of Aug. 1st, 2024 (#12): “Investment funds are the largest group of ETF investors in the euro area. Our results … show that investment funds were the most run-prone investor type during the COVID-19 crisis. We then show that ETF selling by open-ended funds during March 2020 was stronger for funds facing larger outflows. … This finding is consistent with funds using ETFs for managing liquidity and raising cash if needed“ (p. 16).

Loss aversion? A meta-analysis of disposition effect experiments by Stephen L. Cheung as of pril 3rd, 2024 (#53): “This paper reports a meta-analysis of the disposition effect – the reluctance to liquidate losing investments – in three standard experimental environments in which this behaviour is normatively a mistake. … the literature finds that investors are around 10% more willing to sell winning compared to losing assets, despite optimal choice dictating the opposite“ (abstract).

Hyper-managed customized investments? Beyond Active and Passive Investing: The Customization of Finance from the CFA Institute Research Foundation by Marc R. Reinganum and Kenneth A. Blay as of Aug. 6th, 2024: “…The overwhelming ascendancy of index funds associated within the US Equity Large-Cap Blend category is the exception rather than the rule. … The economics of customizable portfolios, enabled by technology facilitating hyper-managed separate accounts, will yield better outcomes for investors in terms of after-tax returns and alignment with investor attitudes and preferences. … In the future, active and passive investing will coexist but will increasingly take place within hyper-managed separate accounts, where the passive component will be implemented in an unbundled way rather than in a fund to maximize net economic benefits and other objectives. … The next frontier for asset managers and their service providers will be the era of low-cost customization“ (p. 76/77). My comment: See Index- und Nachhaltigkeits-Investing 2.0? | CAPinside

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Werbehinweis

Unterstützen Sie meinen Researchblog, indem Sie in meinen globalen Smallcap-Investmentfonds (SFDR Art. 9) investieren und/oder ihn empfehlen. Der Fonds konzentriert sich auf die Ziele für nachhaltige Entwicklung (SDG: Investment impact) und verwendet separate E-, S- und G-Best-in-Universe-Mindestratings sowie ein breites Aktionärsengagement (Investor impact) bei derzeit 29 von 30 Unternehmen: Vgl. My fund.

Green salt illlustration from H Hach from Pixabay

Green salt: Researchpost 187

Green salt picture by H. Hach from Pixabay

10x new research on green salt, digital aid, ESG risks, ESG ratings, direct ESG indexing, environmental engagement, green regulation, stock return dispersion and equal weigthing

Social and ecological research

Green salt? Expanding the Use of Molten Salt for Renewable Energy Storage and the Role of Green Technology Policies by Lavinia Heisenberg and Richhild Moessner as of July 31st, 2024 (#6): “This paper discussed expanding the use of molten salt for renewable energy storage and generation, in an environmentally friendly way and making use of existing infrastructure. These include using molten salt to store solar energy in concentrated solar plants, replacing coal by molten salt to power thermal plants and thereby convert existing coal thermal plants to renewables, and linking these two uses. They also include molten salt thermal batteries for grid-scale energy storage, and using molten salt in green hydrogen production” (p. 9).

Digital humanitarian aid: Can Digital Aid Deliver during Humanitarian Crises? by Michael Callen, Miguel Fajardo-Steinhäuser, Michael G. Findley, and Tarek Ghani as of July 31st, 2024 (#3): “We experimentally evaluated digital payments to extremely poor, female-headed households in Afghanistan …. The payments led to substantial improvements in food security and mental well-being. Despite beneficiaries’ limited tech literacy, 99.75% used the payments, and stringent checks revealed no evidence of diversion. … Delivery costs are under 7 cents per dollar, which is 10 cents per dollar less than the World Food Programme’s global figure for cash-based transfers” (abstract).

ESG investment research (in: Green salt)

Low ESG risks pay: MSCI ESG Ratings and Cost of Capital by Jakub Malich and Anett Husi from MSCI Research as of July 22nd, 2024: “The objective of our study was to determine whether companies with higher resilience to financially material sustainability-related risks (as measured by MSCI ESG Ratings) did benefit from a lower cost of capital. Key takeaways: We found a significant historical correlation between a company’s MSCI ESG Rating and its financing costs. This relationship held in both equity and debt markets … Companies assessed to be the most resilient to financially material sustainability-related risks consistently financed themselves more cheaply than those considered more vulnerable“ (p. 4). My comment: I invest in stocks with low ESG risks and my returns have been good so far, see e.g. Fonds-Portfolio: Mein Fonds | CAPinside

Better social than green? The Influence of ESG Ratings on the Performance of Listed Companies in Germany during by Crisis by Katharina Neuenroth and Alexander Zureck as of July 29th, 2024 (#8): “Data of a sample of 20 companies listed in the Deutscher Aktienindex (DAX) was utilised for the analysis and a time period of two years (2020 – 2021) was considered. The required information was gathered from the Refinitiv Thomson Reuters database. The research found no significant influence of environmental and governance ratings on EBITDA. However, a significant positive influence of the social rating was observable.“ (abstract). My comment: My SDG-portfolios have more social than green exposure and most have performed rather well over time see www.soehnholzesg.com

Direct ESG Indexing: Smart Beta, Direct Indexing, and Index-Based Investment Strategies by from Jordan Doyle and Genevieve Hayman from the CFA Research Institute as of July 30th, 2024: “…. we review the origins of index investing and develop an indexing framework that captures incremental levels of active management for new index-based products within the evolving index investing landscape. This conceptual framework helps investors, firms, and policymakers better understand and define index-based products. Additionally, we offer policy recommendations to clarify terminologies with respect to smart beta products and direct indexing, and we encourage increased disclosure on the part of index providers regarding indexing methodologies” (p. 3). …. “Several recent studies have highlighted the increased calls for personalized strategies and product offerings within investment management. In a Charles Schwab Asset Management (2023) survey, 88% of ETF investors expressed interest in further personalizing their investment portfolio, with 78% wishing to better align investments with their personal values” (p. 7). My comment: I offer direct ESG and SDG index solutions since quite some time now but demand has been very low, see Direct ESG Indexing: Die beste ESG Investmentmöglichkeit auch für Privatkunden?

Good ESG banks? Stock returns and ESG scores of banks by Silvia Bressan and Alex Weissensteiner as of July 29th, 2024 (#12): “We analyze the relationship between United States bank stock returns and ESG scores from January 2013 to December 2022. Our findings indicate that during bear markets, high ESG banks perform slightly better than low ESG banks. However, during market rebounds, the outperformance of high ESG banks becomes significantly more pronounced. … during the more stable period from March 2021 to December 2022 … high ESG banks exhibiting lower equity performance“ (p. 30/31).

Impact investment research (in: Green salt)

Green bank returns: Does Banks’ Environmental Engagement Impact Funding Costs? by  Md Jaber Al Islam,  Fernando Moreira, and Mustapha Douch as of July 24th, 2024 (#12): “This study investigates 853 banks across 59 countries from 2004 to 2021, identifying a significant relationship between banks’ environmental engagement and lower funding costs. This association is more pronounced among banks with better management, lower deposit levels, and operating in countries with higher GDP. Depositors and investors support ecofriendly banks due to their favourable conditions in risk, capital adequacy, profitability, and reputation. Besides, the Paris Agreement has been instrumental in heightening awareness among depositors and investors regarding climate change.” (abstract).

Effective green regulation: The impact of ECB Banking Supervision on climate risk and sustainable finance by Lena Schreiner and Andreas Beyer as of July 23rrd, 2024 (#37): “This paper provides a first empirical analysis of the impact of the European Central Bank’s (ECB’s) climate-risk-related supervisory efforts … We …. find a significant impact on both improvements in climate risk exposure and management and on an increase in banks’ green finance activities“ (abstract).

Oher investment research

Stock return dispersion: Which U.S. Stocks Generated the Highest Long-Term Returns? by Hendrik Bessembinder as of July 16th, 2024 (#5538): “This report describes compound return outcomes for the 29,078 publicly-listed common stocks contained in the CRSP database from December 1925 to December 2023. The majority (51.6%) of these stocks had negative cumulative returns. However, the investment performance of some stocks was remarkable. Seventeen stocks delivered cumulative returns greater than five million percent (or $50,000 per dollar initially invested) … The highest annualized compound return for any stock with at least 20 years of return data was 33.38%, earned by Nvidia shareholders” (abstract).

Equal weigthing: Worth the Weight by Tim Edwards, Anu R. Ganti, and Hamish Preston from S&P Dow Jones Indices as of July 23rd, 2024: “The S&P 500 Equal Weight Index has recently displayed underperformance in comparison to the S&P 500, driven primarily by historical extremes of performance in the market’s largest names. Moreover, concentration in the broader U.S. equity market has increased to its highest in many years, while single-stock momentum trends are showing unusual signs of extension. Historically, such periods have tended to eventually revert toward their historical means, with such reversion accompanied by stronger relative performance by equal weight indices” (p. 17). My comment: I use equal weighting for equity portfolios since many years and are happy with the results, see e.g. here Das-Soehnholz-ESG-und-SDG-Portfoliobuch.pdf (soehnholzesg.com)

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Werbehinweis (in: Green salt)

Unterstützen Sie meinen Researchblog, indem Sie in meinen globalen Smallcap-Investmentfonds (SFDR Art. 9) investieren und/oder ihn empfehlen. Der Fonds konzentriert sich auf die Ziele für nachhaltige Entwicklung (SDG: Investment impact) und verwendet separate E-, S- und G-Best-in-Universe-Mindestratings sowie ein breites Aktionärsengagement (Investor impact) bei derzeit 29 von 30 Unternehmen: Vgl. My fund.

Zur jetzt wieder guten Performance siehe zum Beispiel Fonds-Portfolio: Mein Fonds | CAPinside

Tiny houses: ai generated by GrumpyBeere from Pixabay

Tiny houses and more: Researchpost 184

Tiny houses: Illustration AI generated by GrumpyBeere from Pixabay

7x new studies on tiny and shared housing, climate-induced stock volatility, sustainability-led bonds, ESG-ETF divestment effects, hedge fund corporate governance effects, SFDR analysis, female SDG fintech power (# shows SSRN full paper downloads as of July 11th, 2024)

Social and ecological research (Tiny houses and more)

Tiny houses and & shared living:  Living smaller: acceptance, effects and structural factors in the EU by Matthias Lehner, Jessika Luth Richter, Halliki Kreinin, Pia Mamut, Edina Vadovics, Josefine Henman, Oksana Mont, Doris Fuchs as of June 27th, 2024: “This article … studies the acceptance, motivation and side-effects of voluntarily reducing living space in five European Union countries: Germany, Hungary, Latvia, Spain and Sweden. … Overall, the data reveal an initial reluctance among citizens to reduce living space voluntarily. They also point to some major structural barriers: the housing market and its regulatory framework, social inequality, or dominant societal norms regarding ‘the ideal home’. Enhanced community amenities can compensate for reduced private living space, though contingent upon a clear allocation of rights and responsibilities. Participants also reported positive effects to living smaller, including increased time for leisure activities and proximity to services. This was often coupled with urbanization, which may also be part of living smaller in the future” (Abstract). My comment: See Wohnteilen: Viel Wohnraum-Impact mit wenig Aufwand

Responsible investment research

Climate vola: Do Climate Risks Increase Stock Volatility? By Mengjie Shi from the Deutsche Bundesbank Research Center as of July 1st, 2024 (#23): “This paper finds that stocks in firms with high climate risk exposure tend to exhibit increased volatility, a trend that has intensified in recent years, especially following the signing of the Paris Agreement in 2015. … Institutional investors and climate policies help counterbalance the impact of climate risks on stock stability, whereas public concerns amplify it. My baseline findings are robust across alternative climate risk and stock volatility measures, as well as diverse country samples. Subsample analysis reveals that these effects are more pronounced in firms with carbon reduction targets, those in carbon-intensive industries, and those with reported emissions” (p. 23).

Bondwashing? Picking out “ESG-debt Lemons”: Institutional Investors and the Pricing of Sustainability-linked Bonds by Aleksander A. Aleszczyk and Maria Loumioti as of July 2nd, 2024 (#20): “… classifying SLBs into impact-oriented (i.e., ESG performance-enhancement and transition bonds) and values-oriented (i.e., bonds not written on ambitious and material sustainability outcomes or those issued by firms with less significant sustainability footprint). We find that investors equally price various degrees of sustainability impact in SLBs and likely pay too much for buying an ESG-label attached to SLBs that are unlikely to yield strong sustainability impact. We show that demand for sustainability impact is positively influenced by investors’ ESG commitment and strategy implementation and SLB investment preferences. Heavyweight ESG-active asset managers are more likely to purchase values-aligned SLBs. Focusing on investor pricing decisions, we find that new entrants and investors likely to benefit from adding impact-oriented SLBs to their portfolios are more willing to pay for impact. In contrast, investors with a preference for values-oriented SLBs are less willing to pay a sustainability impact premium“ (p. 31/32). My comment: I focus on bond-ETFs with already good ESG-ratings for my ETF-portfolios not on (“sustainable”) bond labels

Divestments work: The effects of Divestment from ESG Exchange Traded Funds by Sebastian A. Gehricke, Pakorn Aschakulporn, Tahir Suleman, and Ben Wilkinson as of June 25th, 2024 (#5): “We find that divestment by predominantly passive ESG ETFs has a significant negative effect on the stock returns of firms, especially when a higher number of ESG ETFs divest in a firm in the same quarter …. Such coordinated divestment results in initial negative effects on stock returns, increases in the firms’ equity and debt cost of capital and a delayed decrease in carbon emission intensities. There also seems to be a positive effect on ESG ratings, but only after 8 quarters” (p. 16/17). My comment: my experience with divestments is positive, see Divestments: 49 bei 30 Aktien meines Artikel 9 Fonds. Since then, I reinvested  in a few stocks which improved their ESG-ratings.

Good hedge funds: Corporate Governance and Hedge Fund Activism by Shane Goodwin as of Feb. 12th, 2024 (#159): “My novel approach to inside ownership and short-interest positions as instrumented variables that predict a Target Firm’s vulnerability to hedge fund activism contributes to the literature on the determinants of shareholder activism. … My findings suggest that Hedge Fund Activists generate substantial long-term value for Target Firms and their long-term shareholders when those hedge funds function as a shareholder advocate to monitor management through active board engagement“ (p. 155/156).

SFDR clarity? Sustainability-related materiality in the SFDR by Nathan de Arriba-Sellier and Arnaud Van Caenegem as of July 1st, 2024 (#19): “… we should think about the SFDR as a layered system of sustainability-related disclosures, which combine the concepts of “single-materiality” and the “double-materiality”. …  it is not the definition of “sustainable investment” which is relevant, but the additional disclosure requirements that apply as soon as a financial market participant deems its financial product to be in line with the definition. The SFDR encourages robust internal assessments over blind reliance on opaque ESG rating agencies and provides financial market participants with the freedom to justify what a contribution to an environmental or social objective means. This freedom sets it apart from a labeling mechanism with a clearly defined threshold of what a contribution should entail. The … proposed guidelines by ESMA for regulating the names of investment funds that involve sustainable investment … do not create a clear labelling regime” (abstract).

Other investment research (in: Tiny houses and more)

Female SDG power: Measuring Fintech’s Commitment to Sustainable Development Goals by Víctor Giménez García, Isabel Narbón-Perpiñá, Diego Prior Jiménez and Josep Rialp as of May 31st, 2024 (#8): “This study investigates the performance of Fintech companies in achieving Sustainable Development Goals (SDGs) … Our results show that female founders enhance Fintech sector’s alignment with the SDGs, specially in smaller companies, indicating that gender diversity in leadership promotes sustainable practices. Additionally, companies with more experienced founders and higher funding tend to prioritize growth and financial performance over sustainability” (abstract).

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Werbehinweis (in: Tiny houses and more)

Unterstützen Sie meinen Researchblog, indem Sie in meinen globalen Smallcap-Investmentfonds (SFDR Art. 9) investieren und/oder ihn empfehlen. Der Fonds konzentriert sich auf die Ziele für nachhaltige Entwicklung (SDG: Investment impact) und verwendet separate E-, S- und G-Best-in-Universe-Mindestratings sowie ein breites Aktionärsengagement (Investor impact) bei derzeit 29 von 30 Unternehmen: Vgl. My fund.

Zur jetzt wieder guten Performance siehe zum Beispiel Fonds-Portfolio: Mein Fonds | CAPinside

Halbjahres-Renditen Illustration von Gerd Altmann von Pixabay

Halbjahres-Renditen: Divergierende Nachhaltigkeitsperformances

Halbjahres-Renditen Illustration von Gerd Altmann von Pixabay

Halbjahres-Renditen der Soehnholz ESG Portfolios: Vereinfacht zusammengefasst haben die Trendfolge-, ESG-ETF- und SDG-ETF-Aktienportfolios relativ schlecht rentiert. Dafür performten passive Asset Allokationen, ESG-Anleihenportfolios und vor allem direkte SDG Portfolios und der FutureVest Equity SDG Fonds sehr gut.

Halbjahres-Renditen: Passive schlägt aktive Allokation

Halbjahres-Renditen: Das regelbasierte „most passive“ Multi-Asset Weltmarkt ETF-Portfolio hat +7,2% (+5,4% in Q1) gemacht. Das ist ähnlich wie Multi-Asset ETFs (+7,0%) und besser als aktive Mischfonds mit +6,0% (+4,8% in Q1). Das ebenfalls breit diversifizierte ESG ETF-Portfolio hat mit +6,5% (+4,2% in Q1) ebenfalls überdurchschnittlich rentiert.

Nachhaltige ETF-Portfolios: Anleihen gut, Aktien nicht so gut, SDG schwierig

Das ESG ETF-Portfolio ex Bonds lag mit +9,3% (+6,1% in Q1) erheblich hinter traditionellen Aktien-ETFs mit +14,7% (+10,6% in Q1) und aktiv gemanagten globalen Aktienfonds mit +13,7% zurück.

Mit -0,9% (-0,3% in Q1) rentierte das sicherheitsorientierte ESG ETF-Portfolio Bonds (EUR) wie aktive Fonds mit -0,9% (-0,7% in Q1). Das renditeorientierte ESG ETF-Portfolio Bonds hat mit +1,6% (+1,6% in Q1) dagegen nennenswert besser abgeschnitten als vergleichbare aktiv gemanagte Fonds (-1.2%).

Das aus thematischen Aktien-ETFs zusammengestellte SDG ETF-Portfolio lag mit -1,4% (-0,2% in Q1) stark hinter diversifizierten Weltaktienportfolios aber noch vor einem relativ neuen Multithemen SDG ETF, der -4,8% im ersten Halbjahr verlor. Besonders thematische Investments mit ökologischem Fokus liefen auch im zweiten Quartal 2024 nicht gut.  

Halbjahres-Renditen: Sehr gute direkte ESG SDG Portfolios und Fonds

Das auf Small- und Midcaps fokussierte Global Equities ESG SDG hat im ersten Halbjahr mit +8,4% (1,4% in Q1) im Vergleich zu Small- (+1,4%) und Midcap-ETFs (+0,6%) und aktiven Aktienfonds (+5,8%) sehr gut abgeschnitten. Das Global Equities ESG SDG Social Portfolio hat mit +6,3% (+3,7% in Q1) ebenfalls sehr gut abgeschnitten.

Mein auf globales Smallcaps fokussierter FutureVest Equity Sustainable Development Goals R Fonds (Start 2021) hat im ersten Halbjahr 2024 eine ebenfalls sehr gute Rendite von +6,8% (+2,6% in Q1) erreicht (weitere Informationen wie z.B. auch den aktuellen detaillierten Engagementreport siehe FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T und My fund – Responsible Investment Research Blog (prof-soehnholz.com).

Für Trendfolgeportfolios haben die zur Risikosenkung gedachten Signale vor allem Rendite gekostet, weil die Portfolios nach dem Marktausstieg aufgrund negativer Signale nicht von dem schnellen und starken Marktaufschwung profitieren konnten.

Mehr Details sind hier zu finden: Soehnholz ESG, siehe auch Excel-Download: Historische Zeitreihen der Portfolios.

Impactfonds: Bild von Mastertux von Pixabay

Impactfonds im Nachhaltigkeitsvergleich

Impactfonds: Foto von Mastertux von Pixabay

Es ist schwierig, passende nachhaltige Fonds zu finden

Nachhaltige Investments sind kein No-Brainer. Ein Problem dabei: Nachhaltige Investments können sehr unterschiedlich definiert werden. Ich verweise meist auf das von mir mit entwickelte Policies for Responsible Invesment Scoring Concept der DVFA (DVFA PRISC, vgl. Kapitel 7.3 in Das Soehnholz ESG und SDG Portfoliobuch). Damit können Anleger, Berater und Anbieter ihre individuelle Nachhaltigkeitspolitik festlegen. Das ist einfach. Schwierig wird es, wenn die dazu passenden Investmentfonds gefunden werden sollen. In diesem Beitrag zeige ich, wie man das machen kann und welche Fonds besonders gut zu meinen Nachhaltigkeitsanforderungen passen.

Wenig überraschend ist, dass der von mir beratene Fonds dabei am besten abschneidet. Neu für mich war aber, wie stark die Unterschiede zu anderen Smallcap-Fonds sind, die den Fondsnamen nach mit meinem Fonds vergleichbar sein sollten. Das gilt auch für die Performance.

Was ist ein liquider Impactfonds?

Laut Bundesinitiative Impact Investing ist wirkungsorientiertes Investieren ein Investmentansatz, der neben einer finanziellen Rendite auch eine messbare ökologische und/oder soziale Wirkung erzielen soll.

Ich beschränke mich in dieser Analyse auf liquide Investments. Das heißt, dass ich nur Fonds vergleiche, die in börsennotierte Wertpapiere investieren. Damit werden Fonds ausgeklammert, die Empfängern direkt zusätzliches Eigen- oder Fremdkapital bringen können. Das reduziert den potenziellen Impact von Fonds.

Allerdings ist mir die jederzeitige Änderungsmöglichkeit von Investments sehr wichtig. Das zeigt sich daran, dass ich bisher schon 60 Aktien aus meinem im August 2021 gestarteten und aus 30 Aktien bestehenden Fonds verkauft habe (vgl. Divestments: 49 bei 30 Aktien meines Artikel 9 Fonds und das Engagementreporting auf FutureVest Equity Sustainable Development Goals). Verkaufsgründe waren überwiegend meine zunehmend höheren Nachhaltigkeitsansprüche und (relativ) verschlechterte Nachhaltigkeit der Aktien im Portfolio. Mit illiquiden Investments ist man meistens mehrere Jahre an diese gebunden. Das bedeutet, dass man ein relativ hohes Nachhaltigkeitsrisiko eingeht (vgl. Free Lunch: Diversifikation nein, Nachhaltigkeit ja?).

Man kann zwei Arten von Impactinvestments unterscheiden, nämliche solche mit Fokus auf den Impact der Anlagen selbst und andere, die den Impact von Anlegern Berücksichtigen (vgl. Impactleitfaden der DVFA DVFA-Fachausschuss Impact veröffentlicht Leitfaden Impact Investing und ähnlich Eurosif und Forum nachhaltige Geldanlagen, Marktbericht 2024 S. 13). Im ersten Fall sind das zum Beispiel Aktien und Anleihen von Herstellern erneuerbarer Energien. Im zweiten Fall ist das die positive Einflussnahme von Anlegern über Stimmrechtsausübungen und andere Formen von Engagement, um Investmentziele nachhaltiger zu machen.

109 diversifizierte Impactfonds?

In Deutschland werden aktuell ungefähr neuntausend Investmentfonds mit insgesamt 34.500 Anteilsklassen öffentlich angeboten (vgl. Fonds-Suche | DAS INVESTMENT Fonds Explorer). Ungefähr 4% davon bzw. 350 sind Fonds nach dem strengsten Nachhaltigkeitsartikel 9 der Offenlegungsverordnung.

Man könnte annehmen, dass nur Artikel 9 Fonds auch Impactfonds sein können. Das Forum nachhaltige Geldanlagen kommt aber zu anderen Ergebnissen. Danach fallen „fast 60 Prozent der Artikel-6-Mandate bzw. Spezialfonds … in die Kategorie „Impact-Aligned“ (FNG Marktbericht 2024, S. 20). Das erscheint mir sehr viel.

Für meine eigene Analyse habe ich mir die verfügbaren Fonds auf www.morningstar.de angesehen und nach Stichworten im Fondsnamen gesucht. Ich interessiere mich dabei vor allem für Fonds mit Impact und Sustainable Development Goals im Namen. Bei den sogenannten aktiven Fonds finde ich nur 582 von 62325, also 0,9% aller potenziellen Anteilsklassen mit „Impact“ im Namen. Hinzu kommen 0,4% mit „Sustainable Development Goals“ bzw. „SDG“ im Namen. Insgesamt finde ich sich so 84 unterschiedliche Impactfonds.

Ohne Transitions-, reine Engagement- und wenig diversifizierte Fonds

Dabei habe ich Fonds ausgeklammert, die Transitionen von schlechteren zu besseren Nachhaltigkeiten anstreben. Das wären zum Beispiel Paris-Aligned Benchmark (PAB) Fonds. Diese investieren in Aktien und Anleihen von Organisationen, die sich auf einem CO2-Reduktionspfad befinden. Darunter sind oft Unternehmen mit aktuell noch hohen Emissionen und wenig nachhaltigen Produktangeboten. Solche Fonds sind nach meiner Auffassung keine konsequenten SDG-vereinbaren Fonds, zu denen ich nur Fonds mit Wertpapieren zähle, die in Bezug auf ihre Produkte und Services bereits möglichst nachhaltig sind.

Man könnte auch noch die 134 Anteilklassen mit „Engagement“ im Namen nutzen. Darauf verzichte ich aber ebenfalls (wenn nicht SDG oder Impact zusätzlich im Namen enthalten sind), denn für mich sollten die Emittenten der Wertpapiere im Fonds vor allem mit den SDG vereinbare Produkte und Services anbieten. Wenn dann noch Shareholder Engagement dazu kommt, ist das gut. Aber nur Engagement ohne SDG-Vereinbarkeit reicht mir für meinen Impactansatz nicht aus.

Ich interessiere mich vor allem für potenzielle Wettbewerber für den von mir beraten branchen- und länderdiversifizierten Aktienfonds. Deshalb betrachte ich hier keine länderspezifischen oder branchen- bzw. themenspezifischen Fonds, auch nicht solche für erneuerbare Energien oder Mikrofinanz. Ich klammere auch Anleihefonds mit Fokus auf grüne, soziale und andere nachhaltige Anleihen aus, sofern sie nicht SDG oder Impact im Namen nutzen.

Dafür füge ich Fonds hinzu, die dem Global Challenges Index bzw. dem nx25 Index folgen. Der Grund dafür ist, dass mein Fonds manchmal mit diesen Fonds verglichen wird.

Bei den ETFs finde ich nur einen Impact-ETF mit Umweltfokus sowie nur zwei SDG-diversifizierte-ETFs, die ich beide in der Detailanalyse berücksichtige.  

Insgesamt erhalte ich so 109 „Impactfonds“. 34 davon sind Anleihefonds, 7 sind Mischfonds und 3 sind Protected- bzw. Garantie- oder Hedgefonds. Damit bleiben 65 Aktienfonds übrig. 37 sind globale Aktienfonds, die grundsätzlich alle Unternehmensgrößen abdecken (Allcaps),12 sind überwiegend auf mittelgroße Unternehmen (Midcap) fokussierte globale Aktienfonds und 5 sind regional fokussierte Fonds. Bis auf zwei regionale Fonds enthalten diese nur relativ wenige Smallcaps, die in meinem Fonds vorherrschend sind. Damit bleiben 11 überregionale Smallcapfonds für den Detailvergleich übrig.

Detailvergleich von 11 globalen sogenannten Impactfonds mit Smallcapfokus

Idealerweise wird ein Nachhaltigkeitsvergleich der von mir selektieren Fonds mit kostenlos verfügbaren und damit extern einfach nachprüfbaren Daten durchgeführt. Die mir bekannten derartigen Datenbanken sind jedoch wenig transparent, nutzen nur Best-in-Class ESG Ratings und/oder enthalten nur einen Teil der mich interessierenden Fonds und Nachhaltgigkeitsdaten.

Deshalb habe ich die Fonds mit der kostenpflichtigen Datenbank von Clarity.ai analysiert. Diese hat den Vorteil, dass sie – mit Ausnahme eines neuen ETFs – für alle 11 Fonds detaillierte SDG- und ESG-Analysen ermöglicht. Dabei werden möglichst alle Aktien einzeln analysiert und dann auf Portfolioebene aggregiert.

Bei der Interpretation der Ergebnisse ist zu berücksichtigen, dass solche Nachhaltigkeitsanalysen je nach Datenanbieter und Stichtag (hier: Mitte Juni 2024) unterschiedliche Ergebnisse ergeben können. Zu beachten ist auch, dass die Ratings oft annähernd normalverteilt sind, d.h. die Streuung in der Mitte ziemlich hoch ist und Ausreißer selten sind. Das bedeutet, dass ein durchschnittliches ESG-Rating von 55 gegenüber 50 einen erheblichen Unterschied bedeuten kann.

Nur 1 diversifizierter konsequenter Smallcap-Impactfonds?

Ich analysiere sogenannte unerwünschte Aktivitäten, ESG-Ratings und SDG-Vereinbarkeiten. ESG-Ratings fassen dabei ESG-Risiken inklusive Kontroversen zusammen, ohne finanzielle Aspekte zu berücksichtigen. Dabei nutze ich ein Best-in-Universe Rating. Das bedeutet, dass Umwelt-, Sozial- und Unternehmensführungsrisiken aller über fünfundzwanzigtausend gerateten Unternehmen miteinander verglichen werden und nicht brancheninterne (Best-in-Class) Ratings genutzt werden. ESG-Risiken haben eine mögliche Bandbreite von 0 bis 100 und SDG-Vereinbarkeit wird über SDG-vereinbare Umsätze gemessen, von denen vorher unvereinbare Umsätze abgezogen werden (Netto-Umsatz-Ansatz).

Die hier analysierten 11 Fonds investieren insgesamt in über 200 Unternehmen mit einigen von 37 von mir unerwünschten und vermiedenen Aktivitäten. Das sind vor allem in Unternehmen, die Tierversuche durchführen. Dutzende weitere Unternehmen haben Abhängigkeiten von fossilen Brennstoffen oder Waffen.

Die SDG-(Netto-)Umsatzvereinbarkeit ist mir besonders wichtig. Am besten schneidet dabei der von mir beraten Fonds Futurevest Equities SDG R mit 88% ab. Drei weitere Fonds liegen um die 80%. Damit sind für mich nur diese 4 Smallcap-SDG Fonds konsequente Impactfonds. Zwei davon setzen vor allem auf erneuerbare Energien, einer auf Gesundheit und nur der von mir beratene Fonds auf beide und weitere Segmente.

Zwei weitere Fonds haben etwas über 50% SDG-Umsätze. Für mich überraschend ist, dass für 6 Fonds unter 50% netto SDG-Umsätze ausgewiesen wird. Ein Fonds mit „SDG-Engagement“ im Namen schneidet mit 7% am schlechtesten ab. Das Fondsmanagement will mit seinem Engagement dabei offensichtlich relativ wenig nachhaltige Investments nachhaltiger machen.

Impactfonds mit ESG-Risiken

In Bezug auf die ESG-Risiken ergeben sich ebenfalls erhebliche Unterschiede: Auch hier schneidet der von mir beratene Fonds mit einem durchschnittlichen ESG- Rating von 66 am besten ab. Bei Governance gibt es mit 71 einen noch besseren Fonds im Vergleich zu den 70 des Futurevest Fonds. Mit 62 bei Sozialrisiken und 68 von 100 Punkten bei Umweltrisiken scheidet der Futurevest-Fonds aber am besten ab.

Drei Fonds liegen bei den aggregierten ESG-Ratings aber auch bei Umwelt- und Sozialem unter 50 und haben damit überdurchschnittliche Risiken. Alle anderen Fonds liegen zwischen 53 und 60 bei den aggregierten Ratings. Beim Governancerating geht die Bandbreite nur von 52 bis 71, bei Umwelt von 40 bis 68 und bei Sozialem von 36 bis 63. Dabei liegen 9 Fonds bei den Sozialratings unter 50.

Auch bei den Emissionen gibt es starke Unterschiede. So reichen die umsatzgewichteten Scope 1 und Scope 2 Emissionen von 41 bis 1503 Tonnen mit fünf Fonds über 100 Tonnen. Mit 54 Tonnen hat der Futurevest-Fonds die drittniedrigsten Emissionen. Die Scope 3 Emissionen reichen von 88 bis 3.650 (Futurevest: 665) und scheinen damit kaum vergleichbar zu sein. Fonds, die bei ihren Investments auf Scope 3 Reporting drängen, wie ich das machen, werden bei solchen Vergleichen tendenziell benachteiligt.

Engagementdaten der Fonds werden in der Clarity.ai Datenbank nicht aufgeführt. Hierzu wäre eine relativ aufwändige separate Analyse nötig (Infos zu Futurevest siehe „Engagementreporting“ auf FutureVest Equity Sustainable Development Goals).

Strengster Fonds mit guter Performance

In Bezug auf Ausschlüsse, SDG-Umsätze und ESG-Ratings ist nach diesen Daten der von mir beratenen Fonds der mit Abstand am konsequentesten nachhaltige. Das ist auch nachvollziehbar, denn ich nutze fast nur Nachhaltigkeitskriterien für die Aktienselektion.

Aber natürlich ist auch Performance wichtig. In Bezug auf traditionelle Smallcapfonds erreicht der von mir beratene Fonds seit der Auflage marktübliche Renditen und Risiken. Für die Analyse der selektieren Smallcap-Nachhaltigkeitsfonds nutze ich, sofern vorhanden, die thesaurierenden nicht-währungsgesicherten Retailanteilsklassen. Bezüglich der Renditen von Anfang 2022 bis Mitte Juni 2024 (der Futurevest-Fonds ist erst im August 2021 gestartet) liegt mein Fonds aktuell an der zweitbesten Position, direkt nach dem aus meiner Sicht wenig nachhaltigen SDG Engagementfonds. Im aktuellen Jahr liegt er sogar an erster Stelle. Und die Volatilität von etwa 13% ist auch relativ niedrig. Die Bandbreite der Performance recht dabei von +11% bis -59%.

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Disclaimer

Dieser Beitrag ist von der Soehnholz ESG GmbH erstellt worden. Die Erstellerin übernimmt keine Gewähr für die Richtigkeit, Vollständigkeit und/oder Aktualität der zur Verfügung gestellten Inhalte. Die Informationen unterliegen deutschem Recht und richten sich ausschließlich an Investoren, die ihren Wohnsitz in Deutschland haben. Sie sind keine Finanzanalyse und nicht als Verkaufsangebot oder Aufforderung zur Abgabe eines Kauf- oder Zeichnungsangebots für Anteile der/s in dieser Unterlage dargestellten Aktie/Fonds zu verstehen und ersetzen nicht eine anleger- und anlagegerechte Beratung.

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

Anlageentscheidungen sollten nur auf der Grundlage der aktuellen gesetzlichen Verkaufsunterlagen (Wesentliche Anlegerinformationen, Verkaufsprospekt und – sofern verfügbar – Jahres- und Halbjahresbericht) getroffen werden, die auch die allein maßgeblichen Anlagebedingungen enthalten.

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

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

ESG audits illustration by xdfolio from Pixabay

ESG audits: Researchpost 181

ESG audits illustration by xdfolio from Pixabay

ESG audits: 9x new research on migration, floods, biodiversity risks, credit risks, ESG assurance, share loans, LLM financial advice, mental models and gender investing (# shows number of SSRN full paper downloads as of June 20th, 2024).

Social and ecological research

Complementary migrants: Do Migrants Displace Native-Born Workers on the Labour Market? The Impact of Workers‘ Origin by Valentine Fays, Benoît Mahy, and François Rycx as of April 9th, 2024 (#34): “… native-born people with both parents born in the host country (referred to as ‘natives’) and native-born people with at least one parent born abroad (referred to as ‘2nd-generation migrants’) … Our benchmark results … show that the relationship between 1stgeneration migrants, on the one hand, and natives and 2nd-generation migrants, on the other hand, is statistically significant and positive, suggesting that there is a complementarity in the hirings or firing of these different categories of workers in Belgium … tests support the hypothesis of complementarity between 1st-generation migrants on the one hand, and native and 2nd-generation migrant workers on the other. … complementarity is reinforced when workers have the same (high or low) level of education and when 1st-generation migrant workers come from developed countries” (p. 22/23).

ESG investment research (in: ESG audits)

Corporate flood risk: Floods and firms: vulnerabilities and resilience to natural disasters in Europe by Serena Fatica, Gábor Kátay and Michela Rancan as of April 16th, 2024 (#76): “…. we investigate the dynamic impacts of flood events on European manufacturing firms during the 2007-2018 period. … We find that water damages have a significant and persistent adverse effect on firm-level outcomes, and may endanger firm survival, as firms exposed to water damages are on average less likely to remain active. In the year after the event, an average flood deteriorates firms’ assets by about 2% and their sales by about 3%, without clear signs of full recovery even after 8 years. While adjusting more sluggishly, employment follows a similar pattern, experiencing a contraction for the same number of years at least. “ (p. 35).

Too green? Impact of ESG on Corporate Credit Risk by Rupali Vashisht as of May 30th, 2024 (#23): “… improvements in ESG ratings lead to lower spreads due to the risk mitigation effect for brown firms. On the other hand, for green firms, ESG rating upgrades lead to higher spreads. Next, E pillar is the strongest pillar in determining the bond spreads of brown firms. All pillars E, S, and G pillars are important determinants of bond spreads for green firms. Lastly, improvements in ESG ratings are heterogeneous across quantiles“ (abstract). “… “findings in the recent literature substantiate the results of this paper by providing evidence that green companies are deemed safe by investors and that any efforts towards improving ESG performance may be considered wasteful and therefore, penalized” (p. 47). My comment: In may experience, even companies with good ESG ratings can improve their sustainability significantly. Investors should encourage that through stakeholder engagement. My approach see Shareholder engagement: 21 science based theses and an action plan – (prof-soehnholz.com) or my engagement policy here Nachhaltigkeitsinvestmentpolitik_der_Soehnholz_Asset_Management_GmbH

Independent ESG audits: Scrutinizing ESG Assurance through the Lens of Reporting by Cai Chen as of June 7th, 2024 (#33): “… I examine three reporting properties (materiality, verifiability, and objectivity) relevant to the objectives of ESG assurance (Söhnholz: independent verification) across an international sample. I document positive associations between ESG assurance and all three reporting properties … These associations strengthen with assurers’ greater industry experience, companies’ ESG-linked compensation, and companies’ high negative ESG exposure” (abstract).

Biodiversity ESG audits: Pricing Firms’ Biodiversity Risk Exposure: Empirical Evidence from Audit Fees by Tobias Steindl, Stephan Küster, and Sven Hartlieb as of as of May 14th, 2024 (#73): “… we find that biodiversity risk is associated with higher audit fees for a large sample of listed U.S. firms. Further tests reveal that auditors do not increase their audit efforts due to firms’ higher biodiversity risk exposure but rather charge an audit fee risk premium. We also find that this audit fee risk premium is only charged (i) by auditors located in counties with high environmental awareness, and (ii) if the general public’s attention to biodiversity is high“ (abstract).

Other investment research (in: ESG audits)

Share loaning: Long-term value versus short-term profits: When do index funds recall loaned shares for voting? by Haoyi (Leslie) Luo and Zijin (Vivian) Xu as of May 22nd, 2024 (#20): “… we analyze the share recall behavior of index funds during proxy voting and investigate the implications for voting outcomes. … We find that higher index ownership is more likely associated with share recall, particularly in the presence of higher institutional ownership, lower past return performance, smaller firms, and more shares held by younger fund families with higher turnover ratios or higher management fees. … a higher recall prior to the record date is associated with fewer votes for a proposal if opposed by ISS“ (p. 29). My comment: ETF-selectors should discuss if loaning shares is positive or negative.

AI financial advice: Using large language models for financial advice by Christian Fieberg, Lars Hornuf and David J. Streich as of May 31st, 2024 (#162): “…. we elicit portfolio recommendations from 32 LLMs for 64 investor profiles differing with respect to their risk tolerance and capacity, home country, sustainability preferences, gender, and investment experience. To assess the quality of the recommendations, we investigate the implementability, exposure, and historical performance of these portfolios. We find that LLMs are generally capable of generating financial advice as the recommendations can in fact be implemented, take into account investor circumstances when determining exposure to markets and risk, and display historical performance in line with the risks assumed. We further find that foundation models are better suited to provide financial advice than fine-tuned models and that larger models are better suited to provide financial advice than smaller models. … We find no difference in performance for either of the model features. Based on these results, we discuss the potential application of LLMs in the financial advice context“ (abstract).

Mental constraints? Mental Models in Financial Markets: How Do Experts Reason about the Pricing of Climate Risk? by Rob Bauer, Katrin Gödker, Paul Smeets, and Florian Zimmermann as of June 3rd, 2024 (#175): “We investigate financial experts’ beliefs about climate risk pricing and analyze how those beliefs influence stock return expectations. … most experts share the view that climate risks are insufficiently reflected in stock prices, yet they hold heterogeneous beliefs about the source and persistence of the mispricing. … Differences in experts’ mental models explain variation in return expectations in the short-term (1-year) and long-term (10-year). Furthermore, we document that experts’ political leanings and geography determine the type of mental model they hold” (abstract).

Gender investments: Gender effects in intra-couple investment decision-making: risk attitude and risk and return expectations by Jan-Christian Fey, Carolin E. Hoeltken, and Martin Weber as of Nov. 29th, 2023 (#147): “Using representative data on German households … we show that the relation between gender, risk attitudes (both in general and financial matters) and risky investment is much more complex than prior literature has acknowledged. … This analysis has shown that risk-loving, wife-headed households seem to have a less optimistic risk and return assessment than their husband-headed counterparts. Overall, 40 percent of the 10.57 percentage point gap in capital market participation potentially arises from a less favourable view on investment Sharpe ratios taken by female financial heads. … General risk attitudes are our preferred measure of innate risk attitudes since the financial risk attitude question can easily be contaminated by financial constraints, and understood by survey participants as a question of their capacity to take risks rather than their willingness“ (p. 42/43).

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Werbehinweis

Unterstützen Sie meinen Researchblog, indem Sie in meinen globalen Smallcap-Investmentfonds (SFDR Art. 9) investieren und/oder ihn empfehlen. Der Fonds konzentriert sich auf die Ziele für nachhaltige Entwicklung (SDG: Investment impact) und verwendet separate E-, S- und G-Best-in-Universe-Mindestratings sowie ein breites Aktionärsengagement (Investor impact) bei derzeit 29 von 30 Unternehmen:  My fund – Responsible Investment Research Blog (prof-soehnholz.com). Zur jetzt wieder guten Performance siehe zum Beispiel Fonds-Portfolio: Mein Fonds | CAPinside