Archiv der Kategorie: ETF

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

New gender research illustration by Mohamed Hassan from Pixabay

New gender research: Researchpost 176

New gender research illustration by Mohamed Hassan from Pixabay

New gender research: 16x new research on child labor, child bonus, climate models, green bonds, social returns, supply chain ESG, greenwashing, ESG bonifications, gender index, gender inheritance gap, inflation, investment risks and investment AI (# shows SSRN full paper downloads as of May 16th, 2024)

Social and ecological research in: New gender research

US child labor: (Hidden) In Plain Sight: Migrant Child Labor and the New Economy of Exploitation by Shefali Milczarek-Desai as of April 18th, 2024 (#164): “Migrant child labor pervades supply chains for America’s most beloved household goods including Cheerios, Cheetos, Lucky Charms, J. Crew, and Fruit of the Loom. Migrant children, some as young as twelve and thirteen, de-bone chicken sold at Whole Foods, bake rolls found at Walmart and Target, and process milk used in Ben & Jerry’s ice-cream. Most work grueling shifts, including overnight and over twelve-hour days, and some, working in extremely hazardous jobs such as roofing and meat processing, have died or suffered serious, permanent injuries. … many … are unaccompanied minors and have no choice but to work. … this paper charts a multifaceted course that might realistically address the predicament of migrant child workers who are precariously perched at the intersection of migration and labor“ (abstract).

New gender research: Is There Really a Child Penalty in the Long Run? New Evidence from IVF Treatments by Petter Lundborg, Erik Plug, and Astrid Würtz Rasmussen as of May 2nd, 2024 (#32): “The child penalty has been singled out as one of the primary drivers behind the gender gap in earnings. In this paper, we challenge this notion by estimating the child penalty in the very long run. For this purpose, we rely on … fertility variation among childless couples in Denmark to identify child penalties for up to 25 years after the birth of the first child. … we find that the first child impacts the earnings of women, not men. While the child penalties are sizable shortly after birth, the same penalty fades out, disappears completely after 10 years, and turns into a child premium after 15 years. … we even find that the birth of the first child leads to a small rise in the lifetime earnings of women” (p. 15/16).

New gender research: What Works in Supporting Women-Led Businesses? by Diego Ubfal as of April 30th, 2024 (#125): “This paper reviews evidence on interventions that can address the constraints faced by growth-oriented, women-led micro, small, and medium-sized enterprises (WMSMEs). … First, evidence of modest average treatment effects and treatment effect heterogeneity across various interventions suggests the need for better targeting and segmentation. Second, women-led firms face multiple constraints, and addressing them requires a package of multiple interventions“ (p. 20).

Climate model risks: The Emperor’s New Climate Scenarios – Limitations and assumptions of commonly used climate-change scenarios in financial services by Sandy Trust, Sanjay Joshi, Tim Lenton, and Jack Oliver as of July 4th, 2023: “Many climate-scenario models in financial services are significantly underestimating climate risk. … Real-world impacts of climate change, such as the impact of tipping points (both positive and negative, transition and physical-risk related), sea-level rise and involuntary mass migration, are largely excluded from the damage functions of public reference climate-change economic models. Some models implausibly show the hot-house world to be economically positive, whereas others estimate a 65% GDP loss or a 50–60% downside to existing financial assets if climate change is not mitigated, stating these are likely to be conservative estimates. … Carbon budgets may be smaller than anticipated and risks may develop more quickly. … We may have underestimated how quickly the Earth will warm for a given level of emissions, meaning we need to update our expectations as to how quickly risks will emerge. A faster warming planet will drive more severe, acute physical risks, bring forward chronic physical risks, and increase the likelihood of triggering multiple climate tipping points, which collectively act to further accelerate the rate of climate change and the physical risks faced. … Firms naturally begin with regulatory scenarios, but this may lead to herd mentality and ‘hiding behind’ Network for Greening the Financial System (NGFS) thinking, rather than developing an appropriate understanding of climate change. Key model limitations, judgements and choice of assumptions are not widely understood, as evidenced by current disclosures from financial institutions” (p. 6).

ESG investment research

Managed greenium: Determinants of the Greenium by Christoph Sperling, Roland Maximilian Happach, Holger Perlwitz, and Dominik Möst as of May 9th, 2024 (#23): “Environmental, social and governance (ESG) bonds can benefit from yield discounts compared to their conventional twins, a phenomenon known as the ‚greenium‘. … we examine five observable characteristics of corporate ESG bonds and their conventional twins for statistical differences in primary market yields and derive two overarching determinants from this” (abstract). “… two overarching determinants affecting the occurrence and magnitude of a greenium become apparent: transparent information disclosure and sustainable corporate management. Companies can actively enhance their greenium in the primary market and reduce debt financing costs by communicating clearly about the intended use of proceeds and aligning with ambitious sustainability goals” (p. 28).

Social return effects: Social Premiums by Hoa Briscoe-Tran, Reem Elabd, Iwan Meier, and Valeri Sokolovski as of April 30th, 2024 (#123): “Our analysis illuminates the impact of the S dimension of ESG on future stock returns. We find that the aggregate S score does not affect stock returns. However, the two main components of the S score exert significant, yet opposite, effects on returns. Specifically, higher human capital scores are associated with higher returns, aligning with previous research and suggesting that markets may not fully price in firms’ human capital. Conversely, higher product safety scores are associated with lower average returns, consistent with the risk-based explanation that firms with safer products exhibit safer cash flows, reduced risk, and therefore, lower expected returns” (p. 26). My comment: If social investments have similar returns as other investments, everything speaks for social investments.

ESG purchasing benefits: A Procurement Advantage in Disruptive Times: New Perspectives on ESG Strategy and Firm Performance by Wenting Li and Yimin Wang as of May 5th, 2024 (#29): “Drawing on the COVID-19 pandemic as a natural experiment, we define a firm’s resilience as its relatively superior financial performance during the pandemic. … The results reveal that increased ESG practices strengthen a firm’s resilience during disruptions: a 1% increase in ESG practice scores leads to a 0.215% increase in firms’ return on assets. We analyze the mechanisms driving this resilience effect and show that improved ESG practices are associated with reduced purchasing costs and higher profitability amid disruptions. … we provide robust evidence that ESG enhances operational congruency with suppliers, which becomes critical in securing a procurement advantage during severe external constraints. Contrary to popular belief, there is little evidence that the ESG improves price premiums during the disruption“ (abstract). My comment: My detailed recommendations for supplier evaluations and supplier engagement see Supplier engagement – Opinion post #211 – Responsible Investment Research Blog (prof-soehnholz.com)

NGOs and Greenwashing: Scrutinizing Corporate Sustainability Claims. Evidence from NGOs’ Greenwashing Allegations and Firms’ Responses by Janja Brendel, Cai Chen, and Thomas Keusch as of April 9th, 2024 (#107): “We find that advocacy NGOs (Sö: Non-Governmental Organizations) increasingly campaign against greenwashing, targeting predominantly large, publicly visible firms in the consumer-facing and oil and gas industries. These campaigns mostly accuse firms of making misleading or false statements in communication outlets such as product labels, advertisements, and public relations campaigns about companies’ impacts on climate change and consumer health. Shareholders and the media react to NGO campaigns, especially when they allege greenwashing of material environmental or social performance dimensions. Finally, firms facing environment-related greenwashing allegations disclose less environmental information in the future, while companies criticized for climate-related greenwashing reduce future greenhouse gas emissions“ (abstract). My comment see Neues Greenwashing-Research | CAPinside

New gender research: Who Cares about Investing Responsibly? Attitudes and Financial Decisions by Alberto Montagnoli and Karl Taylor as of April 30th, 2024 (#25): “Using the UK Financial Lives Survey data … our analysis reveals that, firstly, individual characteristics have little explanatory power in terms of explaining responsible investments, except for: education; gender; age; and financial literacy. Secondly, those individuals who are interested in future responsible investments are approximately 7 percentage points more likely to hold shares/ equity, and have around 77% more money invested in financial assets (i.e. just under twice the amount)“ (abstract).

New gender research: Index Inclusion and Corporate Social Performance: Evidence from the MSCI Empowering Women Index by Vikas Mehrotra, Lukas Roth, Yusuke Tsujimoto, and Yupana Wiwattanakantang as of May 14th, 2024 (#48): “… we focus on the years surrounding the introduction of the MSCI Empowering Women Index (WIN), in which membership is based on a firm’s gender diversity performance in the workforce. … firms ranked close to the index inclusion threshold enhance their proportion of women in the workforce following the WIN inception compared to control firms that are distant from the inclusion threshold. Notably, these improvements are not accompanied by a reduction in male employees, … we observe that the enhancement of women’s representation in the workforce predominantly occurs in management positions, rather than at the rank-and-file positions, which remain largely unchanged. Additionally, there is evidence of a cultural shift within these firms, as indicated by a reduction in overtime and a higher incidence of male employees taking parental leaves in the post-WIN period. Moreover, WIN firms experience an increase in institutional ownership without any discernible decline in firm performance or shareholder value …” (p. 26).

Impact investment research

ESG bonus leeway: ESG & Executive Remuneration in Europe by Marco Dell’Erba and Guido Ferrarini as of May 6th, 2024 (#160): “… a qualitative and empirical analysis of the ways in which the major 300 largest corporations by market capitalization in Europe (from the FTSEurofirst 300 Index) implement ESG factors in their remuneration policies. … Few metrics are clearly measurable, and there is a general lack of appropriate metrics and targets” (p. 36/37). My comment see Wrong ESG bonus math? Content-Post #188 – Responsible Investment Research Blog (prof-soehnholz.com)

Bank net zero failure: Business as Usual: Bank Net Zero Commitments, Lending, and Engagement by Parinitha (Pari) Sastry, Emil Verner, and David Marques-Ibanez as of April 23rd, 2024 (#876): “This paper is the first attempt to quantify whether banks with a net zero pledge have made meaningful changes to their lending behavior. … we find that net zero lenders have not divested from emissions-intensive firms, in mining or in the sectors for which they have set targets. This holds both for borrowing firms in the eurozone, as well as across the globe. We also find limited evidence that banks reallocate financing towards low-carbon renewables projects within the power generation sector, casting doubt on within-sector portfolio reallocation. Further, we do not find evidence for engagement. Firms connected to a net zero bank are no more likely to set decarbonization targets, nor do they reduce their carbon emissions“ (p. 35).

Other investment research: in New gender research

New gender research: Wealth creators or inheritors? Unpacking the gender wealth gap from bottom to top and young to old by Charlotte Bartels, Eva Sierminska, and Carsten Schroeder as of Apri 28th, 2024 (#157): Using unique individual level data that oversamples wealthy individuals in Germany in 2019, we find that women and men accumulate wealth differently. Transfer amounts and their timing are an important driver of these differences: men tend to inherit larger sums than women during their working life, which allows them to create more wealth. Women often outlive their male partners and receive larger inheritances in old age. Yet, these transfers come too late in order for them to be used for further accumulation and to start a business. Against this backdrop, the average gender wealth gap underestimates the inequality of opportunity that men and women have during the active, wealth-creating phase of the life course” (p. 7).

Inflation ignorants: Don’t Ignore Inflation Ignorance: An Experimental Analysis of the Degree of Money Illusion in Individual Decision Making by Nicole Branger´, Henning Cordes, and Thomas Langer as of Dec. 30th, 2024 (#18): “Money illusion refers to the tendency to evaluate economic transactions in nominal rather than real terms. One manifestation of this phenomenon is the tendency to neglect future inflation in intertemporal investment decisions. Empirical evidence for this “inflation ignorance” is hard to establish due to the host of factors that simultaneously change with the inflation rate. … We find money illusion to be substantial – even in experimental settings where the bias cannot be driven by a lack of diligence, arithmetic problems, or misunderstandings of inflation. Our findings contribute to understanding various anomalies on the individual and market level, such as insufficient savings efforts or equity mispricing“ (abstract).

Active risk: Sharpe’s Arithmetic and the Risk Matters Hypothesis by James White, Vladimir Ragulin, and Victor Haghani from Elm Wealth as of Dec. 20th, 2023 (#140): “… the authors present … the „Risk Matters Hypothesis“ (RMH), which asserts that the average risk-adjusted excess return across all active portfolios will be greater than the risk-adjusted excess return of the market portfolio, before accounting for fees and trading costs” (abstract).

AI for the big guys only? A Walk Through Generative AI & LLMs: Prospects and Challenges by Carlos Salas Najera as of Dec. 20th, 2023 (#68): “Generative AI has firmly established its presence, and is poised to revolutionise various sectors such as finance. Large Language Models (LLMs) are proving pivotal in this transformation according to their recent impressive performances. However, their widespread integration into industries might only lead to gradual progress. The investment sector faces challenges of inadequate expertise and notably, the substantial costs associated with inhouse model training. Consequently, investment enterprises will confront the choice of leveraging foundational models, customisable variants, or insights from NLP vendors who remain well-versed in the latest advancements of LLMs” (p. 9). My comment: See How can sustainable investors benefit from artificial intelligence? – GITEX Impact

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Werbehinweis

Unterstützen Sie meinen Researchblog, indem Sie in meinen globalen Small-Cap-Anlagefonds (SFDR Art. 9) investieren und/oder ihn empfehlen. Der Fonds konzentriert sich auf die Ziele für nachhaltige Entwicklung (SDG) und verwendet separate E-, S- und G-Best-in-Universe-Mindestratings sowie ein breites Aktionärsengagement bei derzeit 26 von 30 Unternehmen: FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T und My fund – Responsible Investment Research Blog (prof-soehnholz.com)

Halbjahres-Renditen Illustration von Gerd Altmann von Pixabay

Q1 Renditen der Soehnholz ESG Portfolios

Q1 Renditen: Passive Multi-Asset Portfolios OK

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

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

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

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

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

Q1 Renditen: Direkte ESG SDG Portfolios OK

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

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

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

Weiterführende Infos:

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

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

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

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

ESG rumor illustration from yaobim from Pixaby

ESG rumors: Researchpost #169

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

Ecological and social research

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

ESG investment research (ESG rumors)

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

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

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

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

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

Other investment research (ESG rumors)

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

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

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SDG Performance Illustration with SDG Wheel

SDG performance: Researchpost #168

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

ESG research

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

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

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

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

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

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

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

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

Impact investing research (in: SDG performance)

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

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

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

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

Other investment research (in: SDG performance)

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

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

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Advert for German investors:

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

Biodiversity Diversgence illustration with seed toto by Claudenil Moraes from Pixaby

Biodiversity diversion: Researchpost #165

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

Social and ecological research

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

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

ESG investment research (in: „Biodiversity diversion“)

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

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

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

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

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

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

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

SDG- aligned and impact investment research

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

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

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

Other investment research (in: „Biodiversity diversion“)

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

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

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Advert for German investors:

Sponsor my research by investing in and/or recommending my global small cap mutual fund (SFDR Art. 9). The fund focuses on the Sustainable Development Goals and uses separate E, S and G best-in-universe minimum ratings and broad shareholder engagement with currently 26 of 30 companies: FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T or My fund (prof-soehnholz.com).

Shareholder engagement strategies illustration shows 4 such strategies

Shareholder engagement options: Researchpost #161

Shareholder engagement options: 14x new research on real estate, waste, nature, biodiversity, corporate governance, loans, climate postures, decarbonization, greenwashing, shareholder proposals and engagement, sustainable investor groups, CEO pay and BNPL by Thomas Cauthorn, Samuel Drempetic, Julia Eckert, Andreas G.F. Hoepner, Sven Huber, Christian Klein, Bernhard Zwergel and many others (# shows # of SSRN full paper downloads as of Feb. 1st, 2024):

Social and ecological research

Invisible housing space: Der unsichtbare Wohnraum by Daniel Fuhrhop as of June 30th, 2023: “This dissertation analyzes »invisible living space« and its potential for the housing market … »invisible living space«: unused rooms in homes, which were (often) formerly used as children’s rooms but are no longer needed in now elderly, single-family households. Using the »invisible living space« could help avoid economic and ecological costs of new housing developments … this thesis investigates realistic methods for the activation of invisible living space … In addition to homeshare, this dissertation … shows the potential of existing, invisible living space for up to 100.000 apartments“ (p. 13/14). My comment: I suggest a similar approach with Wohnteilen: Viel Wohnraum-Impact mit wenig Aufwand which could especially attractive for Corporates to attract and maintain employees and improve the CSR-position

Repair or not repair? Consumerist Waste: Looking Beyond Repair by Roy Shapira as of Jan. 27th, 2024 (#58): “The average American uses her smartphone for only two years before purchasing a new one and wears a new clothing item five times before dumping it. … Consumerist waste is a multifaceted problem. It emanates not just from functional product obsolescence, which repair can help solve, but also from psychological (or “perceived”) product obsolescence, which repair cannot solve. … A key question is therefore not whether consumers have a right to repair but rather whether consumers want to repair. … Existing proposals focus on requiring disclosure at the purchasing point and assuring repair at the post-purchase point. These tools may be necessary, but they are hardly sufficient. … It may be more effective to focus on sellers’ reputational concerns instead” (abstract).

ESG investment research (Shareholder engagement options)

Nature-ratings: Accountability for Nature: Comparison of Nature-Related Assessment and Disclosure Frameworks and Standards by Yi Kui Felix Tin, Hamza Butt, Emma Calhoun, Alena Cierna, Sharon Brooks as of January 2024: “… provides an overview of the key methodological and conceptual trends among the private sector assessment and disclosure approaches on nature-related issues. … The report presents findings from a comparative research on seven leading standards, frameworks and systems for assessment and disclosure on nature-related issues … CDP disclosure system, European Sustainability Reporting Standards (ESRS), Global Reporting Initiative (GRI) Standards, International Sustainability Standards Board (ISSB) Standards, Natural Capital Protocol, Science Based Targets Network (SBTN) target setting guidance, Taskforce on Nature-related Financial Disclosures (TNFD) framework … Overall, the study revealed that the reviewed approaches are demonstrating an increasing level of alignment in key concepts and methodological approaches” (p. Vii/Viii).

Biodiversity premium: Loan pricing and biodiversity exposure: Nature-related spillovers to the financial sector by Annette Becker, Francesca Erica Di Girolamo, Caterina Rho from the European Commission as of December 2023: “Our findings show that the exposure of EU banks to biodiversity varies across countries, depending on the level of exposure of borrowing firms and the loan volumes. Secondly, using data on syndicated loans from 2017 to 2022, we observe a positive and significant correlation between loan pricing and the level of biodiversity exposure of the borrower“ (abstract).

Passive investment risks: Corporate Governance Regulation: A Primer by Brian R. Cheffins as of Jan. 26th, 2024 (#47): “… we find that equity capital flows into the “Big Three” investment managers (Sö: Vanguard, BlackRock, and State Street Global Advisors) have slowed in recent years, with substantial differences between each institution. We also present a framework to understand how fund characteristics and corporate actions such as stock buybacks and equity issuances combine to shape the evolution of institutional ownership …. Our evidence reveals why certain institutions win and lose in the contest for flows and implicates important legal conversations including the impact of stock buybacks, mergers between investment managers, and the governance risks presented by the rise of index investing” (abstract).

Huge transition risks: Risks from misalignment of banks’ financing with the EU climate objectives by the European Central Bank as of January 2024: “The risks stemming from the transition towards a decarbonised economy can have a significant effect on the credit portfolio of a financial institution … The euro area banking sector shows substantial misalignment and may therefore be subject to increased transition risks, and around 70% of banks are also subject to elevated reputational and litigation risk” (p. 2/3).

Cost reduction or transition? Climate Postures by Thomas Cauthorn, Samuel Drempetic, Andreas G.F. Hoepner, Christian Klein and Adair Morse as of Jan. 27th, 2024 (#26): “… we define climate postures as the focus of firm climate efforts, where those in the status quo economy focus on costs, and those undertaking opportunities focus on transition. … We find priced evidence for both optimal status quo and transition opportunity firms in both energy and industrials/basic materials sectors. The sorting following the signal of a climate posture towards transition opportunities yields a 2.9% excess two-week return for European energy companies and a 1.6% return for industrials in North America. Our design also identifies across-sector market penalties in signals of climate costs“ (abstract).

Impact investment research (Shareholder engagement options)

Obvious greenwashing? Decarbonizing Institutional Investor Portfolios: Helping to Green the Planet or Just Greening Your Portfolio? by Vaska Atta-Darkua, Simon Glossner, Philipp Krueger, and Pedro Matos as of Sept. 29th, 2023 (#1208): “We … analyze climate-conscious institutional investors that are members of the most prominent investor-led initiatives: the CDP (that seeks corporate disclosure on climate risk related matters) and the subsequent Climate Action 100+ (that extends the mission of CDP and calls for investor action on climate change with top emitting firms). … We conclude that CDP investors located in a country with a carbon pricing scheme decarbonize their portfolios mostly via portfolio re-weighting (tilting their holdings towards low-emitting firms) rather than via corporate changes (engaging with high-emitting firms to curb their emissions). We continue to find mostly portfolio re-weighting even among CA100+ investors after the 2015 Paris Agreement and do not uncover much evidence of engagement. … we fail to find evidence that climate-conscious investors seek companies developing green technologies or encourage their portfolio firms to generate significant green revenues“ (p. 25/26).

No greenwashing impact? The financial impact of greenwashing controversies by European Securities and Markets Authority as of Dec. 19th, 2023: “… the number of greenwashing controversies involving large European firms increased between 2020 and 2021 and tended to be concentrated within a few firms belonging to three main sectors, including the financial sector. We also investigate the impact of greenwashing controversies on firms’ stock returns and valuation and find no systematic evidence of a relationship between the two. The results suggest that greenwashing allegations did not have a clear financial impact on firms and highlight the absence of an effective market-based mechanism to help prevent potential greenwashing behaviour. This underscores the importance of clear policy guidance by regulators and efforts by supervisors to ensure the credibility of sustainability-related claims“ (p. 3). My comment: Investor should do much more against greenwashing (to avoid additional regulation)

Shareholder engagement framework: Introducing a standardised framework for escalating engagement with companies by Niall Considine, Susanna Hudson, and Danielle Vrublevskis from Share Action as of Dec. 6th, 2023: “ShareAction is introducing the concept of a standard escalation framework to facilitate the application of escalation tools with companies through corporate debt and listed equity. The escalation framework comprises: The escalation toolkit, which groups different escalation tools into five categories of increasing strength; The escalation pathway, which sets out how the asset manager will apply and progress through the escalation toolkit in a timely manner. We also include expectations on resourcing and reporting on the escalation framework” (p. 7). My comment: You may also want to read DVFA-Fachausschuss Impact veröffentlicht Leitfaden Impact Investing – DVFA e. V. – Der Berufsverband der Investment Professionals which soon will also be available in English (and to which I was allowed to contribute). You find the picture of the article and explanations there or here Shareholder engagement: 21 science based theses and an action plan – (prof-soehnholz.com)

Shareholder voting effects: Shareholder Proposals: Do they Drive Financial and ESG Performance? by Victoria Levasseur and Paolo Mazza as of Jan. 23rd, 2024 (#24): “Our findings reveal that shareholder proposals are associated with increased nonfinancial performance, as evidenced by improved ESG scores. However, these proposals are associated with a negative impact on financial performance, and the extent of this correlation varies across different financial ratios. Furthermore, the study underscores notable differences in the effects of shareholder activism based on the geographical location of the company’s headquarters, specifically between the United States and Europe” (abstract).

Unsustainable Divestors? New evidence on the investor group heterogeneity in the field of sustainable investing by Julia Eckert, Sven Huber, Christian Klein and Bernhard Zwergel as of Jan. 18th, 2024 (#74):  “We provide new insights about the investor group heterogeneity in the field of sustainable investing. Using survey data from 3,667 German financial decision makers, we … find a new investor group which we call: Divesting Investors. Second, we analyze the differences with regard to the perceived investment obstacles between the investor groups that do not want to (further) invest sustainably or want to withdraw capital from sustainable investments” (abstract). My comment: Divestment is a powerful instrument for sustainable investors to become even more so, see Divestments: 49 bei 30 Aktien meines Artikel 9 Fonds – Responsible Investment Research Blog (prof-soehnholz.com). For me, the option to divest is so important that I do not invest in illiquid investments anymore.

Other investment research (Shareholder engagement options)

CEO overpay everywhere? CEO Pay Differences between U.S. and non-U.S. firms: A New Longitudinal Investigation by Ruiyuan (Ryan) Chen, Sadok El Ghoul, Omrane Guedhami, and Feiyu Liu as of Dec. 11th, 2023 (#29): “We use time series CEO compensation data across 34 nations from 2001-2018, and find about a 23% pay premium for U.S. CEOs. This premium diminishes in comparison to G7 countries …. We also find that top U.S. CEOs earn substantially more, but excluding them reduces the overall pay premium” (p. 1).  My comment: Investor should focus more on reducing the CEO to median employee pay ratio and not to introduce (additional) ESG bonifications, compare Wrong ESG bonus math? Content-Post #188 – Responsible Investment Research Blog (prof-soehnholz.com)

Unsustainable BNPL: “Buy Now, Pay Later” and Impulse Shopping by Jan Keil and Valentin Burg as of Nov. 29th, 2023 (#190): “We analyze if “Buy Now, Pay Later” (BNPL) generates impulsive shopping behavior. Making BNPL randomly available increases the likelihood that an impulsive customer completes a purchase by 13%. … Shopping behavior of all customers changes in ways resembling impulsiveness – by looking more hasty, premature, unoptimized, and likely to be regretted retrospectively“ (abstract). My comment: Not all fintech is sustainable

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