ESG bonus math: Many asset managers promote voting and engagement to change companies for the better and for positive impact. One of their goals is to promote the inclusion of ESG (Environmental, social and governance) targets in executive bonifications (e.g. „Klimaziele in die Vorstandsvergütung! Immer mehr Unternehmen erkennen, dass es bei der Bekämpfung des Klimawandels auch auf sie ankommt“ by Antje Stobbe and Harlan Zimmerman in Frankfurter Allgemeine Zeitung, April 26th, 2022, who describe the problem of missing incentives very well).

Bonifications will rise

That sounds good. With an adoption of such proposals, I am sure that overall bonifications will increase. This is because I assume that no previously established goals will be substituted for ESG. Instead, ESG will likely be added as a goal (see ESG Boni abschaffen und mehr radikale Vorschläge – Responsible Investments (Blog) (prof-soehnholz.com) and more recently ESG-Linked Pay Around the World -Trends, Determinants, and Outcomes by Sonali Hazarika, Aditya Kashikar, Lin Peng, Ailsa Röell, Yao Shen :: SSRN).

An increase in bonification payments for executives would be bad for the pay gap between low-wage employees and executives. I prefer to support a company which is lowering the pay gap than one which is increasing bonifications (compare Pay Gap, ESG-Boni und Engagement: Radikale Änderungen erforderlich – Responsible Investments (Blog) (prof-soehnholz.com)).

ESG bonus math: Behaviour will not change

I also doubt, that ESG bonifications will significantly change executive ESG behaviour. Here is why: Assume the base pay is 100% and bonifications can add another 100%. The bonifications are typically separated in long-term and short-term parts, e.g. 50/50, leaving 50% for the more relvant long-term part. They are also often separated in overall company and managerial unit bonifications, also assuming a half/half split, leaving 25% for the most relevant long-term manerial unit. Half of the bonifications may be tied to financial goals and the other half (12,5%) to non-financial goals. Assuming ESG-goals make up 50% of the nonfinancial goals (6,25%), the long term managerial unit specific ESG bonification share thus amounts to about 10% of the base pay, depending which term an unit are considered as relevant. Part of that may be related to governance issues which leaves 6 to 7% for ecological and social goals. That is not much and probably too little, to signficantly change managerial behavior.

ESG bonus math: Engagement is not efficient

Even if I am wrong on this point, there is still a “wrong” voting and engagement math. Many asset managers are invested in thousands of companies worldwide. Even with the help of the few international voting services, they most likely will not start many own shareholder proposals. Instead, they will vote on proposals having been brought forward by company management or other shareholders. And shareholder voting is limited to the few shareholder meetings.

Engagement assumes much more time and human resources and thus is typically limited to even fewer companies and often rather limited projects such as demanding climate reduction goals. Even cooperation of shareholders may not help much apart from generating anecdotal evidence and nice marketing stories.

Asset managers thus have only a very limited potential influence on a rather low number of publicly listed companies (compare Divestments bewirken mehr als Stimmrechtsausübungen oder Engagement | SpringerLink).

My lesson: I try only to invest in intrinsically sustainable companies (see Neues SDG Sozialportfolio und noch strengere ESG Anforderungen – Responsible Investments (Blog) (prof-soehnholz.com)). And I find enough of them: There are 500 overall out of 30 thousand, thereof about 100 with good SDG-alignment in addition to good E, S and G scores (best-in-Universe).

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Advert: Check my article 9 SFDR fund FutureVest Equity Sustainable Development Goals. With my most-responsible selection approach I focus on social SDGs and midcaps and use best-in-universe as well as separate E, S and G minimum ratings.

Impact investing: >20x new research on indoor-climate, hydrogen problems, plastic, regulation, oligopolies, gender, ESG performance, costs and ratings, greenwashing, impact investing, B-Corps and engagement, decision models, equity premium, narcicisst, foundations, illiquid investments, tokenomics (# indicates the number of SSRN downloads on April 17th)

Ecology

Indoor-climate: Value of co-benefits from energy saving ventilation systems —Contingent valuations on Swiss home owners by Nina Boogen, Massimo Filippini and Adan L. Martinez-Cruz as of March 28^nd, 2022 (#6): “… in addition to savings in energy costs, buildings equipped with energy saving and comfort ventilation (ESV) system provide co-benefits such as improved indoor air quality (IAQ), thermal comfort, and noise reduction. … This paper estimates the value of these co-benefits by inquiring willingness to accept (WTA) compensation … Average monthly WTA is CHF 181” (abstract).

Hydrogen problems: Atmospheric implications of increased Hydrogen use by Nicola Warwick, Paul Griffiths, James Keeble, Alexander Archibald, John Pyle, and Keith Shine, as of April 8^th, 2022:“Use of hydrogen (H2) as a substitute for carbon-containing fossil fuels such as natural gas would prevent emissions of carbon dioxide into the atmosphere, with significant climate benefits. Nevertheless, any leakage of hydrogen will affect atmospheric composition (with implications for air quality) and have an indirect warming effect on climate (p. 7) … We have developed a new approach to calculating Global Warming Potentials (GWPs) … Our estimate of the hydrogen GWP for a 100 year time horizon is 11 ± 5, which is more than 100% larger than previously published calculations” (p. 10).

Profit or planet? Paying plastic packaging companies for transition by John Willis and Peter Reilly from Planet Tracker as of April 2022: “The plastic container and packaging companies (PC&P), also called converters, are a vital part of the plastic supply chain. … They source plastic resins and turn these into an array of packaging products. … These corporates are barely cyclical with profit margins and return on capital employed (ROCE) rising. They have the financial firepower to adapt and with the addition of investor support could rapidly invest in a transformative business model. But will investors prefer to take the short-term returns – through dividends and share buybacks – or award a higher valuation premium to those PC&P companies that position themselves for a more sustainability-driven future?” (p. 1)

Profitable climate regulation: Economic Geography and the Efficiency of Environmental Regulation by Alex Hollingsworth, Taylor Jaworski, Carl Kitchens, and Ivan Rudik as of April 7^th, 2022 (#14): “We … examine the welfare implications and distributional consequences of National Ambient Air Quality Standards under the Clean Air Act. In particular, we estimate the direct costs for firms and workers in polluting sectors from increased regulatory scrutiny and benefits to residents from reduced emissions. …. We find that the Clean Air Act delivers net benefits of $23 billion annually, which substantially reflects the positive effect on amenities relative to the negative effects on real wages. In present value terms, this amounts to total benefits of over $700 billion” (p. 35).

Taxonomy presentation effects: Does the EU Taxonomy for Green Investments affect Investor Judgment? An Experimental Study of Private and Professional German Investors by Sandra Chrzan and Christiane Pott as of March 29^th, 2022 (#40): “Our results indicate that private investors reward additional taxonomy-aligned environmental information with greater trust, independent of the content. In contrast, professional investors assess the long-term investments based on the content to determine risk and return. However, we do not find evidence for an additional impact of taxonomy-aligned information as compared to commonly disclosed environmental information for investor judgment. Additionally, if attention is not drawn to taxonomy disclosures, we see that this information has limited effects on the investment-related judgment of private investors” (abstract).

Social (Impact investing)

More industry concentration: Concentration and Competition: Evidence from Europe and Implications for Policy by Gábor Koltay, Szabolcs Lorincz, and Tommaso Valletti as of March 15, 2022 (#460): “We present new evidence that European industry concentration increased in the period 1998- 2019. In particular, the share of high concentration industries grew by more than 60%. High concentration industries, industries where the four largest firms account for more than 50% of turnover value, are the most likely to contain antitrust markets where firms have market power. … a joint look at EU merger intervention and concentration trends suggest that they moved in opposite directions after the financial crisis. In particular, the share of high concertation industries was increasing after 2008, while the merger intervention rate was decreasing below its historical average. … Meanwhile, estimates of aggregate profitability indicate a trend increase over the last decades” (p. 31/32). My comment: My direct equity investments are about half in mid-caps and half in large-caps and almost no mega-caps.

Political gender problem: The Gender Recontest Gap in Elections by Thushyanthan Baskaran and Zohal Hessami as of April 11^th, 2022 (#7): “Using hand-collected data on 116,185 candidates in four consecutive local council elections (2001-2016) in a German state …“ (abstract).“Women are on average 3.7 to 5.0 percentage points less likely to re-run than men. This recontest gap is a phenomenon that prevails irrespective of the electoral performance of candidates and across almost all parties. We also show that this gap is presumably an important reason for women’s underrepresentation in politics. … we find that gendered family duties may partially explain the recontest gap. In addition, our results indicate that the recontest gap may be driven by male dominance in local politics and the ensuing gender dynamics, which ostensibly result in an implicit anti-female bias even if parties do not explicitly discriminate against recontesting women in their (re-) nomination decisions” (p. 29/30).

ESG Investing (Impact Investing)

Female discrimination: Intersectional Bias in Prosocial Lending: Methods and Application to Microcredit by Anastasia Cozarenco and Ariane Szafarz as of Feb 15th, 2022 (#26): “In our European microcredit dataset, the tests reveal that the positive—and socially consistent—intersectional bias toward migrant women hides the striking fact that European Union women’s loan applications are handled more harshly than those of their male counterparts” (abstract).

Satisfiying returns: Employee Satisfaction and Long-run Stock Returns, 1984-2020 by Hamid Boustanifar and Young Dae Kang as of April 11^th, 2022 (#1357): “Economic theory predicts that (in the absence of mispricing) the excess return to socially responsible businesses is negative in equilibrium. In contrast, using the state-of-art empirical models and a sample spanning four decades (1984-2020), a portfolio of companies that treat their employees the best earns an excess return of 2% to 2.7% per year. The estimated alphas are positive in all periods within the sample (with no upward or downward trend) and are particularly large in “bad” times. Overall, the results suggest that the stock market still undervalues employee satisfaction” (abstract).

ESG rating problems: Deconstructing ESG scores: How to invest with your own criteria by Torsten Ehlers, Ulrike Elsenhuber, Anandakumar Jegarasasingam and Eric Jondeau of the Bank for International Settlement as of April 6^th, 2022 (#162): “… devising investment strategies based on an amalgamation of three fundamentally different topics underpinning ESG investing has been a practical hurdle, especially given the potential for weak scores in one pillar to be offset by strong scores in another pillar. … Given the methodological choice of Refinitiv to assign a negative score when firms fail to disclose ‘yes’ or ‘no’ information, these categories suffer from a high proportion of scores equal to 0, which makes it difficult to differentiate among firms. … regarding the financial characteristics of the screening portfolios, we find that they do not suffer from a lower risk-adjusted performance compared to a wide stock market benchmark” (p.23/24). My comment: Instead of aggregated best-in-class ESG ratings I suggest to use separate best-in-universe ratings see Nachhaltige Portfolios: Warum Best-in-Class schlecht sein kann, aber Best-in-Universe selten genutzt wird (wertpapiertreuhand.de)

ESG underperformance? ESG Investment Performance: Evidence from Global Markets by Thanh Nam Vu, Heikki Lehkonen and Juha-Pekka Junttila as of March 24^th, 2022 (#119): “Among our key findings is the underperformance of high ESG-rated portfolios compared to low ESG-rated portfolios in developed markets. … In contrast, the long– short strategy generates insignificant or even positive outcomes for the emerging markets when using the MSCI ratings, but not for the ASSET4 dataset. … The ESG ratings of firms in some countries might be higher on average than those of firms in other countries. For example, North American firms seem to have relatively low average ESG ratings compared to European companies. … our findings suggest that the large market capitalization and value stocks are dominant in terms of performance when the MSCI ESG data are used, while the best performing portfolios based on classification using the ASSET4 ratings are characterized by small and growth stocks“ (p. 39/40). My comment: Part of the difference may be attributed to the different treatment of missing data between MSCI and Refinitiv (Asset 4, see “deconstruction” research above).

Upside ESG risk? Responsible investing: upside potential and downside protection? by Yumeng Gao, Andreas G. F. Hoepner, Marcel Prokopczuk, and Christoph Wuersig as of March 18^th, 2022 (#43): “A large body of research investigates either the performance or risk exposure of responsible investors using the conventional risk–return measures under the mean–variance framework, which assumes investors treat positive and negative return deviations as undesirable and mix up upside potential with downside risk. Therefore, conventional risk measures fail to precisely gauge the upside rewards and downside risks of responsible investing. … Our findings suggest that financial services companies with highly rated responsible investment practices (from MSCI) are associated with enhanced upside potential as well as lowered downside risk exposure. However, we do not observe the same significant effect for the PRI members“ (p. 31).

Low ESG cost: Performance and Costs of EU Retail Investment Products – Annual Statistical Report by ESMA as of April 5^th, 2022: “A ten-year retail investment of EUR 10 000, in a hypothetical portfolio of equity, bond and mixed assets funds, provided a value of EUR 15 400 net of EUR 2 600 paid in costs. Active equity and bond UCITS underperformed compared with passive and exchange-traded-funds (ETFs) in net terms at the ten-year horizon, but they outperformed at one-year horizon. Top-25% active equity UCITS underperformed passive funds in net terms at the ten-year horizon, even though they outperformed them in 2020. This cohort of top-performing funds changes significantly over time, complicating the choice for retail investors. ESG funds on average performed well in 2020 and, overall, were slightly cheaper than their non-ESG peers” (p. 4). My comment: I have similar experiences see Q1-2022 Performance: Relativ gute konsequent nachhaltige und passive Portfolios – Responsible Investments (Blog) (prof-soehnholz.com)

Greenwashing alert: In Holdings We Trust: Uncovering the ESG Fund Lemons by Lachie McLean, Ivan Diaz-Rainey, Sebastian A. Gehricke and Renzhu Zhang as of April 11^th, 2022 (#55): “our survey of retail global equity funds offered in Australasia … highlighted that RI was largely driven by expected value (performance-based expectations and client demand) rather than values (having an ethical responsibility to make a positive difference) … We found that funds with U.S. headquarters tended to place a relatively greater level of importance on environmental themes within the investment process … In contrast, funds with Australasian headquarters prioritised environmental, social, and governance themes more equally. Across all ESG subthemes, fund managers tended to place the highest importance on climate change, followed by corporate behaviour. … We documented a divergence between the stated and actual carbon performance of respondents, highlighting that fund managers were overstating their commitment to global emission objectives … We found that portfolio carbon intensity was significantly higher for respondents that were members of a climate initiative, and not significantly different for those that prioritised climate change themes or engaged in a decarbonisation strategy. This finding does not appear to be driven by actively engaging or activist funds, rather, it is consistent with greenwashing funds seeking to attract responsible investment flows. … We also found that ESG named funds only obtain significantly better portfolio ESG scores, relative to non-ESG named funds, using ratings from MSCI and Sustainalytics, but not Refinitiv” (p.30/31). My comment: See e.g. ESG first or „Responsible investments: No excuses left“ – Responsible Investments (Blog) (prof-soehnholz.com)

Impact investing

Green or social impact investing? The environmental performance of UK-based B Corp companies: An analysis based on the triple bottom line approach by Adriana Liute and Maria Rosa De Giacomo as of Oct. 26^th, 2021: „The B Corp certification recognizes high social and environmental performance in business. This performance is measured in five pillars—Governance, Workers, Community, Environment, and Customers—but with no minimum threshold per pillar. This allows companies to choose those impact areas where they want to perform well. This study … analyses the environmental performance of 68 UK-based B Corps from two environmentally sensitive sectors: manufacturing and wholesale/retail. … Our results show firstly that companies in the two sectors tend to perform better socially than environmentally; secondly, that prioritizing one social impact area generally leads to below-average environmental performances compared to certified peers; and thirdly, that to rule out greenwashing, B Corp should ensure certified companies display high levels of environmental performance and that they align their “green” claims to their performance” (abstract). My comment: See e.g. Absolute and Relative Impact Investing and additionality – Responsible Investments (Blog) (prof-soehnholz.com)

Engagement limits (Impact investing): The Future of Investor Engagement: A call for systematic stewardship to address systemic climate risk by the UN-convened Net-Zero Asset Owner Alliance Investment Leadership Programme as of April 2022: “This paper provides an overview of the climate engagement landscape and expounds five limits that bound the ability of corporate engagement alone to catalyse the systemic change necessary for decarbonising the real economy on its own. These limits are: 1. The significant resources needed for effective corporate engagement 2. A narrow, single company focus 3. The inefficiencies of focusing on voluntary, company-by-company disclosure 4. An uneven investor focus across companies and asset classes 5. The boundaries set by the rules of the game The Future of Investor Engagement … investors committed to real-economy decarbonisation can address them by expanding the breadth of their efforts with increased efforts in sector/value chain engagement, policy engagement, and asset manager engagement. …. Asset manager engagement with asset owners is pivotal to ensure asset managers align their stewardship activities and public messaging with asset owners’ longterm interests. This alignment asks asset managers to represent, as fiduciaries, that climate risk is not only a systemic financial risk to portfolios but an existential risk to the fundamental businesses of their asset owner clients” (p. 5/6). My comment: See e.g. Divestments bewirken mehr als Stimmrechtsausübungen oder Engagement | SpringerLink

German activists targets (Impact investing): Den Blickwinkel aktivistischer Aktionäre einnehmen: Eine Chance für Unternehmen? by Rüdiger Wolf, Johannes Burkhardt, Sophie Gao, and Patricia Picco of the Boston Consulting Group as of Fe. 24th, 2022: „Ende 2021 sind 160 Unternehmen in Deutschland, Österreich und der Schweiz einem äußerst hohen oder sehr hohen Risiko einer aktivistischen Kampagne ausgesetzt. Das sind 37 Prozent der analysierten Unternehmen – zwei Prozentpunkte mehr als im Vorjahr. .. Ende letzten Jahres waren aktivistische Investoren in 129 Unternehmen aus der DACH-Region investiert (zum Vergleich: 2020 lag diese Zahl bei 114). Dabei wurden nur 16 Unternehmen öffentlich mit den Forderungen aktivistischer Investoren konfrontiert (zum Vergleich: im Vorjahr 23). … International sind vermehrt ESG-motivierte Kampagnen zu beobachten. Wir erwarten eine solche Entwicklung auch für die DACH-Region, da sich unter den am meisten gefährdeten Unternehmen besonders viele mit einem schlechten ESG-Rating befinden. .. Aktivistische Aktionäre legen oft den Finger in die Wunde. Unternehmen, die sich die Perspektive aktivistischer Investoren zu eigen machen und eine Attacke simulieren, um die eigene Strategie zu reflektieren/optimieren, können oft neue Werthebel ziehen und Aktivisten dadurch einen Schritt voraus sein“ (p. 2).

Traditional Investing

Decision model choice criticism: Behavioral and heuristic models are as-if models too— and that’s ok by  Ivan Moscati as of April 7^th, 2022 (#23): “…. models that are currently used in decision theory, not only neoclassical models, but also behavioral and heuristic models, are best understood as as-if models. … different decision models perform differently not only with respect to their ability to account for observed choice behaviors but also with respect to other, less empirically-oriented desiderata, such as simplicity, tractability, parsimony, and possibly other “morphological” virtues of scientific theories. … the widespread habit of promoting the favored decision model as a model that captures the actual psychological mechanism generating choice behavior should be seen as belonging more to the rhetoric of decision theory than to its actual scientific practices. Accordingly, abandoning this habit and, correspondingly, acknowledging the as-if character of the models currently used in decision theory would free the field from a significant amount of methodological noise” (p.22).

Equity premium puzzle: Expected Stock Returns When Interest Rates Are Low by David Blitz from Robeco as of March 28^th, 2022 (#281).: “Using long-term historical data for the US equity market our statistical tests strongly reject the hypothesis that a higher risk-free return implies higher total expected stock returns. Instead, total expected stock returns appear to be unrelated (or perhaps even inversely related) to the level of the risk-free return, which implies that the equity risk premium is much higher when the risk-free return is low than when it is high” (p. 11/12).

Underperforming narcicissts? Fund manager narcicissm by Dominik Scheld, Oscar Anselm Stolper, and Anna-Lena Bauer as of March 4ht, 2022 (#131) … “… we first find that narcissistic fund managers are as much as 34% more likely to deviate from the advertised investment style. Second, we document that, adjusting for risk, highly narcissistic fund managers underperform their non-narcissistic peers by an average 1% annually. …. we fail to observe a moderating effect of teamwork when it comes to the negative impact of narcissism on fund performance” (p. 23/24).

Equity herding: Herding Behavior and Systemic Risk in Global Stock Markets by Iftekhar Hasan, Radu Tunaru, and Davide Vioto as of March 28^th, 2022 (#30).: “Using … data for 33 countries, we investigate herding during the Eurozone crisis, China’s market crash in 2015-2016, and in the aftermath of the Brexit vote. We find significant evidence of herding behavior driven by negative tail market conditions for most countries. Analyzing the spillover of herding during these three events, our results show cross-country herding effects from the Eurozone, China and the United Kingdom, with Brexit playing the most significant role in the negative co-movement of world stock exchanges. This study also investigates the relationship between herding and systemic risk, suggesting that herding increases when systemic risk increases” (abstract).

Foundation investments: Doing Good and Doing It With (Investment) Style by Matteo Binfarè and Kyle E. Zimmerschied as of March 21^st, 2022 (#65): “We document large variation in the asset allocation and investment performance of private foundations over time and across size groupings. Private foundations reach for yield by shifting their asset allocation towards increasingly “risky” assets in response to the declining yield environment and mandated distribution rate. We find that foundations with greater than $500 million in assets generate positive risk-adjusted returns. … The infinite life of foundations has been inefficiently shortened as many foundations have let their spending decisions drive their asset allocation” (p. 30).

Alternative Investing (Impact investing)

Unattractive illiquid investments: Estimating Illiquid Asset Class Alpha and Beta using Secondary Transaction Prices by Alexander Godwin as of March 28^th, 2022 (#31): “Reported returns of .. illiquid asset classes, based on estimated valuations, are at risk of being distorted by stale (or managed) prices. Such stale pricing can lead to an understatement of market beta. … we present a methodology for utilizing secondary transaction prices to obtain estimates of alpha and beta of the true economic returns of illiquid asset classes. …. Our results indicate that illiquid asset classes have true economic betas substantially higher than those obtained using reported returns. We estimate betas of 2.1, 2.1, 1.8 and 1.8 for private equity, venture capital, private real estate and private natural resources respectively. … Consequently, we estimate alphas that are either insignificant, in the case of private equity or venture capital, or significantly negative, in the case of real estate and natural resources. Our estimates of (annualized) asset class volatility are also meaningfully higher than those obtained from reported returns, with estimates ranging between 0.331 and 0.421. All four asset classes exhibit a high degree of stale pricing, with between 75% to 82% of reported prices being stale” (p. 19-21).

Token differences: Tokenomics Designs and their Parallels in Traditional Finance by Afonso Carvalho as of April 4^th, 2022 (#182): “… a comprehensive list and analysis of the different types of token economics designs currently being employed can be a useful starting place either for people getting into the space or for teams considering their own implementations. Furthermore, many if not most people outside of crypto still have the mental model of a currency as what all tokens are trying to be. In 2022, this way of thinking is too reductionist and leads great investors and builders to underestimate or even dismiss the space” (abstract).

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Advert: Check my article 9 SFDR fund FutureVest Equity Sustainable Development Goals. With my most-responsible selection approach I focus on social SDGs and midcaps and use best-in-universe as well as separate E, S and G minimum ratings.

English RI research topics: China, CO2 capture, climate policy, women, central banks and tools, soy, SFDR, AI, factor investing and herding, venture capital and impact, green bonds, real estate, active funds and ETFs, model portfolios and robo advisors etc.(# indicates the number of SSRN downloads on April 9)

After more than seven years and 250 blog contributions, I plan to (mostly) publish in English. The reason: I wish that the sustainability and responsible investing research evidence which I collect here is read by as many clever people and especially multiplicators as possible. Please help me in further distributing the research.

English RI research: Social aspects

China risks (1): China’s Corporate Social Credit System and the Dawn of Surveillance State Capitalism by Lauren Yu-Hsin Lin and Curtis J. Milhaupt as of March 30^th, 2022 (#291): “… China’s corporate social credit system (CSCS) – a big data project to evaluate the “trustworthiness” of all business entities registered in the country … is linked to a system of corporate rewards and punishments, representing a futuristic strategy of automated screening to determine which enterprises are allowed market access and benefits. … We provide the first empirical analysis of the CSCS scoring system … A key finding is that while the CSCS is a facially neutral means of measuring legal compliance, politically connected firms …receive higher overall scores … The channel for this result is a “social responsibility” category that valorizes awards from the government and contributions to Chinese Communist Party (CCP)-sanctioned causes. We find no significant evidence that better-governed firms or more profitable firms receive higher overall scores, although highly leveraged firms, subject to higher default risks, are associated with lower total scores” (abstract). My comment: Since 2016 I exclude investments in China from my direct equity portfolios and thematic ETFs are only selected if they have <10% allocation to China.

China risks (2): The Rule of Law in the U.S.-China Tech War by Curtis J. Milhaupt and Michael Callahan as of March 31^st, 2022 (#356): “… exploring how the legal regimes recently developed in both countries to wage the tech war … We fear that ironically, the rule of law necessary to maintain continued vibrancy in U.S. high-tech sectors is being compromised by some of the very actions ostensibly taken to protect these sectors from malign foreign influence. We conclude by offering some concrete policy suggestions to improve the transparency and effectiveness of national security and data protection regimes in the U.S. while advancing a second crucial objective – maintaining a regulatory environment conducive to technological innovation” (abstract).

English RI research: Ecology

Far away CO2 capture? Direct Air Capture A key technology for net zero by the International Energy Agency as of April 2022: “Capturing CO2 directly from the air and permanently storing it removes the CO2 from the atmosphere … In the IEA Net Zero Emissions by 2050 Scenario, direct air capture technologies capture more than 85 Mt of CO2 in 2030 and around 980 MtCO2 in 2050, requiring a large and accelerated scale-up from almost 0.01 MtCO2 today. Currently 18 direct air capture facilities are operating in Canada, Europe and the United States. The first large-scale direct air capture plant of up to 1 MtCO2/year is in advanced development and is expected to be operating in the United States by the mid-2020s. This report … considers the current status of these technologies, their potential for cost reductions, their future energy needs, and the optimal locations for direct air capture facilities. Finally, the report identifies the key drivers for direct air capture investment and priorities for policy action” (p. 3).

Unclear German climate goals: Ist Deutschland auf dem 1,5-Grad-Pfad? Eine Einordnung der Diskussion über ein nationales CO2-Budget Brigitte Knopf and Oliver Geden of the Mercator Institute as of March 9, 2022: „Während sich das CO2-Budget auf globaler Ebene unter bestimmten Unsicherheiten für verschiedene Temperaturniveaus prinzipiell beziffern lässt, ist die Ableitung eines nationalen Restbudgets (Budgetieren) daraus keineswegs eindeutig. … Nationale Ziele sind darüber hinaus oftmals als Langfristziele für Treibhausgas (THG)- Neutralität definiert, während sich das globale Budget nur auf CO2 bezieht. … Weiterhin bestehen bei der Berechnung einige Freiheitsgrade durch den Einbezug der CO2-Senken, deren Anrechnung aus dem Klimaschutzgesetz nicht eindeutig ableitbar ist. … das Klimaschutzgesetz enthält lediglich Zielbestimmungen – real sinken werden die Emissionen nur durch konkrete Maßnahmen und Instrumente. … Um glaubwürdig zu bleiben, sollte die Bundesregierung Kriterien nennen, an denen sie ihre Klimaschutzziele messen lassen will. Nur so wird das nationale Ambitionsniveau transparent und wissenschaftlich überprüfbar“ (p. 4).

Central Banks for climate: Central Banks and Climate Change. Fit, Opportunity and Suitability in the Law and Beyond by David Ramos Muñoz, Antonio Cabrales and Ángel Sanchez from the European banking Institute as of March 13^th (#75): “Central banks … promising a more climate-based focus on matters ranging from communication to prudential regulation and supervision, and including monetary policy. This … resulted in an often-confusing mix of views for and against central banks’ active role in climate change …. we propose a methodology to analyze the problem, by dividing the arguments in three different types: arguments of “fit” that analyze whether central banks can tackle climate change, in light of their mandates; arguments of “opportunity” that analyze when central banks may, or should, act; and arguments of “suitability” that analyze how central banks may (and may not) intervene. … A further distinction offered here is between the arguments that central banks should weigh to decide whether, when and how to intervene (arguments of “duty” or “standard of conduct”) and the way these arguments could be weighed by courts deciding on the legality of central banks’ actions (“standard of review”) …. The arguments clearly favor a more active role by central banks in the fight against climate change, although courts are unlikely to force them to take it” (abstract).

Biodiverse Central Banks? Central banking and supervision in the biosphere: An agenda for action on biodiversity loss, financial risk and system stability – Final Report of the NGFS-INSPIRE Study Group on Biodiversity and Financial Stability as of March 24^th, 2022: “…. economic activity and financial assets are dependent upon the ecosystem services provided by biodiversity and the environment …economic activity and financial assets in turn have impacts on biodiversity and could therefore face risks from the transition to a nature-positive global economy … These physical and transition risks can be transmitted through various channels (impacting households, firms and sovereigns alike) and could translate into various forms of financial risks such as credit, market, liquidity and operational risks. … Addressing biodiversity-related financial risks falls within the mandates of central banks and financial supervisors, as a consequence” (p.2/3).

Women for climate: Does gender diversity in the workplace mitigate climate change? By Yener Altunbas, Leonardo Gambacorta, Alessio Reghezza, and Giulio Velliscig from the European Central Bank as of March 1^st, 2022 (#63): “We match firm-corporate governance characteristics with firm-level carbon dioxide (CO2) emissions over the period 2009-2019 … We find that a 1 percentage point increase in the percentage of female managers within the firm leads to a 0.5% decrease in CO2 emissions. … At the same time, we show that gender diversity at the managerial level has stronger mitigating effects on climate change if females are also well-represented outside the organization, e.g. in political institutions and civil society organizations. Finally, we find that, after the Paris Agreement, firms with greater gender diversity reduced their CO2 emissions by about 5% more than firms with more male managers“ (abstract).

Better soy: Increased soy certification would decrease deforestation risk by Planet Tracker as of April, 5^th 2022: ”Planet Tracker believes supply chain traceability and transparency are essential to achieve Deforestation and Conversion-Free (DCF) soy supply chains. A strong certification system would help but soy lags behind other deforestation-linked commodities in this respect. …. It rarely appears on labels or on the back of packaging in the EU as for example, 90% of EU imported soy is used for livestock feed”. My comment: A reduction in animal based food can do a lot to improve the world.

English RI research: Responsible Investments

Categorical SRI Imperative Socially Responsible Investing in a Free and Democratic Society by Ruoke Yang as of February 24^th, 2022 (#26): “By investing in accordance to their social preferences, investors … can also create a negative impact with respect to issues that are not deemed as important to the wealthy. This problem is worsened in the presence of growing wealth inequality. When socially minded investors are confronted with firms like Amazon and Exxon Mobil that are neither perfectly good nor bad, their investment decisions can go awry if they apply their individual tastes to decide whether Amazon’s lackluster social performance sufficiently outweighs its better environmental performance. Instead, each investor should take into account of the tastes of every individual and assign equal weight to them. To do otherwise would lead to socially responsible investors achieving outcomes that are inconsistent with the aims of a free and democratic society” (p. 13).

Climate tool tests: The Climate Risk Tool Landscape 2022 – Supplement by David Carlin and Alexander Stopp from the UNEP Finance Initiative as of March 2022: “… this report seeks to catalogue the actual experiences that financial users had while piloting different tools. The detailed case studies include insights into the process, challenges, outputs, and learnings related to using selected climate risk tools. These case studies should be seen as a companion to the categorizations provided within The Climate Risk Landscape. Together, the two reports begin the process of providing financial users with a resource for understanding both the theoretical attributes of different tools as well as how they function in practice” (p. 10).

Attention with Art. 8 SFDR: How green are SRI labelled funds? Insights from a Machine Learning based clustering approach by Yves Rannou, Mohamed Amine Boutabba and Mathieu Mercadier as of March 28^th, 2022 (#102): “… this paper examines the portfolios of European funds, which hold the French SRI label at a stock level, in order to study their greenness. … We document a decarbonization trend for SRI labeled funds that has accelerated since 2019. … Dark green funds invest in a restricted number of equities while light green funds invest in a broader set of equities. … we report significant discrepancies between SFDR categories and their expected degree of greenness, implying serious greenwashing concerns“ (abstract). … the dark green cluster of funds related to SFDR Article 9 category appears to be homogenous because it invests in a limited number of equities and sectors in line with thematic investment and/or ESG integration approaches (p. 24/25)”. My comment: My Art. 9 fund focusses on social topics and midcaps, see Neues SDG Sozialportfolio und noch strengere ESG Anforderungen – Responsible Investments (Blog) (prof-soehnholz.com)

(ESG-)AI limits: Sweet spots or dark corners? An environmental sustainability examination of big data and AI in ESG by Beatrice Crona and Emma Sundström as of March 24^th, 2022 (#34): “This chapter examines environmental aspects of ESG and risks and opportunities for using big data and AI to capture these in ESG ratings. It starts by outlining the difference between relative and absolute sustainability … we discuss the risks associated with a blurring of concepts relating to sustainability and materiality, and examine and contrast conventional ESG rating procedures with new approaches informed by big data (BD) and artificial intelligence (AI)  … We note a current misalignment between stated ambitions of investors, and the ability to deliver on stated goals through the use of current ESG metrics and ratings. We therefore finish with suggestions for how to better align these and how those interested in ESG can become more ‘sustainability savvy’ consumers of such ratings” (abstract).

Anti-sustainable? ESG Momentum in Regional Equity Markets by Yuanfang Ma and Nicholas McLoughlin as of March 4^th,2022 (#150): “We analyse a basic active allocation strategy within regional equity markets, assessing the usefulness of ESG information via two dimensions: the impact on active returns and the predictability of future ESG scores. Our results suggest tilting portfolios on the basis of ESG information can enhance both portfolio returns and future portfolio ESG scores” (abstract). My comment: Momentum strategies typically invest in low-score securities until they become high-score and then re-invest in low score securities. Simply put: Companies who have done little for ESG in the past (low-score) benefit, whereas good ESG companies are penalized. Therefore, I consider ESG-momentum strategies as anti-sustainable, see Absolute und Relative Impact Investing und Additionalität – Responsible Investments (Blog) (prof-soehnholz.com)

ESG factor effects: ESG is quality, it just isn’t really by Ann-Kathrin Behringer and Jascha Dahlhaus of DWS as of March 2022: “In Europe, ESG and governance show the highest risk adjusted returns, however the performance of governance significantly worsens when taking quality out of the equation … The worst performing factor here is environment, which seems to profit when neutralizing quality. In North America the picture changes with environment and ESG being the best performing factors while social and governance lose performance after taking out quality. Social is the factor within the determinants of ESG that sticks out most during our analysis, as it has the lowest return attributable to the quality factor, as well as the lowest score correlations coupled with the lowest return correlations, on average. Further, in our cross-sectional analysis, social is the one building block of ESG that shows almost no significant change in Sharpe Ratio when neutralizing for quality. … We see low score correlations between ESG and profitability … The highest score and return correlations can be found between ESG and safety” (p. 11).

Cost of good: Doing well by doing good? – Venture capital mission investments by charitable nonprofit foundations and university endowments by Maximilian Kremer, Ann-Kristin Achleitner, and Reiner Braun as of March 17^th, 2022 (#22): “We research the preferences and outcomes of direct venture capital investment of charitable foundations and university endowments in the United States and the United Kingdom. Our analysis provides evidence that foundations‘ and endowments‘ venture capital direct investments are clustered in sectors adjacent to their fields of activity, i.e., mission-related investments (MRIs). We also show that these MRIs have a lower likelihood of success and take longer to exit when compared to the same organizations‘ non-mission-related investments (Non-MRIs)” (abstract).

Green bond cost: Beyond the Shades: The Impact of Credit Rating and Greenness on the Green Bond Premium by Toan Huynh, Nikolaus Ridder, and Mei Wang as of March 17^th, 2022 (#73): “161 green bonds are matched with 322 conventional bonds from the same issuer that are also identical in terms of currency, rating, bond structure, seniority, collateral, and coupon type … based on 71,440 daily observations from January 2016 to March 2021. …. On a cross-sectional average, the green bond premium equals -3.1 bps. The negative premium is more pronounced for green bonds with a lower credit rating. It is also stronger in the presence of an ESG rating and for bonds with a higher shade of green” (abstract).

Traditional Investments

Bond herding: Asymmetric and cross-asset herding: Evidence from bond and equity markets by Sherrihan Radi, Antonios Alexandridis and Vasileios Pappas as of May 5^th, 2022 (#175): “…. a growing number of behavioral finance literature examine the propensity of investors to surpress their own beliefs and follow the collective movements in the market. … Our empirical analysis is conducted on a unique dataset of corporate bonds and equities featured on the S&P 500 between January 2008 – December 2018 as well as three credit rating portfolios. Our initial unconditional tests provide limited evidence herding effects, only present in speculative grade bonds. However, when allowing for herding asymmetries (up/down markets, high/low liquidity and high/low volatility), we find significant evidences of herding in bond and equity markets. Our corporate bond and equity findings provide consistent results, suggesting that investors tend to collectively herd towards the consensus when the markets are more liquid and less volatile … the findings also suggest that investors follow their own opinions (adverse herding) during dry and highly volatile market conditions. Interestingly, we observe a substantially higher level of investor herding in corporate bonds in comparison to equities … We document cross-herding from US corporate bonds to US equities, which may be in part attributed to the different profile of investors. Specifically, stock market participants include a large percentage of retail investors that are more likely to mimic the trading patterns of the better-informed institutional investors that dominate the bond markets” (p. 14).

Poor real estate timing: Cyclical Transactions and Wealth Inequality by Jung Sakong as of February 22^nd, 2022 (#19): “Why is wealth distributed so unevenly even among the bottom 99%, and even more so than income is? This paper gives one partial answer: Poorer households own more housing during booms when house prices are high and expected returns are low, and vice versa in busts. The return-differential generated from this channel is large: 60 basis points per year between the interquartile range of the wealth distribution” (p.37).

Active fund critic: How to improve institutional fund performance by Richard M. Ennis as of July 20^th, 2021 (#1328): “Large institutional investors in the U.S. … use so many managers as to choke off the opportunity to beat the market. They incur annual costs of 1.3 (for public funds) to 2.3% (for endowments) of asset value. Those costs, taken with prevailing institutional preferences for diversification, are implausible on their face. It is no wonder that public pension funds and large endowments have underperformed properly constructed, passively-investable benchmarks by approximately 1.5% and 2.0% per year, respectively, in the modern era. … The Game has many participants. All of them — trustees, staff, consultants, investment managers and market-makers of all types — are agents of the stakeholders. The agents have incentives to maintain the status quo” (p. 10). My comment: Custom ESG Indexing Can Challenge Popularity Of ETFs – Asia Financial News

ETF savings plans: ETF-Sparplanmarkt 2026 – So investieren Privatanleger in ETFs by Michael Jordan from extraetf as of March 28, 2022: “Die Erfolgsgeschichte von ETF Sparplänen bei Privatanleger:innen im deutschen Markt weckt auch Begehrlichkeiten im europäischen Ausland. … Um dem generell steigendem Interesse in ganz Europa – insbesondere der Millennials-Generation – nach komfortablen, einfach verständlichen und diversifizierten „do-it-yourself“-Anlagelösungen mit niedrigen Einstiegshürden gerecht zu werden, expandieren nun vorwiegend Neobroker wie Scalable Capital, Trade Republic oder BUX ihre Angebote aus den Heimatmärkten quer in sämtliche Europäische Länder. Die Zielmärkte sind dabei hauptsächlich Frankreich, Italien, Österreich und Spanien. … Beschleuniger des bereits seit Jahren zu beobachtenden Trends hin zum Execution Only Brokerage durch sog. Selbstentscheider“ (p. 17).

US model growth: 2021 Model Portfolio Landscape by Jason Kephart and Adam Millson from Mornigstar from  September 2021: “Approximately $315 billion in assets were following model portfolios as of June 30, 2021. … The number of model portfolios reported to Morningstar has more than doubled since 2020, with now more than 2,100 models reported …. BlackRock is the most popular provider, with almost $70 billion of assets. The 10 largest providers have around 75% of the overall market share … Allocation models continue to make up the bulk of options. …Model portfolios continue to offer a large fee advantage compared with similar mutual funds, driven by the greater use of low-cost exchange-traded funds as underlying components” (p. 1; 2). My comment: It is a pity, that the German model portfolio market is almost non-existing (see my offers Soehnholz ESG).

English RI research: Alternative Investments

Brain-poor universities? University Venture Capital – The Promise and Pitfalls of University Direct Investments by Maximilian Kremer, Ann-Kristin Achleitner, and Reiner Braun as of March 17^th,2022 (#76): “… universities in industrialized countries have become increasingly active as venture capital financiers. … We use a hand-collected data set of 706 university portfolio companies in the United States and the United Kingdom to extend previous case-based evidence that investments in faculty and student-led start-ups are an elusive promise that rarely pays off commercially. Furthermore, we provide evidence that geographic proximity to a top venture capital ecosystem is a highly performance-relevant characteristic for university investors“ (abstract).

Behavioral Finance and Wealthtech

Behavioral research overview: Consumer Financial Decision Making by Abigail B. Sussman, Yusu Wang, and Anastasiya Apalkova as of March 28^th, 2022 (#76): “Research in consumer psychology is essential for developing a deep understanding of how consumers make financial decisions as well as for creating solutions to improve this process. … The aim of the current chapter is to provide an overview of some of the most exciting developments in this area over the last decade …. In addition, we provide a call to action and roadmap for future research in the area” (abstract).

ML/AI sensitivity: Machine Forecast Disagreement and Equity Returns by Turan G. Bali, Ran Chang, and Bryan T. Kelly as of February 28^th,2022 (#289): “We simulate differences in beliefs across investors by endowing them with different machine learning models for forecasting returns from the same set of inputs. … We document a significantly negative cross-sectional relation between investor disagreement and future stock returns” (abstract). My Comment: Please note that small changes in machine Learning/AI models – based on the same data – can lead to significantly different outcomes.

US robo developments: 2022 Robo-Advisor Landscape? Our take on the digital advice industry and the best options for individual investors by Amy Arnott, Alec Lucas and Ben Johnson of Morningstar as of March 31^st, 2022: “This industry landscape report evaluates 16 leading robo-advisors while providing data on up to 20 … the top advice-oriented providers offer fairly comprehensive planning tools, ranging from online-only counsel to on-demand access to human financial advisors. … The median advisory fee among robo-advisors we surveyed was 0.30% of assets per year … the digital advice industry still accounts for a small percentage of investable assets in the United States. ×Dedicated digital advice firms often struggle to reach profitable scale, while the large brokerage firms and wealth managers that acquire them often struggle to integrate their digital advice capabilities … many providers add quasi-active strategies, such as factor tilts, strategic beta, and direct indexing. Transparency can be an issue as robo-advisors often fail to provide prospective clients with basic data about portfolio holdings and asset-allocation percentages“ (p. 1, 2).

German robo developments: Marktanalyse Digital Investieren by Sopra Steria next as of April 6th, 2022: „Für die vorliegende Untersuchung haben wir im vergangenen Jahr die Angebote und den Auftritt von insgesamt 40 Anbietern aus Deutschland und Österreich in Augenschein genommen. Mit 15 von ihnen haben wir ausführliche Interviews geführt (10 aus Deutschland, 5 aus Österreich). Die Erkenntnisse präsentieren wir in dieser Ausarbeitung. … Dabei lassen sich grundsätzlich über alle Arten von Anbietern hinweg viele Gemeinsamkeiten feststellen, wie zum Beispiel die große Bedeutung einfacher Onboarding- und Abschlussprozesse. …. Während etablierte Anbieter eher auf den Vertrieb schauen (grundlegende Ausrichtung: „Wie können wir mehr Produkte verkaufen?“), konzentrieren sich neue Anbieter auf das eigene Produkt (grundlegende Ausrichtung: „Wie können wir die beste Lösung zum Investieren schaffen?“)“ (p. 3/4).

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Advert: Check my article 9 SFDR fund FutureVest Equity Sustainable Development Goals. It focusses on social SDGs and midcaps and uses a best-in-universe approach as well as separate E, S and G minimum ratings.

Q1-2022 Performance: Das Alternatives ETF-Portfolio (+2,9%) hat knapp vor dem Global Equities ESG Portfolio (+2,1%) die beste Quartalsrendite erreicht. Mit -15,5% liegt das Deutsche Aktien ESG Portfolio am schlechtesten. Im Wettbewerbsvergleich performen die meisten Soehnholz ESG Portfolios relativ gut.

Q1-2022 Performance: Passive traditionelle und nachhaltige Allokationsportfolios wieder besser als aktive Fonds

Das nicht-nachhaltige Weltmarkt ETF-Portfolio hat im Q1-2022 -3% verloren. Das ist besser als aktive Mischfonds, die etwa -4,3% verloren haben. 2021 war der Vorsprung mit +17,9% gegenüber +9,5% aber wesentlich höher. Das ebenfalls nicht-nachhaltige Alternatives ETF-Portfolio hat mit +2,9% (+35,8% in 2021) ebenfalls wieder überdurchschnittlich gut abgeschnitten.

Das relativ breit gestreute ESG ETF-Portfolio, das ebenfalls einen relativ hohen Anteil an Immobilien- und Infrastrukturaktien enthält, schneidet im ersten Quartal 2022 mit -4,6% etwas schlechter ab als das traditionelle Weltmarktportfolio aber performt ähnlich wie traditionelle aktive Mischfonds. In 2021 war es mit +12,2% aber erheblich besser als aktive Mischfonds (+9,5%).

Das ESG ETF-Portfolio ex Bonds hat im Q1-2022 -4,5% verloren. Traditionelle Aktien-ETFs lagen mit -3,2% etwas besser (2021 +21,4% und +25,4%). Traditionelle aktive Aktienfondsmanager waren mit -6% aber schlechter (2021 +23,2%). Das ESG ETF-Portfolio ex Bonds Income rentierten mit -3,6% (2021: 23%) schlechter als aktive traditionelle Dividendenfonds bei -0,7% (+26,3%). Dagegen hat sich das ESG ETF-Portfolio ex Bonds Trend mit -3% (2021: 16%) wiederum besser als aktive Mischfonds gehalten (-4,3% und +9,5% in 2021).

Das ESG ETF-Portfolio Bonds (EUR) hat im ersten Quartal mit -5,2% etwas besser abgeschnitten als traditionelle Anleihe-ETFs (-5,6%), nachdem die Performance in 2021 mit -2,8% vergleichbar war.

Das aus thematischen Aktien-ETFs bestehende SDG ETF-Portfolio hat im ersten Quartal mit -2,6% relativ gut abgeschnitten (2021: +11,9%). Das SDG ETF-Trendfolgeportfolio hat mit -4,4% etwas schlechter rentiert (2021: +7,5%; zum Startkonzept der Portfolios Anfang 2020 vgl. SDG ETF-Portfolio: Innovativer Megatrendansatz mit guter Performance – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)).

Sektor- und Länderdiversifizierte pure ESG Aktienportfolios ebenfalls mit relativ guter Performance

In Q1-2022 hat das aus 30 Aktien bestehende Global Equities ESG Portfolio mit +2,1% (2021: +19,8%) erheblich besser abgeschnitten als traditionelle Aktien-ETFs (-3,2%) und auch als das ESG ETF-Portfolio ex Bonds (-4,5%) und damit die Underperformance aus dem Vorjahr kompensiert (weiterführend siehe z.B. Neues SDG Sozialportfolio und noch strengere ESG Anforderungen – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)). Gegenüber aktiv gemanagten traditionellen Fonds (-6% nach +23,2% im Vorjahr) ergibt sich sogar ein erheblicher Renditevorteil. Das aus nur aus 5 Titeln bestehende Global Equities ESG Portfolio S hat mit -0,5% etwas schlechter als das 30-Aktien Portfolio abgeschnitten. Aber mit den +32,1% aus 2021 liegt es weiter hervorragend im Performancevergleich.

Das Infrastructure ESG Portfolio hat +0,9% gemacht (2021: +6,3%) und liegt damit weiter hinter traditionellen Infrastrukturportfolios (+4% für aktive Fonds und +5,6% für ETFs) zurück. Das liegt in diesem Quartal vor allem daran, dass Infrastruktur für fossile Energieträger ausgeschlossen wird.

Der Real Estate ESG Portfolio hat im ersten Quartal -2,2% (+22,9% in 2021) verloren. Das ist vergleichbar mit traditionellen aktiven (-1,4%) und passiven Immobilienaktienportfolios (-2,7%).

Das Deutsche Aktien ESG Portfolio hat im ersten Quartal -15,5% (+21% in 2021) verloren. Das ist schlechter als vergleichbare traditionelle passive Benchmarks (-10,5%) bzw. aktive Fonds (-12.2%). Zusammen mit dem Vorjahr liegt mein nachhaltiges Portfolio im Renditevergleich aber weiter vorne.

Das auf soziale Midcaps fokussierte Global Equities ESG SDG hat -3,0% erzielt (+22% in 2021), also ähnlich wie andere globale Aktienportfolios. Das Global Equities ESG SDG Trend Portfolio konnte mit -5% (+14,5% in 2021) ähnlich abschneiden wie traditionelle Mischfonds, nachdem es im Vorjahr noch vorne lag. Das Global Equities ESG SDG Social Portfolio wurde erst am 21. Januar gestartet und wird deshalb in diesem Quartalsvergleich noch nicht berücksichtigt. 

Mein FutureVest Equity Sustainable Development Goals R Fonds, der am 16. August gestartet ist, hat Im ersten Quartal -3,5% verloren und liegt damit ebenfalls relativ gut im Wettbewerbsvergleich (vgl. hier, die Regeln wurden aber Ende 2021 verschärft: Nachhaltigster Aktienfonds? – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)). Einen Vergleich mit anderen Artikel 9 Fonds kann ich mangels guter Daten nicht liefern. Aber in seinem solchen Vergleich sollte der Fonds nach meinen Beobachtungen relativ gut dastehen.

Q1-2022 Performance: Zusammenfassung

Im schwierigen ersten Quartal haben sich meine passiven Allokationsportfolios und fast alle streng nachhaltigen Portfolios trotz überwiegend leichter Verluste relativ gesehen gut bewährt. Nur das deutsche Aktien- und das Infrastrukturaktien ESG-Portfolio rentierten im ersten Quartal unterdurchschnittlich.

Die mittelfristigen risikoadjustierten Renditen der meisten Soehnholz ESG Portfolios sind weiterhin sehr gut, und zwar sowohl im Vergleich zu meinen internen traditionellen passiven Benchmarks aber vor allem gegenüber aktiv gemanagten Peergroups. 

Anmerkungen

Die Performancedetails siehe www.soehnholzesg.com und zu allen Regeln und Portfolios siehe Das Soehnholz ESG und SDG Portfoliobuch. Benchmarkquelle: Medianfonds relevanter Morningstar-Peergruppen (Eigene Berechnungen, Details auf Anfrage).

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Werbemitteilung: Kennen Sie meinen Artikel 9 Fonds FutureVest Equity Sustainable Development Goals: Fokus auf soziale SDGs und Midcaps, Best-in-Universe Ansatz, getrennte E, S und G Mindestratings.

Greenwash-Update zu den Themen grünes Wachstum, grüne Politik, Klimamigration, SSRN, Ethik, Waffen, Klimatools, Faktorinvesting, Voting, Blackrock, Anleihen, ETFs, IPOs, Korrelationen, Angel Investments, Immobilien und Transparenz (# gibt die Zahl der SSRN-Downloads am 31. März an)

Greenwash-Update: Umweltresearch

Grüner Wachstumsschub: Building Back Better: How Big Are Green Spending Multipliers? von Nicoletta Batini, Mario Di Serio, Matteo Fragetta, Giovanni Melina und Anthony Waldron vom Internationalen Wärhungsfonds vom 4. Februar 2022 (#63): “…independently of the sector, spending on measures targeting good environmental outcomes, like investing in clean energy and ecosystem conservation, can produce more growth than environmentally detrimental measures. Specifically, we find that spending on clean energy, like solar, wind or nuclear, has an impact on GDP that is about 2 to 7 times stronger—depending on the technology and the horizon under consideration—than spending on non-eco-friendly energy sources like oil, gas and coal. From a stimulus point of view, these measures also appear economically sustainable because they end up producing more GDP than they initially demand. By contrast, spending on non-eco-friendly energy generation, is found to crowd out other forms of domestic spending to a larger extent. These findings can be rationalized by noting that, compared with fossil fuel technologies, which are typically mechanized and capital intensive, the renewable energy industry is more labor intensive. … our findings on ecosystem conservation spending show that it can return up to seven times as much that amount over the course of five years. In contrast, spending to support unsustainable land uses—in our case highly mechanized and imported-inputdependent industrial crop and animal agriculture—returns less than the initial expenditure” (S. 36).

Klimapolitik: Scaling up Climate Mitigation Policy in Germany von Simon Black, Ruo Chen, Aiko Mineshima, Victor Mylonas, Ian Parry und Dinar Prihardini vom Internationalen Währungsfonds vom 4. Februar 2022 (#27): “This paper shows the substantial variation in the price responsiveness of emissions across sectors and thus prices implied by sectoral targets. It proposes the following measures to help Germany meet emissions targets with greater certainty and cost effectiveness: (i) further strengthening carbon pricing, for example through automatically rising price floors for the national ETS after 2026; (ii) harmonizing carbon pricing to reduce cross-sector differences in marginal abatement costs; and (iii) introducing feebates (revenue neutral tax-subsidy schemes) to reinforce incentives at the sectoral level. The paper also studies the distributional impact of higher carbon pricing and suggests that reducing social security contributions can mitigate the regressive direct impact of higher carbon pricing on lower-income households. Concerns with carbon leakages and firms’ competitiveness are best addressed through agreeing on an international carbon price floor” (abstract).

Sozialresearch

Grüne Politikanalyse: The Political Consequences of Green Policies: Evidence from Italy von Italo Colantone, Livio Di Lonardo, Yotam Margalit and Marco Percoco vom 7. März 2022 (#46): “How does the introduction of green policies affect voting? We study this question in the context of a major ban on polluting cars introduced in Milan. The policy was strongly opposed by the right-wing populist party Lega, portraying it as a “radical-chic-leftist” initiative penalizing common people. We show that owners of banned vehicles—who incurred a median loss of €3,750—were significantly more likely to vote for Lega in the subsequent elections. … recipients of compensation from the local government were not more likely to switch to Lega” (abstract).

Klimamigration: Cumulative Climate Shocks and Migratory Flows: Evidence from Sub-Saharan Africa von Salvatore Di Falco, Anna B. Kis und Martina Viarengo vom 17. Februar 2022 (#23): “We find that while the effect of recent adverse weather shocks is on average modest, the cumulative effect of a persistent exposure to droughts over several years leads to a significant increase in the probability to migrate. The results show that more frequent adverse shocks can have more significant and long-lasting consequences in challenging economic environments” (abstract).

Researchmarketing: SSRN’s Impact on Citations to Legal Scholarship and How to Maximize It von Rob Willey und Melanie Knapp vom 30. März 2022 (#69) “Our data indicates that well-cited papers are more likely to be posted on SSRN. We also found that it’s better to make your SSRN posting before or shortly after publication in a journal. … SSRN postings also provide Google with an indexable copy of the article, at least initially. … Part of SSRN’s benefit may also stem from its potential to rank well in Google results ….” (S. 27). Mein Kommentar: Der Beitrag ist relevant für alle, die meine Hauptquelle SSRN besser verstehen wollen.

Greenwash-Update: Resposible Investing Research

Ethikvorteile: Do ethics outpace sins? von Sitara Karim, Muhammad Abubakr Naeem und Brian M. Lucey vom 19. März 2022 (#30): “We identified the dependence between sin stocks, ethical investments, and conventional stock markets. … We report safe-haven features of SPGB against sin stocks during short-term while similar features are manifested in pre- and post-COVID periods. Subsequently, medium and long-run frequencies highlighted diversification and hedging potentials of SPGB against sin stocks and conventional stocks … Our findings stressed that despite generating higher returns, sin stocks and conventional investments are outpaced by ethical investments. … green investments … they bear diversification, safe-haven, and hedging features. … They continue to outperform traditional investments even in the long-run due to their lower vulnerability to external shocks under extreme and stable market conditions” (S. 4/5). Mein Kommentar: Das ist auch meine Erfahrung, vgl. Soehnholz ESG und z.B. Soehnholz ESG 2021: Passive Allokationsportfolios und Deutsche ESG Aktien besonders gut – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Waffenkontroverse: A third of Europe’s Article 8 and 9 funds have controversial weapons exposure, data suggests von Siri Christiansen vom 21. März 2022: “Morningstar Direct data indicates 1,625 of Article 8 or 9 funds in Europe already had exposure to controversial weapons in December 2021. … A BlackRock spokesperson said all holdings of the fund – which includes Booz Allen Hamilton, Moog, Rolls-Royce and Science Applications International Corporation – are not in breach of the firm’s exclusion policies for controversial weapons. … ‘There may be disagreements over a company that manufactures a component, and whether the component is critical to a controversial weapon, or whether the component has broader industry usage,’ said Jim Whittington, head of responsible investment at Dimensional … We also exclude parent companies if its subsidiary is involved in products specially designed for controversial weapons,’ Pia Gisgård, head of sustainability and governance at Swedbank, told Citywire Selector “. Mein Kommentar: Ich versuche seit 2016 alle Waffenanteile aus meinen direkten Aktienportfolios konsequent auszuschließen

Klimatoolcheck: Taming the Green Swan: a criteria-based analysis to improve the understanding of climate-related financial risk assessment tools von Julia Anna Bingler und Chiara Colesanti Senni vom 22. März 2022 (#224): “… we conducted a descriptive analysis … to understand the general setup, coverage and modules of individual climate risk assessment tools currently available. We found that it would be beneficial to extend the coverage of risk sources in order to cover policy, market upstream, market downstream and technology developments, and to capture what risk sources could reinforce each other. Also, the unlisted financial assets need to be included in the analysis coverage.  … we analysed 16 state-of-the-art climate risk tools … The main issue for accountability is the current low transparency of the tools’ specific setup, combined with a lack of peer-reviews of the individual tools. We also found that the depth of risk analysis varies considerably amongst tools. … In terms of usability, we found that that tools do not sufficiently account for uncertainty in the output (i.e. by providing probability distributions and confidence intervals instead of point estimates). … scenario-neutrality (or at least a certain extent of scenario flexibility) would also increase usability of the tools” (S. 367/368).

CO2-EK-Risiken: Do investors consider greenhouse gas emissions in their equity risk assessments von Alix Auzepy, Yannik Bofinger und Björn Rock vom 16. Februar 2022 (#71): “Based on 8,023 firm-year observations from a sample of European firms over the period from 2010 to 2020, our results imply that GHG emissions are relevant for investors’ equity risk assessments. First, we find that firms with higher levels of scope 1 and scope 2 GHG emissions are associated with higher standard and downside equity risks. However, we cannot find any clear influence of scope 3 GHG emissions on firm equity risks. Second, our findings indicate that the mere disclosure of GHG information is in contrast linked to lower equity risks” (abstract).

Grüner Faktor? The role of a green factor in stock prices. When Fama @ French go green von Ricardo Gimeno und Clara I. González von der Banco de Espana vom 24. März 2022 (#29): “… we extend the framework of the factor models that explain the expected return of stock models to include a climate change exposure factor. To do so, we built a portfolio that is long on companies with low carbon emissions, and short on companies with high carbon emissions. We show that this factor is relevant in the market and allows for an approximation of the climate change exposure of firms with poor disclosure of their green performance” (abstract).

Votingdefizite: Recycling targets – soda pressing von Planet Tracker vom 17. März 2022: Coca-Cola and PepsiCo are the world’s top plastic polluting brands and therefore their recycling targets deserve scrutiny. We believe that investors should have little confidence in these goals and financial institutions should share the blame for this … By analysing voting data provided by Insight Proxies, it shows that the top 20 investors in Coca-Cola and PepsiCo do not view such sustainability issues as a priority. For both companies, there has only ever been one proxy vote to create an environmental report. This was on a tangential proxy vote in 2019 regarding whether PepsiCo should create a report on pesticide management. Among the top 17 shareholders of PepsiCo at the time of the 2019 vote, 15 voted against the introduction of this report …”. Mein Kommentar: Vergleiche Divestments bewirken mehr als Stimmrechtsausübungen oder Engagement | SpringerLink

Blackrock-Greenwash? Do Institutional Investors Vote Responsibly? von Anne Lafarre vom 1. März 2022 (#111): “Dutch and European institutional investors are significantly more socially responsible than US investors. … we also find that US asset owners including pension funds and universities have a more responsible ideology than US asset managers. … CSR preferences of the Big Three: We document that these index funds, including BlackRock SRI funds, are significantly less socially responsible than most institutional investors in our sample. While BlackRock claims climate change is the most pressing issue and promises to back more CSR-related shareholder proposals, we find no evidence for either claim, relegating this promise to greenwashing. Our Follow This Shell 2021 case study perhaps suggests that a Say on Climate may induce greenwashing as well, leading to the adverse effect that a management proposal receives more support from institutional investors than more ambitious proposals by activists, but more research is welcomed” (S. 35).

Greenwash-Update: A Comprehensive Climate Assessment of the World’s Largest Financial Institutions von Influence Map vom März 2022: “All major financial groups retain core memberships in industry associations opposing evolving climate finance policies in the EU, UK, and US. Their banking and asset management arms remain highly active in fossil fuel production financing, in direct contrast to science-based guidance. The climate plans the sector does have remain focused on 2050 targets with little evidence of shortterm action plans” (S. 2).

Traditional Investing Research

Anleihepuzzle: The Credit Spread Puzzle – Evidence from a Quasi-Natural Experiment von Catharina Claußen, Johannes Kriebel und Andreas Pfingsten vom 19. Oktober 2021 (#115): “Extensive prior research … mainly finding credit spreads to be insufficiently explained by credit risk. … Building on an extensive dataset of monthly German bond price data from 2005 to 2015, we find a difference in spreads of guaranteed and non-guaranteed bonds of on average 16.3 basis points. In our sample, these 16.3 basis points account for 18.3% of the average total credit spread leaving 81.7% (72.8 basis points) unexplained” (S. 17/18).

Passiv-Aktiv-Effekte: Indexing and the Performance-Flow Relation of Actively Managed Mutual Funds von Simon Lesmeister, Peter Limbach, P. Raghavendra Rau und Florian Sonnenburg vom 18. März 2022 (#32): “We find that the introductions of ETFs (is) … associated with a significantly lower sensitivity of flows to past performance …” (S. 21). “The increased competition from index funds is also associated with a higher fund performance-liquidation sensitivity, suggesting real economic consequences for active fund managers and fund management companies” (abstract).

ETF-Probleme: A Tale of Two Index Funds: Full Replication vs. Representative Sampling von Travis Dyer und Nicholas Guest vom 28. MÄrz 2022 (#36): “Full replicators hold index constituents in proportion to their index weights, with few exceptions. In contrast, representative samplers select a subset of stocks from the index using variables such as size, dividends, and P/E ratios. … we compare the performance of the two approaches and find that samplers have higher turnover and expenses while earning worse returns. Furthermore, this result does not appear to be driven by niche indices, as we find similar results in the subsample of funds following the S&P 500 and other market-cap-based indices. … our findings suggest that almost half of index funds use a sampling approach that strays from the passive ideal and results in worse performance on average” (S. 31/32).

Börsengang-Rückgang: Finding an alternative to IPOs: Direct Listing and SPACS von Maria Lucia Passador vom 28. März 2022 (#49): “This chapter highlights the relentless decline of listed companies in European markets and, at the same time, the increase in the number of alternative tools. Among all of them, direct listing and SPACs … In relation to SPACs, their historical evolution is described thoroughly, including from a comparative perspective, and so their dominant role in the markets, especially in 2020. …. a special attention is paid to the litigation aspects that the latest developments deriving from their greater diffusion generated” (abstract).

Korrelationskorrekturen: Shrinking beta von David Blitz, Laurens Swinkels, Kristina Ūsaitė und Pim van Vliet von Robeco vom 23. Februar 2022 (#478): “Betas are used in many applications ranging from asset pricing tests, cost of capital estimation, investment management and risk management. Beta needs to be estimated, and to reduce estimation error, shrinkage to its cross-sectional average value of one is often applied. Since beta is the product of the return correlation of a security with the market and its relative return volatility to that of the market, we shrink correlation and volatility separately and evaluate its predictive power. We find economically and statistically significant gains from shrinking correlations more than volatilities” (abstract). Mein Kommentar: Mehr Anlagesegmente erfordern mehr Korrelationsprognosen. Prognosen über mehr als eine Anlageperiode erhöhen das Prognoseproblem. Ich nutze lieber die gut funktionierende “most-passive” prognosefreie Allokation, siehe Das-Soehnholz-ESG-und-SDG-Portfoliobuch.pdf (soehnholzesg.com) oder – kürzer – Das „most-passive“ Anlageportfolio der Welt ist sehr attraktiv – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Quantkritik: Where’s the Beef? von Rob Arnott, Amie Ko und Lillian Wu von Research Affiliates vom 9. März 2022 (#65): “Investors frequently buy into historical simulations or backtests, often supported by compelling studies by respected academics, suggesting wonderful performance with remarkable consistency, only to earn no alpha once they invest. The only winners typically are the asset managers and brokers through their fees and commissions. The problem is data mining and performance chasing, the nemeses of all investors” (abstract). … “Quants and Academic Researchers Quants and academic researchers play a crucial role in setting appropriate investor expectations. When conducting backtests for either investment strategies or academic empirical work, they should impose a higher hurdle for declaring a backtest result, and they should willingly disclose their “negative” findings so that investors are fully aware of what has been tested and what did not work” (S. 13). Mein Kommentar: Ich habe 2016 Backtests durchgeführt und gute und schlechte dokumentiert (vgl. 161230 Diversifikator Test von Risikomanagement-Modellen.pdf (soehnholzesg.com). Ich nutze Backtests nur zur Plausibilisierung und verlange keine Outperformance für neue Portfolios, vgl. Konzeptionell-regelbasierte Small-Data Portfolios statt Evidence-Based Investing – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com). Trotzdem – oder deswegen – laufen die Portfolios meist ziemlich gut, vgl. www.soehnholzesg.com.

Engelinvestments: Angels and Demons: The Negative Effect of Employees’ Angel Investments on Corporate Innovation von Santanu Kundu und Clemens Mueller vom 22. November 2021 (#14): “… we find that angel investors negatively impact innovation of their corporate employer. … However, we also find that such angel employees seem to have a positive impact on startup success. … our analysis suggests that agency conflicts are a driver of the negative relationship between angel employees and future firm innovation. Employees divert time and effort from their employers to their personal start-up investments” (S. 30/31).

Irrationale Immopreise? Housing Yields von Stefano Colonnello, Roberto Marfè und Qizhou Xiong vom 7. Dezember 2021 (#100): “Relying on sale and rental prices for flats from a major German online real estate platform, we study the distribution and the drivers of rent-to-price ratios (or housing yields). … much of the variation of rent-to-price ratios remains unexplained. … we show that rent-to-price ratios … display significant and economically meaningful ability to predict returns and rent growth” (S. 29).

Portfoliotransparenz: Does Portfolio Disclosure Make Money Smarter? von Byoung Uk Kang, Andrew J. Sinclair und Stig J. Xeno vom 26. Oktober 2021 (#51): “We take advantage of the unique features of the hedge fund market to quantify the causal effect of mandatory portfolio disclosure. We document that mandatory disclosure increases investors’ selection ability, and find that this is due to the informational value of disclosure” (S. 26).

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Gendereffekte: >20x neues Research zu Schulden, China, Tigern, Migration, Gender und Diversität, Innovationen, Klimapolitik, CO2, Venture Capital, ESG, SRI, SDG, Impact, Fintechs, Momentum und Bubbles (# gibt die Zahl der SSRN Research-Downloads am 22. März an)

Gendereffekte: Sozialresearch

Schuldenberge: What Has Been the Impact of COVID-19 on Debt? Turning a Wave into a Tsunami von M. Ayhan Kose, Peter Nagle, Franziska Ohnsorge und Naotaka Sugawara von der Weltbank vom 11. Februar 2022 (#21): “… even before the pandemic, a rapid buildup of debt in emerging market and developing economies … had been underway. Because of the sharp increase in debt during the pandemic-induced global recession of 2020, the … wave of debt has turned into a tsunami …. … given large financing gaps and significant investment needs in many countries, debt levels will likely continue to rise in the near future. … debt resolution has become more complicated because of a highly fragmented creditor base, a lack of transparency in debt reporting, and a legacy stock of government debt without collective action clauses” (abstract).

Chinaboni: Did Western CEO Incentives Contribute to China’s Technological Rise? von Bo Bian und Jean-Marie Meier vom 6. Dezember 2021 (#51): “… managers of Western firms face a trade-off between the short-term benefits of accessing China’s vast market and the long-term costs of transferring technology to China. … We find that CEOs with high-powered incentive contracts engage more in forming cross-border partnerships with China and transferring technology to China compared with other large, developing countries. … in industries that the Chinese government classifies as strategically important, we observe a stronger effect. … firms managed by these CEOs lose R&D human capital to China and face more patenting competition from China in future years” (S. 32/33). Mein Kommentar: Ich nutze keine Aktien mit Hauptsitz in China und keine Themen-ETFs mit hoher China-Allokation.

Europäische Tiger: Public Spending and Government Performance in Europe and Asia: Tigers Today and in the Future von Ludger Schuknecht vom 17. März 2022 (#16): “Public spending and performance patterns differ hugely across countries. Asian “tigers” and some advanced countries show low public spending coupled with strong performance indicators. Central and Eastern European “tiger” countries are also catching up strongly while featuring leaner and productive governments (abstract). … When looking at the starting position of the Asian and Central Eastern European “tigers” in the past 20 years, these countries already featured strong indicators on rule of law, human capital and infrastructure at the turn of the millennium. … Slovenia and Viet Nam are in a good position on all three accounts while a number of other countries performs well on at least two of them” (S. 35).

Positivmigration: The Long-Run Effects of Immigration: Evidence Across a Barrier to Refugee Settlement von Antonio Ciccone und Jan Nimczik vom März 2022: “After the end of World War II in 1945, millions of refugees arrived in what in 1949 became the Federal Republic of Germany. … The higher population density in 1950 on the former US side of the 1945-1949 border persists entirely in 2020 and coincides with higher rents as well as higher productivity, wages, and education levels. … we see the origin of today’s economic differences across the former border in that the US zone admitted refugees while the French zone restricted access. Our estimates indicate that the arrival of refugees raised income per capita by around 13% and hourly wages by around 10%”.

Diversitätsnachteile (Gendereffekte): Diversity and Performance in Entrepreneurial Teams von Sophie Calder-Wang, Paul A. Gompers und Kanyuan (Kevin) Huang vom 9. März (#567): “We study the role of diversity … of over 3,000 MBA students who participated in a business course to build startups. … we quantify the strong selection based upon shared attributes when students are allowed to choose teammates. … when team memberships are randomly assigned, greater racial/ethnic diversity leads to significantly worse performance. … we find that teams with more female members performed substantially better when their faculty section leader was female” (abstract).

Umweltresearch

Grüne Innovationen: Can International Technological Diffusion Substitute for Coordinated Global Policies to Mitigate Climate Change? von Philip Barrett vom 4. Februar 2022 (#14):”… when innovation can diffuse overseas, long-run temperature increases are limited to 3 degrees. This occurs because policy not only encourages green innovations but also dissuades dirty innovations which would otherwise spread. The most effective policy package in emissions-reducing regions is a research subsidy funded by a carbon tax, driven in the short term by the direct effect of the carbon tax on the composition of energy, and later by innovation induced by research subsidies. Green production subsidies are ineffective because they undermine incentives for innovation“ (abstract).

Klimapolitikkosten: Are Climate Change Policies Politically Costly? von Davide Furceri, Michael Ganslmeier und Jonathan D. Ostry vom 4. Februar 2022 (#23): “ … only market-based CCPs (such as emission taxes) generate negative effects on popular support … political costs are not significant when CCPs are implemented during periods of low oil prices, generous social insurance and low inequality”.

Klimaländerausgleich: Global Climate Change Mitigation, Fossil-Fuel Driven Development, and the Role of Financial and Technology Transfers: A Simple Framework von Johannes Wiegand vom IMF vom 4. Februar 2022 (#16): “According to one argument in support of compensation, advanced economies (AEs) have used up much of the atmosphere’s absorptive capacity, thus causing global warming and blocking a similar, fossil-fuel driven development path for emerging markets and developing economies (EMDEs). This paper develops a simple model of a sequential, fossil-fuel driven development process to discuss these issues systematically. The results suggest: (i) AEs have typically a stronger interest in climate change mitigation than EMDEs, (ii) from an equity perspective, compensation is called for only if EMDEs are relatively small; (iii) there can also be an efficiency case for compensation, however, with AEs buying EMDEs out of some of their GHG emissions; (iv) ultimately, a superior option—for both the world’s climate and growth prospects—is the development of clean energy technologies by AEs and their transfer to EMDEs” (abstract).

Zentralbankenklimadefizite: Financial Regulation, Climate Change, and the Transition to a Low-Carbon Economy: A Survey of the Issues von Dimitri G. Demekas und Pierpaolo Grippa vom IMF vom 4. Februar 2022 (#55): “There are demands on central banks and financial regulators to take on new responsibilities for supporting the transition to a low-carbon economy. Regulators can indeed facilitate the reorientation of financial flows necessary for the transition. But their powers should not be overestimated. Their diagnostic and policy toolkits are still in their infancy. They cannot (and should not) expand their mandate unilaterally. Taking on these new responsibilities can also have potential pitfalls and unintended consequences” (abstract).

Carbon price agreement: Pricing Carbon von Moritz A. Drupp, Frikk Nesje und Robert C. Schmidt vom 17. März 2022 (#23): “… we provide survey evidence on carbon pricing from more than 400 experts across almost 40 countries. … a majority of experts can agree on some short- and medium-term global carbon price levels, and on unilateral carbon price levels in most countries. We find little evidence for free-riding. Indeed, experts’ unilateral carbon price recommendations with border carbon adjustment are, on average, higher than global recommendations” (abstract).

Nachhaltige Investments: Umwelt bzw. Gendereffekte

Carbon-Benefits: Do Firms Benefit from Carbon Risk Management? Evidence from the Credit Default Swaps Market von Huu Nhan Duong, Petko S. Kalev, Madhu Kalimipalli und Saurabh Trivedi vom 10. Januar 2022 (#100)  “… we find that better carbon risk management is associated with significantly lower credit default swap (CDS) spreads. … Firms with better carbon risk management also have enhanced future growth opportunities and cash holdings” (abstract).

Teurer Finanzgenderbias (Gendereffekte): Gender Bias in Promotions: Evidence from Financial Institutions von Ruidi Huang, Erik Mayer und Darius Miller vom 14. März 2022 (#116): “We build a nationwide panel of mortgage loan officers and branch managers covering 72,000 workers from over 1,000 firms, and document a significant gender gap in promotions: female loan officers are 15% less likely to be promoted than their male counterparts with similar experience and performance. … “in-group” tests show that female workers face bias from both male and female managers, consistent with inaccurate gender stereotypes (rather than animus). Third, firms’ bias toward overpromoting high performing salespeople relative to their managerial potential (the Peter Principle) is much stronger among men than women, which contributes to gender bias in promotions. … At the worker level, female loan officers’ productivity decreases under male supervisors. At the firm level, mortgage companies that promote fewer women see a decrease in loan volume, slower employment growth, and are less likely to survive” (S. 30/31).

VC Genderdefizite (Gendereffekte): Disrupting Venture Capital: Carrots, Sticks and Artificial Intelligence von Kimberly Houser und Kathryn Kisska-Schulze vom 8. März 2022 (#22):” Despite the massive dollars invested each year by VC firms, more than two-thirds of the companies they fund will provide zero return. More problematic, less than 3% of VC funds go to female-led startup teams, and less than 1% go to racially diverse founders. … these numbers have remained stagnant for over 30 years. This is especially perverse given that diverse startups, when funded, appreciably outperform male-only founding teams”.

Nachhaltige Investments: E, S und G Research

ESG Kritik: What’s Really Inside Equity ESG Portfolios? Any stock you can think of is on the menu von Jack Shannon von Morningstar vom 17. März 2022: “… there are few businesses that ESG managers seem to agree to not own. … 84% of the Russell 1000 Index’s stocks, or 96.6% of the index’s market cap, still appear in at least one active ESG strategy … This is not a U.S.-only phenomenon. At least one intentional ESG foreign large-blend fund owns all but two of the MSCI EAFE Index’s 807 constituents … a „buy-and-hope“ ESG strategy in which a manager buys a stock passively hoping for its ESG profile to improve is no different than a non-ESG-intentional strategy. … Investors … would be well-served to do their homework on strategies before investing”. Mein Kommentar: Ich setze nur auf die besten nach E, S und G (Best-in-Universe) und nutze vor allem konzentrierte Portfolios, siehe z.B. das Nachhaltigkeitsreporting mit Portfoliodetails auf www.futurevest.fund

ESG-Details: Deconstructing ESG Scores: How to Invest with Your own Criteria von Torsten Ehlers, Ulrike Elsenhuber, Anandakumar Jegarasasingam und Eric Jondeau vom 17. März 2022 (#71): “…. Given the methodological choice of Refinitiv to assign a negative score when firms fail to disclose ‘yes’ or ‘no’ information, these categories suffer from a high proportion of scores equal to 0, which makes it difficult to differentiate among firms … (S. 23)”. Mein Kommentar: Andere Anbieter füllen Leerstellen mit Branchenmittelwerten. Das ergibt meines Erachtens zu gute Ratings. Ich nutze bei fehlenden Daten einen 25%igen Erfüllungsgrad. Das kommt auch kleinen Unternehmen mit wenig Reportingressourcen zugute. Allerdings müssen bei E, S und G mindestens jeweils 50% nach best-in-Universeansatz erreicht werden. Die durchschnittliche Kapitalisierung in meinen Portfolios liegt deshalb oft im Midcap-Bereich und damit relativ niedrig im Vergleich zu Wettbewerbern.

ESG-Probleme: The Determinants of ESG Ratings: Rater Ownership Matters von Dragon Yongjun Tang, Jiali Yan und Chelsea Yaqiong Yao vom 24. Februar 2022 (#431): “… we find that rater ownership plays a significant role in the determination of ESG ratings. Specifically, the rater tends to give higher ESG ratings to sister firms owned by the same large shareholders” (S. 30).

ESG-Tansparenzrelevanz: The Effect of ESG Disclosure on Corporate Investment Efficiency von Elsa Allman und Joonsung Won vom 29. November 2021 (#487): “… increased quality of ESG disclosure affects firms’ issuance of new debt. We conclude that enhanced ESG disclosure plays a role in reducing information asymmetries that reside in the corporate debt market that led to capital rationing by investors. … Our findings suggest that non-financial reporting plays a role in improving investment efficiency, which can in turn have significant consequences on the real economy” (S. 31). Mein Kommentar: Vgl. Absolute und Relative Impact Investing und Additionalität – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Geringe SRI-Fondseffekte: Does Socially Responsible Investing Change Firm Behavior? von Davidson Heath, Daniele Macciocchi, Roni Michaely und Matthew C. Ringgenberg vom 6. Februar 2022 (#1062): “… we find little evidence that SRI funds succeed in changing corporate behavior. In particular, we find no evidence that SRI contributes in reducing firms’ pollution, improving employee satisfaction, improve workplace safety, or racial diversity on corporate boards. We do find some evidence that SRI funds improve gender diversity on corporate boards” (S. 32).

SRI-Kritik: Socially Responsible Investing in a Free and Democratic Society von Ruoke Yang vom 24. Februar 2022 (#20): “When socially minded investors are confronted with firms like Amazon and Exxon Mobil that are neither perfectly good nor bad, their investment decisions can go awry if they apply their individual tastes to decide whether Amazon’s lackluster social performance sufficiently outweighs its better environmental performance. Instead, each investor should take into account of the tastes of every individual and assign equal weight to them. To do otherwise would lead to socially responsible investors achieving outcomes that are inconsistent with the aims of a free and democratic society”. Mein Kommentar: Berechtigte Kritik, aber schwierige Umsetzung. Ich nutze seit Jahren anspruchsvolle Mindestscores für E, S und G, das sollte diese negativen Effekte stark reduzieren, vgl. Nachhaltige Portfolios: Warum Best-in-Class schlecht sein kann, aber Best-in-Universe selten genutzt wird (wertpapiertreuhand.de)

Impactfonds: The Risk and Return of Impact Investing Funds von Jessica Jeffers, Tianshu Lyu und Kelly Posenau vom 11. November 2022 (#355): “… the market beta of impact funds is statistically significantly lower than the market beta of VC funds. When accounting for market risk exposure, impact funds underperform the market but do not perform worse than comparable private market strategies. … Our finding that impact underperforms both the S&P 500 and a public sustainability index is consistent with impact investing as a constrained strategy that necessarily leads to lower returns. We find a similar effect for VC and matched benchmark funds” (S. 26). Mein Kommentar: Meine SDG-aligned ETF- und Aktienstrategien haben seit Start (t.w. 2017) keine Performancenachteile, vgl. www.soehnholzesg.com.

Fintech-SDG-Kritik: A Critical Look at Using FinTech Policy to Promote the SDGs von Bryane Michael vom 2. März 2022 (#23): “… international and regional organizations have promoted FinTech as a way of financing the sustainable development goals (SDGs). FinTech-related apps allowing for micro-finance, the tokenization of assets, peer-to-peer lending, and a host of other web-based apps promise to give the poorest access to resources. With access to these resources (so the story goes), the massive funding of social/public goods will help countries achieve their SDG targets. Yet, even by 2022, these efforts seem still-born. COVID-19 has delayed these activities by at least 5-10 years” (S. 20).

Traditionelle investments

Momentum-Enttäuschung: A Look Under the Hood of Momentum Funds von Ayelen Banegas und Carlo Rosa vom 4. Februar 2022 (#499): “Momentum investing has surged over the past few years, with assets growing at three times the rate of conventional funds. Using a comprehensive dataset of US equity funds … we find that risk-adjusted returns of momentum funds are, on average, negative, and most of the time series variation of those returns is explained by exposure to the market factor”.

Experten-Bubbles: Experience Does not Eliminate Bubbles: Experimental Evidence vom 12. Januar 2022 (#88)sowie Investor Experience and Information Do Not Discourage Asset Price Bubbles von Anita Kopányi-Peuker und Matthias Weber vom 15. März 2022 (#15): “It is often believed that markets with more experienced investors exhibit fewer bubbles. The same is believed of markets where investors have additional information about fundamentals. We provide evidence that both is not necessarily true. In contrast, bubbles may rise faster in markets with more experienced investors” (abstract).

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Kriegsmigration: >20x neues Research zu Kriegsmigration, Führereinfluss, Steuerflucht, Ungleichheit, Managerbiases, Finanzjournalismus, Schweizer Wasser, Russlandfinanzierung, IMF, ESG, Greenwashing, Votingwashing, Staatsfonds, Finanzprofs, Value, Gender, Gleichgewichtung und Private Equity (# gibt die Zahl der SSRN Research-Downloads am 14. März an)

Zunächst in eigener Sache:

Custom ESG Indexing Can Challenge Popularity Of ETFs – Asia Financial News  vom 4.3. 2022 mit neuen Ansätzen: Problems of ETFs, thematic direct indexing, stock-unpicking instead of active portfolio management, custom ESG self-indexing, direct bond and multi-asset direct indexing and risk management, powerful direct indexing software …

#143 | Interview von Professor Soehnholz mit Finanzoptimist Philipp Achenbach – finanzoptimist’s podcast | Podcast auf Spotify vom Oktober 2021 über Impact/SDG, ESG Progress und ESG Momentum, Ausschlüsse sind nicht gleich Ausschlüsse, Voting/Engagement, ESG Bonuskritik, warum traditionelle Finanzkennzahlen wenig bringen und Kritik an ESG Ratings und Best-in-Class Ansätzen

Kriegsmigration: Soziales

Kriegsmigration: Forced Displacement in History: Some Recent Research von Sascha O. Becker vom Februar 2022: “Forced displacement as a consequence of wars, civil conflicts, or natural disasters does not only have contemporaneous consequences but also long-run repercussions. This eclectic overview summarizes some recent research on forced displacement in economic history. While many of the episodes covered refer to Europe, this survey points to literature across all continents. It highlights new developments, and points to gaps in the literature” (abstract).

Führereinfluss: Can Leaders Persuade? Examining Movement in Immigration Beliefs von Hassan Afrouzi, Carolina Arteaga und Emily Weisburst vom 25. Februar 2022 (#18): “…. political messages cause participants to change their views. We deliberately test messages that do not contain facts and are instead composed of emotion-based arguments and policy proposals. Ex ante, it is not obvious that such messages will change beliefs, given that they contain no new substantive information about immigration. Both Republicans and Democrats are swayed by the pro-immigrant and anti-immigrant messages in this study, with effects that are stronger for messages that oppose party priors. … We find that a leader is most persuasive when expressing statements that are unexpected to an audience of individuals who find the leader to be credible” (S. 28/29).

Steuerfluchtmilliarden: Tax Avoidance through Cross-Border Mergers and Acquisitions von Jean-Marie Meier und Jake Smith vom 22. Februar 2022 (#443): “From 1990-2017, firms spent $4.1 trillion on 13,307 cross-border, tax-haven M&A, generating $31.6 billion in annual tax savings. Using a gravity model research design, we classify 57.2%, or $2.4 trillion of this deal value as abnormal, or beyond what is predicted based on the economic fundamentals of these havens. … more significant tax savings that can be achieved through the acquisition of real assets in havens, as opposed to the smaller tax savings that can be realized through the opening of shell companies in havens” (S. 38).

Deutsche Ungleichheit: Inequality and Income Dynamics in Germany von Moritz Drechsel-Grau, Andreas Peichl, Johannes Schmieder, Kai D. Schmid, Hannes Walz und Stefanie Wolter vom 3. März 2022 (#40): “By combining two high quality administrative data sources – personal income tax and social security records – this is the first paper to offer a complete picture of the German income distribution ranging from the very bottom to the very top. …. We find that earnings inequality among men has been increasing over the entire sample period from 2001 to 2016 … For women … bottom inequality has been falling due to strong earnings growth at the bottom, top inequality has been rising. … women’s earnings have been catching up with male earnings throughout most of the distribution. This happened even though the share of women working full-time has been declining. … Between 2001 and 2016, average incomes of workers grew by around 5% while average incomes of entrepreneurs increased by around 25%. Hence, total income inequality is higher and increased more strongly than labor income inequality. … we document large gaps between men and women at the very top of the total income distribution driven by women being less likely to have high business incomes” (S. 36).

Managerbiases: Presidential Address: Corporate Finance and Reality von John R. Graham vom 9. März 2022 (#630): “… common elements of real-world corporate finance indicate that companies make decisions based on internal forecasts that are miscalibrated and thought to be reliable only two years ahead; use decision rules that are conservative, sticky, simple, and that attempt to market time; and, emphasize corporate objectives that increasingly focus on stakeholders and revenues“ (abstract).

Finanzjournalismusbias: Meet the Press: Survey Evidence on Financial Journalists as Information Intermediaries von Andrew C. Call, Scott A. Emett, Eldar Maksymov und Nathan Y. Sharp vom 16. November 2021 (#2118): “… financial journalists say they are more likely to cover provocative subjects, such as controversial companies or CEOs with colorful personalities. We also find consistent evidence that financial journalists frequently interact with company management and financial analysts when developing articles. … Financial journalists also believe monitoring companies to hold them accountable is one of financial journalism’s most important objectives, but often face negative consequences when writing articles that portray companies in an unfavorable light” (S. 32).

Schweizerwasser: Facing climate change: Does Switzerland have enough water? Von Juan Esteban Martínez-Jaramillo, Ann van Ackere und Erik Larsen vom 21. Januar 2021 (#11): “As the most used renewable technologies (i.e., wind, solar and hydro) have an unpredictable output, managing this variability is challenging. This paper uses a system dynamics approach to understand what type of regulation is required to successfully manage the simultaneous increase in demand and reduction in water resources in the Swiss electricity system, which is gradually replacing nuclear by solar generation. … Our findings indicate that, without government intervention, shortages occur and prices are higher. Subsidizing PV eliminates blackouts, decreases the electricity price and indirectly encourages Pumped Hydro-Storage investments” (abstract).

Kriegsmigration: Nachhaltige Investments

Russlandfinanzierung: Russlands fossile Macht und Deutschlands Finanzindustrie von urgewald vom 9. März 2022: „Zwar betonen insbesondere Deutsche Bank sowie Commerzbank, dass sie ihr Engagement in Russland in den letzten Jahren, speziell seit der Krim-Annexion, zurückgefahren haben. Dennoch kommt die Deutsche Bank in einer Analyse von Profundo basierend auf urgewald-Daten [1] auf Platz 4 der europäischen Banken, die in den letzten fünf Jahren die vier führenden russischen Ölund Gasfirmen Gazprom, Lukoil, Rosneft und Novatek durch Konsortialkredite und Underwriting unterstützt haben. Die DZ Bank kommt auf Platz 11, die Helaba auf Platz 13, die Commerzbank auf Platz 15 und die BayernLB kommt auf Platz 17 der europäischen Banken mit dem größten Exposure zum russischen Öl- und Gas-Sektor“. Mein Kommentar: Ich habe Aktien aus Russland und China und andere kritische Länder seit vielen Jahren aus meinen Portfolios ausgeschlossen.

IMF for Clima: Climate Action to Unlock the Inclusive Growth Story of the 21st Century von Amar Bhattacharya, Maksym Ivanyna, William Oman und Nicholas Stern von Internationalen Währungsfonds vom 4. Februar 2022 (#50):  “A just transition to a low-carbon economy is the only viable way forward. … The key policies to enable the transition are: public spending on and investment frameworks for sustainable infrastructure, pricing carbon, regulations, promoting sustainable use of natural resources, scaling up and aligning finance with climate objectives, low-carbon industrial and innovation policies, building resilience and adaptation, better measurement of well-being and sustainability, and providing information and education on climate risks. Implemented well, climate action would unlock the inclusive growth story of the 21st century … ” (abstract).

IMF ESG Kritik: Limits to Private Climate Change Mitigation von Dalya Elmalt, Deniz Igan und Divya Kirti vom Internationalen Währungsfonds vom 15. Februar 2022 (#28): “… we explore the link between emissions growth and ESG scores using firm-level data for the largest emitters around the world. Discouragingly, our analysis uncovers at best a weak relationship: firms with better ESG scores do display somewhat slower emissions growth but this link is substantially attenuated and no longer statistically significant if we limit attention to within-country or within-firm variation. Our findings suggest limited scope for sustainable investing strategies conditioned solely on ESG indicators to meaningfully help mitigate climate change … “ (abstract). Mein Kommentar: Vielleicht wären die Ergebnisse anders ausgefallen, wenn Best-in-Universe (BiU) statt Best-in-Class (BiC) ESG Ratings genutzt worden wären. BiC und BiU wird in dem Bericht nicht thematisiert, vgl. Nachhaltige Portfolios: Warum Best-in-Class schlecht sein kann, aber Best-in-Universe selten genutzt wird (wertpapiertreuhand.de)

Insti-Greenwashing? Institutional Investors and ESG Preferences von Florencio Lopez de Silanes, Joseph A. McCahery und Paul C. Pudschedl vom 7. März 2022 (#85): “… institutional investors have a strong preference for investing in firms with strong ESG rankings relative to other financial metrics and proxies for financial performance. … high quality ESG companies receive too much attention from institutional investors and are in danger of being overvalued. … institutional investors have a preference for ESG disclosure over actual ESG quality of portfolio companies. … We also find no evidence of a relationship between the holdings of large shareholders and carbon emissions. … ownership stake size is negatively correlated with high quality ESG” (S. 27).

Votingwashing: Active ownership as a tool of greenwashing von Gianfranco Gianfrate vom 8. März 2022 in EDHEC Research Spring 2022: “We study to what extent institutional investors’ ownership affected corporate carbon emissions in 68 countries for the period from 2007 to 2018 and find that institutional investment on average does not appear to lead to any tangible carbon footprint reduction” (S. 6).

ESG-Positiv: Walking the Talk – Valuing a Multi-Stakeholder Strategy von FCTL Global und der Wharton Uiversity vom 4. Februar 2022 (#61):  “we found firms that paired strong stakeholder language (“the talk”) with strong performance on material ESG measures (“the walk”): Generated 4% higher returns over a three-year period as measured by return on invested capital (ROIC); Were more likely to meaningfully invest in research and development (R&D), investing twice as much in R&D as a percentage of sales; Were 50% more likely to issue long-term guidance; Delivered higher sales growth over longer periods of time (1.5% higher over three years); and delivered more stable returns, resulting in 9% lower predicted ROIC volatility over three years” (S. 5).

ESG Anleihe-Alpha? Sustainable Alpha in Sovereign and Corporate Bonds von Karishma Kaul, Katharina Schwaiger, Muling Si und Andrew Ang von Blackrock vom 3. Februar 2022 (#144): “We show that ESG ratings, carbon emission intensity, and measures of forward-looking corporate commitments on carbon emissions have predictive power for fixed income excess returns. While some of these signals were originally formulated in equities and have previously been documented to predict equity returns, an important contribution is to show that they also have predictability in fixed income returns” (S. 16/17).

Traditionelle Investments

Staatsfondsänderungen: SWF 3.0: How Sovereign Wealth Funds navigated Covid-19 and changed forever von Diego López vom 7. Februar 2022 (#34) “Since March 2020, governments around the world have withdrawn over US$ 211 billion from their books and have invited them to bailout different sectors and businesses … but …most have grown their assets under management tremendously due to the stock market rally that has followed the market and oil bust of the beginning of 2020. … One can argue that SWFs have indeed entered a new phase “SWF 3.0” characterized by increasing size, influence, maturity, and sophistication, by an interest in different asset classes, regions, and industries, and by a focus on sustainability, collaboration, and long-term survival” (abstract).

Finanzprofessorenleverage: The Purpose of a Finance Professor von Axel Edmans vom 24. Januar 2021 (#1981): “The academic finance profession has the potential to be uniquely purposeful due to four characteristics – the freedom to take risks and work on what we’re passionate about, the loyalty to our profession rather than just our institution, the collaborative nature of the creation and dissemination of knowledge, and the magnitude of our potential impact. However, what the profession currently values, and its current social norms, are significant barriers to the fulfilment of this potential. This article highlights the special features of our profession that we often take for granted and ignore, and proposes ideas to make it not only more impactful and relevant, but also more collegial and fun” (abstract).  Mein Favorit: ”View dissemination of research to be an integral part of the purpose of a professor, through teaching or engagement with practitioners, media, or policymakers” (S. 47).

Gedächtnis vergessen? Memory of Past Experiences and Economic Decisions von Ulrike Malmendier und Jessica A. Wachter vom 28. Januar 2022 (#94): “In traditional economic models, memories of past experiences affect choices only to the extent that they represent information. … We .. document the empirical evidence on long-lasting experience effects in finance and economics. … Our treatment suggests a role for models of memory in accounting not only for micro-level phenomena, but for anomalies within asset pricing and macroeconomics more broadly”.

Value-Fondsmanager Bias: To Sell or Not to Sell? Disposition Effect and Investment Styles von Can Yilanci vom 9. März 2022 (#79): “We find a strong disposition effect for value funds, but we find no disposition effect for growth funds. … We show that value fund managers show a strong (weak) disposition effect when undervaluation is likely to be small (large). … we show that the disposition effect hurts performance. Funds that show a disposition effect keep stocks with low-risk adjusted future returns and sell stocks with high risk-adjusted future returns” (abstract).

Schwache deutsche Frauen? The Gender Gap in Household Bargaining Power: A Portfolio-Choice Approach von Ran Gu, Cameron Peng und Weilong Zhang vom 5. Januar 2022 (#85): “When members of the same household have different risk preferences, whose preference matters and why? We propose an intrahousehold model that aggregates individual preferences at the household level, allowing us to back out the distribution and determinants of bargaining power from household portfolio choice. … in the average Australian (German) household, the relative importance of the husband’s risk preference is 44% (114%) higher than the wife’s. While the gap is partially explained by gender differences in individual characteristics such as income and employment, it is also due to gender effects” (abstract).

Gleichgewichtung: Concentration within Sectors and Its Implications for Equal Weighting von Anu R. Ganti und Craig J. Lazzara von S&P Dow Jones Indices vom Februar 2022: “Sector concentration has significant implications for index weighting decisions. Since Information Technology and Consumer Discretionary adjusted HHIs are at historically high levels, equal weighting could be a logical option as concentration has tended to mean-revert historically. In contrast, Energy, Industrials, and Materials adjusted HHIs are at historically low levels. Assuming that the recent low concentration levels will move upwards, cap weighting could make sense” (S. 10). Mein Kommentar: Meine Gleichgewichtung von Aktien hat sich gut bewährt, vgl. Soehnholz ESG 2021: Passive Allokationsportfolios und Deutsche ESG Aktien besonders gut – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Private Equity Unsicherheit: Asset Allocation with Private Equity von Arthur Korteweg und Mark M. Westerfield vom 30. Januar 2022 (#162): “We survey the literature on the private equity partnership arrangement from the perspective of an outside investor (limited partner). We examine how the partnership arrangement fits into a broader portfolio of investments, and we consider the methods and difficulties in performance measurement, both at the fund level and at the asset class level. We follow with a discussion of performance persistence and the skill and pricing power of both general and limited partners. We continue by examining the limited partner’s problem of managing commitments and investments over time while diversifying across funds in light of both idiosyncratic and systematic shocks. We close with a summary of recent work on optimal portfolio allocation to private equity. Throughout, we consider how empirical work and theory match the particular institutional details of private equity, and we identify 27 open questions to help guide private equity research forward” (abstract).

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Werbemitteilung: Haben Sie schon meinen Artikel 9 ESG Fonds FutureVest Equity Sustainable Development Goals gesehen?

Diversifikationsgrenzen: >20 Mal neues Research zu Klimakriegen, Methan, Veganismus, Finanzgehältern, Gender, ESG, Voting, Mikrokrediten, Energiepreisen, Big Data, Faktorinvesting, Venture, Private Equity und Passion Investments (# gibt die Zahl der SSRN Research-Downloads am 2. März an)

Umwelt

Klimakriege: Climate Change, Armed Conflicts and Resilience von Mariagrazia D’Angeli, Giovanni Marin und Elena Paglialunga vom 8. Februar 2022 (#8): “Our results seem to suggest that, firstly, there is a positive impact of natural disasters on the probability of new conflicts. … the probability that a natural disaster increases the likelihood of conflicts is higher for more vulnerable, less resilient countries … our results suggest that natural disasters occurring in highly vulnerable, low resilient countries with high ethnic fractionalization are more likely to result in new conflicts” (S. 28).

Methanrisiken: Global Methane Tracker 2022 von International Energy Agency vom Februar 2022: “Globally, our analysis finds that methane emissions from the energy sector are about 70% greater than the sum of estimates submitted by national governments. … Satellites are providing a major boost to overall efforts to increase transparency on emissions sources, especially for very large leaks” (Overview).

Klimawandelkosten: Understanding Climate Damages: Consumption versus Investment von Gregory Casey, Stephie Fried und Matthew Gibson vom 14. Januar 2022 (#30): “ … we find that aggregate damage functions will overestimate short-run consumption losses and underestimate long-run consumption losses when investment is more vulnerable to climate change. The opposite implications hold if instead consumption is more vulnerable. We ,,, find that accounting for heterogeneous damages increases the welfare cost of climate change by 4 to 24 percent, depending on the discount factor …” (S. 36).

Klimaeffizienzwachstum: Energy, emissions, renewable efficiency and countries’ productive performance. Is there any link? von Pasquale Foresti, Konstantinos Kounetas, Oreste Napolitano und Nicola Spagnolo vom 30. Dezember 2021 (#): “… our analysis supports the idea that incentivizing energy efficient practices should result in more efficient productive processes and, as a consequence, in further economic growth. However, our results evidence strong heterogeneity across different groups of countries”. Mein Kommentar: In meinem Fonds finden sich zwei Spezialisten für Energiemessgeräte, siehe Fondspositionen in Nachhaltigkeitsreport unter www.futurevest.fund

Veganinfos: How agri-food companies can take advantage of the plant protein revolution von Roland Berger vom 3. Februar 2022: “After years of steady growth, plant-based proteins are expected to take off over the next five years, according to the latest research. With consensus growth estimates ranging between 9-15% per year, we project the segment to grow by 12%. … food companies … must select the most applicable plant-based protein, identify parts of the value chain that capture the biggest value, and understand how to seize these opportunities” (S. 2).

Soziales

Hohe Fondsmanagementgehälter: Careers in Finance von Andrew Ellul, Marco Pagano und Annalisa Scognamiglio vom 5. Februar 2022 (#119): „Careers in asset management feature higher and steeper pay profiles than those of employees in banking, insurance and non-finance, yet this career premium cannot be explained by higher risk. Labor market entry responds positively to career premia in asset management and high-tech, and these sectors are regarded as substitutes by potential entrants, consistently with high-tech competing with asset management in attracting talent”. Mein Kommentar: Und das, obwohl aktives Asset Management statistisch keine Outperformance bringt.

Finanzgenderdefizit: The Inequality of Finance von Renée Adams und Jing Xu vom 2. März 2022 (#117): “Despite being a young field, we document that finance thought leadership is less gender diverse than fields that are comparably or more math-intensive. But finance thought leadership is also less diverse along other dimensions, such as geographic diversity. … Female thought leaders in finance outperform male thought leaders along important dimensions. Moreover, women’s beliefs have little explanatory power for their representation in finance, but men’s beliefs do. These results suggest that women face greater barriers to entry into finance than men do” (S. 15).

Individualismusrisiken: National Culture and Corporate Risk-Taking around the World von Bart Frijns, Frank Hubers, Donghoon Kim , Tai-Yong Roh und Yahua Xu vom 22. Februar 2022 (#26): “ … We document a positive relationship between individualism and Probability of Default, as hypothesized, which is in line with the argument that individualistic cultures incentivize risk-taking, and promote a self-focus and overconfidence that encourages risk-taking” (S. 19).

Diversifikationsgrenzen: Verantwortungsvolle Investments

ESG-Prämien: Market Price of Systematic ESG Risk von Ick Jin vom 17. Jnauar 2022 (#114): “Our empirical evidence on the monthly returns on US equity mutual funds shows that the exposure to systematic ESG risk is associated with out-of-sample excess returns. … Variations depend on which provider’s indexes we use to construct systematic risk factors and the period. We see that the risk premium … is more effective for the second subperiod than for the first subperiod” (S. 27).

Klimaoutperformance: Climate Solutions Investments von Alexander Cheema-Fox, George Serafeim und Hui (Stacie) Wang vom 11. Februar 2022 (#2752): “… we develop a process to identify a list of publicly traded “pure-play” companies that provide climate solutions products or services and contribute to the transition to a low carbon world. … We find these pure-play climate solutions companies are characterized with lower profitability, higher revenue growth, and higher investment and capital expenditure relative to their industry peers, which is also reflected in their relative lower valuation ratios, such as earnings yield and book-to-market. … find evidence of outperformance of climate solutions portfolios, particularly noticeable in the past four years, in both developed markets and emerging markets excluding China, as well as in energy, fuels, battery and transportation segments” (S. 32/33).

Klimavoting: Say on Climate: Investor Distraction or Climate Action? von Florian Sommer und Harian Tufford von MSCI Research vom 15. Februar 2022: “Most say-on-climate votes in 2021 (58%) were one-time events, with only 24% of votes set to have annual follow-ups. This may fuel concerns that say on climate could be a distraction or facilitate greenwashing. Say-on-climate votes in 2021 were mostly at companies with emission trajectories aligned with the Paris Agreement, but companies with less-aligned paths have set votes in 2022”. Mein Kommentar: Divestments bewirken mehr als Stimmrechtsausübungen oder Engagement | SpringerLink

Mikrokreditkritik: Landverlust und Hunger durch Mikrokredit- und Überschuldungskrise in Kambodscha von FIAN Deutschland vom 17. Februar 2022: „In Kambodscha wuchs der Mikrofinanzsektor im vergangenen Jahrzehnt mit rasanter Geschwindigkeit – jährlich um rund 40 Prozent – und ist heute einer der größten weltweit. Ende 2020 umfassten die 2,8 Millionen ausstehenden Mikrokredite in dem Land mit insgesamt vier Millionen Haushalten satte 11,8 Milliarden US-Dollar. Dazu gehören Mikrokredite von lizensierten Mikrofinanzinstituten (MFI) … Die durchschnittliche Höhe dieser „Mikro“- und Kleinkredite liegt bei 4.280 USDollar (bei) … einem durchschnittlich verfügbaren Pro-Kopf Jahreseinkommen (Median) von lediglich rund 1.150 USDollar.  … Zwischen 2015 und 2020 vergaben die KfW und die DEG über 100 Millionen Euro direkt an kambodschanische Mikrokreditanbieter. An einem führenden Mikrofinanzinstitut ist die KfW als Anteilseigner beteiligt. Das BMZ und die KfW sind darüber hinaus an den Mikrofinanzfonds MEF und MIFA beteiligt, über die mehrere kambodschanische MFI mit über 70 Millionen Euro finanziert werden. … Ende 2020 umfasste die laufende Finanzierung kambodschanischer MFI über deutsche bzw. in Deutschland ansässige Investoren bzw. angebotene Fonds mindestens 170 Millionen Euro. Zu den größten identifizierbaren Investoren, die Kapital deutscher Anleger*innen in Kambodschas Mikrofinanzsektor investieren, gehören laut FIAN-Recherchen Oikocredit, die Triodos Bank und Invest in Visions“ (S. 1, 2)

Diversifikationsgrenzen: Traditionelle Investments

Fonds-Energieschock: Price Sensitivity of the Consumer-Investor: Evidence from Energy Prices and Mutual Fund Fees von Hae Mi Choi und Swasti Gupta-Mukherjee vom 11. Februar 2022 (#30): “… the representative consumer-investor becomes more price sensitive in selecting mutual funds when energy prices are increasing sharply. … we find that flows into actively managed funds, relative to passively managed funds, significantly decrease (increase) when energy prices increase (decrease)“ (S. 9/10).

Hilfreiche große Daten: The Use and Usefulness of Big Data in Capital Markets von Feng Chi, Byoung-Hyoun Hwang und Yaping Zheng vom 15. Februar 2022 (#22): We look at analysts and record when they explicitly reference the use of big data in their written reports. We find that analysts frequently draw from big data, particularly when receiving more timely signals regarding a company’s performance is important, when traditional data are ambiguous, and when analysts lack access to more granular data. Analysts’ use of big data is accompanied by strong improvements in forecast accuracy and heightened stock-market reactions to forecast revisions” (abstract).

Verlust-Framing: Life-Cycle Portfolio Choice with Stock Market Loss Framing: Explaining the Empirical Evidence von Arwed Ebner, Vanya Horneff und Raimond Maurer vom .9. Februar 2022 (#121): “Stock market loss-framing is defined as the additional disutility that a household experiences by the expected shortfall on stock investment return below a benchmark return. … a life-cycle model with stock market loss-framing, per-period participation costs, and heterogeneous agents explains the rise in stock market participation and conditional stock share with financial wealth” (S. 34).

Faktorverluste: Factor Information Decay: A global study von Emlyn Flint und Rademeyer Vermaak vom 11. Februar 2022 (#212): „At its core, a factor-based strategy seeks to construct a portfolio of assets that targets a particular set of factor exposures, subject to a given set of investment constraints. The natural question that arises then is how will these exposures change as one continues to hold the portfolio and as factor information updates? … We find that the target factor exposure distributions of pure factor portfolios tend to display smooth decay profiles over time, although the strength of decay differs greatly per factor. Some of these distributions also display significant dispersion and so target factor mismatch risk can be sizeable even at short holding periods. We also find that the non-target factor exposures of pure portfolios … can display fairly large dispersion in the medium- to long-term” (S. 15).

Diversifikationsgrenzen (1): Is sector neutrality in factor investing a mistake? von Sina Ehsani, Campbell R. Harvey und Feifei Li vom 24. Januar 2022 (#1073): “Our model … predicts that it is unlikely that sector neutralization is beneficial for the long-only investor, and the empirical results are consistent with this prediction. Although our analytical model does not predict the number of sectors an (investor) should use, our empirical results suggest a very small number of industries, such as five, would be a mistake. The results also show diminishing contributions from a large number of industries. In addition, the number of industries that an investor should choose is related to the particular factor” (S. 24). Mein  Kommentar: Länder- und Sektorneutralität schadet nachhaltigen Investments und Konzentration kann gut funktionieren, vgl. Mein Artikel 9 Fonds: Noch nachhaltigere Regeln – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Diversifikationsgrenzen: Alternative Investments

Diversifikationsgrenzen (2): The Myth of Diversification Reconsidered von William Kinlaw, Mark Kritzman, Sébastien Page, and David Turkington vom August 2021: “… we debunk the fallacy that diversification is always beneficial to investors and that correlations are symmetric on the upside and downside. Although diversification is desirable on the downside, investors would prefer that all assets rise in concert and should seek unification on the upside. … we conclude that most pairs of asset classes exhibit unfavorable correlation profiles. Diversification often disappears on the downside when it is most needed, and … it is often present on the upside when it imparts no benefit” (S. 13/14). Mein Kommentar: Vgl. Einfaches Risikomanagement kann erstaunlich gut funktionieren – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com) von 2016

Diversifikationsgrenzen (3): Why Diversifying Your Portfolio Is Getting Harder von Amy Arnott von Morningstar vom 1. März 2022:“…The poor showing for diversified portfolio strategies in 2021 continues a longer-term trend. Although different periods tell a different tale, our test portfolio detracted from risk-adjusted returns over nearly every three-year period going back to the one starting in June 2010. The basic 60/40 portfolio, on the other hand, improved results in more than 90% of the trailing three-year periods. … But … there’s no guarantee that correlations will remain at relatively high levels forever … In addition, portfolio diversification has still added value over some previous periods”.

Diversifikationsgrenzen (4): Do Investors Need Alternative Investments?How commodities and other nontraditional investments have affected portfolios von Jon Rekenthaler von Morningstar vom 24. Februar 2022: “… the common, cheap, and everyday (Sö: traditional) solution outdid every one of Wall Street’s esoteric, expensive, and specialized responses. … I cannot muster any potential enthusiasm for the blue categories. They promised to accomplish what bonds could not. They failed. I see no reason why the future will bring a different result”. Mein Kommentar: Vgl. Das „most-passive“ Anlageportfolio der Welt ist sehr attraktiv – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com) von 2016 und Soehnholz ESG 2021: Passive Allokationsportfolios und Deutsche ESG Aktien besonders gut – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Listed Private Equity Vorteile: Thematic Investing With Big Data: The Case of Private Equity von Ludovic Phalippou vom 7. Februar 2022 (#602): “Using natural language processing, companies globally can be scored based on the frequency with which news articles contain both their names and private equity (PE) related vocabulary. An index can then be created, with the weight of each component set as a function of both their liquidity and their PE exposure scores. This procedure generates a large set of firms whose underlying business is PE-related. Even though the algorithm does not optimize on either return or correlation, we find that the listed PE index is highly correlated to, and has similar performance to, the PE fund market index. This low-cost and scalable process can be generalized to any theme an index seeks to capture” (abstract).

Venturebiases: Venture Capital (Mis)Allocation in the Age of AI von Victor Lyonnet und Léa H. Stern vom 16. Februar 2022 (#99): “We use algorithmic predictions of new ventures’ success to uncover potential sources of inefficiencies in venture capital allocation. Our approach does not rely on the assumption that algorithmic predictions are correct. … First, VCs face frictions in their deal sourcing process that prevent them from selecting the most promising new ventures. … Second, we find evidence consistent with the idea that VCs over-weight some salient features associated with the venture’s founders (gender, education) and under-weight some features of the venture (industry, location)” (S. 27).

Passioninvestments: Persistence in the Passion Investment Market von Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun und Ahniia Havrylina vom 24. Februar 2022 (#5): “Wine prices are found to be highly persistent, whilst stamp prices appear to be only weakly persistent, though they can still be characterised as a long-memory process; as for diamond prices, they can be persistent (Diamonds & Gems), anti-persistent (Diamonds Carat indices) or even random (Polished Prices Diamond Index). … persistence is time-varying and tends to fluctuate around the average. These findings can be explained by the different degree of liquidity of the assets examined. In the majority of cases the evidence appears to contradict the Efficient Market Hypothesis: persistence implies predictability, and anti-persistence more frequent mean reversion than in the case of random series, and in fact in both cases we show that an autocorrelation structure is present in those series” (S. 23).

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In eigener Sache/Werbemitteilung: Die Finanzbloggerwahl des Portfoliojournals (vgl. S. 74-76) läuft noch. Ich freue mich auch über Kommentare, Weiterleitungen und Likes meiner Blogbeiträge. Außerdem nehme ich Sie gerne auf meinen Mailverteiler oder „tagge“ Sie in den LinkedIn Researchupdates, damit Sie keinen Beitrag versäumen. Und haben Sie schon meinen Artikel 9 ESG Fonds FutureVest Equity Sustainable Development Goals gesehen?

Genderforschung: Hier sind wieder >20 neue Researchbeiträge zu CO2-Inflation und Steuern, Pharma, alten Ehepaaren und Altenheimen, Facebook, LGBT, Erbschaften, Engagement, Transparenz, Kohle, Indexing, Anleihen, Scope 3, ESG, Talenten, Statistik und Forschungsansätzen (# gibt die Zahl der SSRN Research-Downloads am 23. Februar an)

Umwelt (Genderforschung)

CO2-Inflation: Effects of Carbon Pricing on Inflation von Richhild Moessner vom 15. Februar 2022 (#21) “Our findings are relevant for future climate policies. They suggest that higher carbon taxes and prices of permits in ETS have not led to large increases in headline CPI inflation” (S. 7).

CO2-Steuer: Evaluating Carbon Tax Policy: A Methodological Reassessment of a Natural Experiment von Andres Arcila und J.D. Baker vom 5. November 2021 (#41): “… the Canadian province of British Columbia was on the forefront of North American environmental policy when it implemented a carbon tax in 2008. … new data suggests that CO2 emissions and fossil fuel consumption have in fact risen in recent years. … However, we do find there to be a reduced share of economic activity in the energy industry following the policy change” (abstract).

Pharmadreck: Pharmaceutical pollution of the world’s rivers von John L. Wilkinson e al. vom Februar 2022: “… active pharmaceutical ingredients (APIs) … we present a global-scale study of API pollution in 258 of the world’s rivers, representing the environmental influence of 471.4 million people across 137 geographic regions. … The most contaminated sites were in low- to middle-income countries and were associated with areas with poor wastewater and waste management infrastructure and pharmaceutical manufacturing. … Concentrations of at least one API at 25.7% of the sampling sites were greater than concentrations considered safe for aquatic organisms … Therefore, pharmaceutical pollution poses a global threat to environmental and human health” (abstract).

Soziales (Genderforschung)

Gefährliche Altenheime: Nursing Homes and Mortality in Europe: Uncertain Causality von Xavier Flawinne, Mathieu Lefebvre, Sergio Perelman, Pierre Pestieau und Jerome Schoenmaeckers vom 17. Februar 2022 (#21): “… overall, residing in nursing homes increases the probability to die earlier than staying at home. This hides important differences across countries with Germany, Switzerland, Belgium and France showing “deadlier” nursing homes than the other countries. … It appears that countries in which the mortality in nursing homes is higher are also the countries in which the public spending and the resources devoted to long term care are low” (S. 16).

Facebookspion: Facebook Shadow Profiles von Luis Aguiar, Christian Peukert, Maximilian Schaefer und Hannes Ullrich vom 17. Februar 2022 (#27): “We quantify the extent to which Facebook can track web behavior outside of their own platform. The network of engagement buttons, placed on third-party websites, lets Facebook follow users as they browse the web. Tracking users outside its core platform enables Facebook to build shadow profiles. For a representative sample of US internet users, 52 percent of websites visited, accounting for 40 percent of browsing time, employ Facebook’s tracking technology. … The extent of shadow profiling Facebook … is … documenting the possibility for indiscriminate tracking” (abstract).

Genderforschung und Ambitionen: Gender Differences in Private and Public Goal Setting von Jordi Brandts, Sabrine El Baroudi,  Stefanie Huber und Christina Rott vom 30. Januar 2022 (#9): “… study gender differences in self-set performance goals and their effects on performance in a real-effort task. We distinguish between public and private goals, performance being public and identifiable in both cases. Participants set significantly more ambitious goals when these are public. Women choose lower goals than men in both treatments. Men perform better than women under private and public goals as well as in the absence of goal setting, consistent with the identifiability of performance causing gender differences, as found in other studies. Compared to private goal setting, public goal setting does not affect men’s performance at all but it leads to women’s performance being significantly lower. Comparing self-set goals with actual performance we find that under private goal setting women’s performance is on average 67% of goals, whereas for men it is 57%. Under public goal setting the corresponding percentages are 43% and 39%, respectively” (abstract).

Genderforschung und Versicherungen: LGBT-supportive corporate policies, risk aversion and mitigation, and economic policy uncertainty (EPU) von Chaiyuth Padungsaksawasdi, Sirimon Treepongkaruna und Pornsit Jiraporn vom 11. Februar 2022 (#20): “… companies significantly raise their investments in LGBT-supportive policies in times of greater uncertainty, reinforcing the risk mitigation view where LGBT-supportive policies create moral capital with an insurance-like effect that mitigates adverse consequences during uncertain times” (abstract).

Genderforschung und Aktivismus: Gender Differences in Shareholder Activism: Evidence from Shareholder Proposals von Yenn-Ru Chen, Chia-Hsien Lina und Angie Low vom 3. Februar 2022 (#29): “Firms with female CEOs receive more shareholder proposals, especially lower-quality proposals, than firms with male CEOs. Institutional investors are more likely to sponsor environmental/social proposals that are ultimately withdrawn after private negotiations, while individual investors sponsor more governance proposals, targeting female CEOs’ performance. These results indicate individual investors tend to perceive female CEOs as less competent, while institutional investors target their more democratic leadership style. Further results suggest the differential treatment toward female CEOs is mitigated when they outperform their peers and when female CEO representation is greater ….” (abstract).

ErbInnen: The (Un)Importance of Inheritance von Sandra E. Black, Paul J. Devereux, Fanny Landaud und Kjell G. Salvanes vom Januar 2022: “We find that while gifts and inheritances constitute a small overall proportion of Total Inflows (about 3% to 6% depending on age); their contribution is dominated by labor income and government transfers. … the ratio of gifts and inheritances to Total Inflows (the GI ratio) is larger for people who are in the top 1% of total wealth or income. The GI ratio is low on average at all points in the distribution of labor income” (S. 18).

Nachhaltigkeitstransparenz: Sustainability disclosure channels and firm risk: Evidence from initiated and continued social disclosure between SEC filings, sustainability reports, and financial reports von Andreas G. F. Hoepner und Frank Schiemann vom 8. Februar 2022 (#45): “Firms can disclose social information via different channels such as SEC filings, stand-alone sustainability reports, or financial reports. … Studying S&P 1,500 constituents between 2011 and 2015, we distinguish between initiated and continued disclosure along each of the three disclosure channels. We find initiated disclosure of social issues via SEC filings to increase idiosyncratic firm risk. Initial disclosures on the other two channels do not significantly alter risk, while we find continuous disclosure of sustainability to be risk reductive in line with previous literature” (abstract). Mein Kommentar: Ich versuche möglichst viel Transparenz sicher zu stellen, vgl. Nachhaltigkeitsreporting und Nachhaltikgeitsinvestmentpolitik für meinen Fonds bzw. hier

Nachhaltige Investments

Viel Kohle: Neue Recherche enthüllt Banken und Investoren hinter globaler Kohleindustrie von urgewald vom 15. Februar 2022:  Kommerzielle Banken haben in den vergangenen drei Jahren die globale Kohleindustrie mit über 1,5 Billionen US-Dollar in Form von Krediten und Underwriting-Mandaten unterstützt. Zudem hielten institutionelle Investoren mit Stand November 2021 – dem Monat, als die COP26 in Glasgow stattfand – Aktien und Anleihen der globalen Kohleindustrie im Wert von über 1,2 Billionen US-Dollar. … Mit Blick auf deutsche Finanzinstitute schafft es die Deutsche Bank bei Krediten und Underwriting-Mandaten im internationalen Ranking auf Platz 40 (von 705) und wegen ihrer Tochter DWS bei den Investoren auf Platz 28 (von über 4.900). Die Allianz-Gruppe belegt sogar Platz 20 im internationalen Investorenranking. Insgesamt leiteten deutsche Finanzinstitute in den vergangenen drei Jahren rund 18,2 Milliarden US-Dollar in Form von Krediten und Underwriting-Mandaten an die globale Kohleindustrie. Deutsche institutionelle Investoren hielten mit Stand November 2021 rund 23 Milliarden US-Dollar an Aktien und Anleihen der globalen Kohleindustrie“. Mein Kommentar: Vgl. Neues SDG Sozialportfolio und noch strengere ESG Anforderungen – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

CO2-Indizes: Carbon Bias in Index Investing von Mathijs Cosemans und Dirk Schoenmaker vom 28. Januar 2022 (#103): „We show that the carbon intensity of two major U.S. and European market indices is 70% to 90% higher than that of the U.S. and European economy, respectively. … We show that carbon-intensive sectors such as mining, manufacturing, and electricity are strongly overweighted in value-weighted stock market indices relative to their share in the gross value added of the economy. Firms in high-carbon sectors form a disproportionate share of the index because they tend to be capital intensive and are more likely to be publicly listed than firms in low-carbon sectors such as education, health, and consultancy” (S. 15).

CO2-Definition: Scope 3 emissions and their impact on green portfolios von Théophile Anquetin, Guillaume Coqueret, Bertrand Tavin und Lou Welgryn vom 27. Januar 2022 (#182): “The aim of this paper is to study the performance of carbon-based portfolios when all emissions scopes are accounted for. … we resort to total emissions (Scopes 1-2-3). Our results show that it is possible to cut emission intensities in half at least with virtually no loss in Sharpe ratio, across various choices of risk aversions, and irrespective of emissions data provider” (abstract).

CO2-Kreditrisiko: The low-carbon transition, climate commitments and firm credit risk von Sante Carbone, Margherita Giuzio, Sujit Kapadia, Johannes Sebastian Krämer, Ken Nyholm und Katia Vozian vom 22. Dezember 2021 (#83):  “High emissions tend to be associated with higher credit risk. But disclosing emissions and setting a forward-looking target to cut emissions are both associated with lower credit risk, with the effect of climate commitments tending to be stronger for more ambitious targets. After the Paris agreement, firms most exposed to climate transition risk also saw their ratings deteriorate whereas other comparable firms did not, with the effect larger for European than US firms, probably reflecting differential expectations around climate policy” (abstract).

Grüne Anleihen: Who pays for sustainability? An analysis of sustainability-linked bonds von Julian F. Kölbel und Adrien-Paul Lambillon vom 9. Februar 2022 (1046): “We examine the novel phenomenon of sustainability-linked bonds (SLBs). These bonds’ coupon is linked to the issuer achieving a predetermined sustainability performance target. … Our results show that in most cases investors pay for the improvement in sustainability, while issuers benefit from a sustainability premium. Our analysis suggests that the sustainability premium is larger for bonds with a higher coupon step-up and for callable bonds. We also show that there is a ‘free lunch’ for some SLB issuers, as their financial savings are higher than the potential penalty, and they have a call option to reduce this penalty. While our findings suggest that most SLBs incentivize sustainability improvements by offering a lower cost of capital, some companies that do not benefit from a sustainability premium seem to issue SLBs to signal their commitment to sustainability targets. The ‘free lunch’ however suggests that SLBs can also be a form of greenwashing, when they are issued purely for financial optimization without a real commitment to carry out sustainability improvements” (abstract).

ESG Newseffekte: ESG news, future cash flows, and firm value von François Derrien, Philipp Krueger, Augustin Landier und Tianhao Yao vom 29. Dezember 2021 (633): “We find that after learning about negative ESG news, analysts significantly downgrade their earnings forecasts over all horizons, including long-term horizons. Negative ESG incidents affect earnings forecasts at longer horizons than other types of corporate incidents. The negative revisions of earnings forecasts reflect expectations of lower future sales (rather than higher future costs). Forecast revisions explain most of the negative impacts of ESG incidents on firm value. In Europe, analysts who exhibit greater sensitivity to ESG news provide significantly more precise forecasts than their peers” (abstract).

Gute ESG Performance: ESG Challenges in the Construction of UK Balanced Portfolios for Private Investors: An Analysis of the Availability and Performance of ESG Funds Across Various Asset Classes von Jacob H. Schmidt und Charlie McCann vom 30. Januar 2022 (#26): “… Sharpe ratios and quartile analyses underline the strong outperformance of ESG equity and multi-asset funds …” (S. 138). Mein Kommentar: Vgl. Soehnholz ESG 2021: Passive Allokationsportfolios und Deutsche ESG Aktien besonders gut – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Investmenttalent: How easy is it for investment managers to deploy their talent in green and brown stocks? von David Ardia, Keven Bluteau und Thien Duy Tran vom 17. Januar 2022 (#43): “We explore the realized alpha-performance heterogeneity in green and brown stocks’ universes … Focusing on S&P 500 index firms over 2014–2020 and defining peer groups in terms of firms’ greenhouse gas emission levels, we find that, on average, about 20% of the stocks differentiate themselves from their peers in terms of future performance. We see a much higher time-variation in this opportunity set within brown stocks. Furthermore, the performance heterogeneity has decreased over time, especially for green stocks, implying that it is now more difficult for investment managers to deploy their skills when choosing among low-GHG intensity stocks” (abstract).

Traditionelle Investments

Genderforschung und Alte: Delegating Financial Decisions to Spouse: Evidence from an Experiment with Older Couples von Sylvain Hohna, Anup K. Basua und Uwe Dulleck vom 25. Januar 2022 (#16): “We examine the delegation behavior among Australian heterosexual couples aged 60 years and above … There is evidence of a strong desire to retain agency over financial decisions as 70% of the participants do not delegate a single task to their spouse. Men show extremely low likelihood of delegation. The odds of women delegating to their husbands are nearly 25 times higher than that of men delegating to their wives. This gender difference in delegation behavior is not explained by the difference in the financial competence of the spouses …” (abstract).

Unintuitive Statistik? Statistics and common sense von Nobuyuki Hanaki, Jan R. Magnus und Donghoon Yoo vom 11. Februar 2022 (#26): “… statistics and common sense often diverge. We have seen that “easy” probabilistic questions can now be solved even by students without any background in probability and statistics. … but … Even properly trained quantitative students don’t understand some of the basic ideas of estimation and testing theory, and their intuition is often contrary to statistical theory” (S. 21).

Finanzforschungsansätze: The Complementarity of Experimental and Archival Finance Research von Lucy F. Ackert und Hong Qu vom 8. Februar 2022 (#20): “We provide side-by-side comparisons of research studies that use archival and experimental methods to examine important behavioral finance topics such as the disposition effect, CEO overconfidence, post-earnings announcement drift in stock returns (PEAD), and investor attention. In addition, we contrast the application of archival and experimental methods for a traditional finance topic by discussing a pair of market microstructure studies. The side-by-side examples give the reader a sense of the complementarities between the contributions provided by research using different empirical methods in different research paradigms” (abstract).

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In eigener Sache/Werbemitteilung: Ich durfte diesen Blog im Portfoliojournal (S. 74-76) vorstellen und würde mich über Stimmen bei der Finanzbloggerwahl freuen. Ich freue mich auch über Kommentare, Weiterleitungen und Likes meiner Blogbeiträge. Außerdem nehme ich Sie gerne auf meinen Mailverteiler oder „tagge“ Sie in den LinkedIn Researchupdates, damit Sie keinen Beitrag versäumen. Und haben Sie schon meinen Artikel 9 ESG Fonds FutureVest Equity Sustainable Development Goals gesehen?

Verlustverzerrungen: Wieder >20x neues Research zu den Themen Klima, Inflation, Lieferketten, Nudging, Professorinnen, Crowdworking, Largecaps, Impact, Voting, Verlusten, Behavioral Finance, Aktienprämien, Faktorinvesting, Finanzberatung, AI und ICO (# gibt die Zahl der SSRN Research-Downloads am 13. Februar an)

Umwelt (Verlustverzerrungen)

Teure Klimaschäden: Climate Change and Economic Activity: Evidence from U.S. States von Kamiar Mohaddes, Ryan N. C. Ng, M. Hashem Pesaran, Mehdi Raissi, Jui-Chung Yang vom 30. Januar 2022 (#45): “We investigate the long-term macroeconomic effects of climate change across 48 U.S. states over the period 1963.2016 … We show that climate change has a long-lasting adverse impact on real output in various states and economic sectors, and on labour productivity and employment in the United States” (abstract).

Klimainflation: Feeling the heat: extreme temperatures and price stability von Donata Faccia, Miles Parker und Livio Stracca von der Europäischen Zentralbank vom 9. Dezember 2021 (#63): “Hot summers increase food price inflation in the near term, especially in EMEs. But over the medium term, the impact across the various price indices tends to be either insignificant or negative. Such effect is largely non-linear, being more significant for larger shocks and at higher absolute temperatures. … Overall, our results suggest that temperature plays a non-negligible role in driving medium-term price developments. Climate change matters for price stability” (abstract).

Klimapolitikkritik: Sustainable Finance and Climate Change: Wasteful but a Political Commitment Device? Clemens Fuest, Volker Meier vom 31. Januar 2022 (#20): „We analyze the economic impact of subsidizing investment in “clean” industries … Such a reform increases gross wages, but reduces national income due to the distortion of capital. At given national emissions cap, worldwide emissions rise because imports of the high-carbon good will increase. … (abstract). “If imported units of the dirty good face a lower emission price abroad, they may be subjected to a border adjustment tax set so as to avoid discrimination of home production of the dirty good. This would work like an import tariff on the dirty good. Presumably such a policy reduces national income further while all other effects are mitigated, but not neutralized (S. 24).

Lieferantendefizite: Engaging the Chain: Driving Speed and Scale, CDP Global Supply Chain Report 2021 vom Carbon Disclosure Project und der Boston Consulting Group vom Februar 2022: “Last year, CDP found that GHG emissions in a company’s supply chain are, on average, 11.4 times higher than its operational emissions. … Put simply, companies are not making the necessary transformational changes to truly drive action at the required scale” (S. 3/4).

Soziales (Verlustverzerrungen)

Veganer Stimulus: Environmental Messages Promote Plant-Based Food Choices: An Online Restaurant Menu Study von Blondin, S., S. Attwood, D. Vennard, and V. Mayneris vom World Resources Institute vom 1. Februar 2022: „… the results from this study suggest that nudging consumers via climate messaging in the context in which consumers make diet-related decisions is a promising, scalable strategy for encouraging more sustainable dietary choices” (S. 20). Mein Kommentar: Ich schließe in meinen Aktienportfolios und im Fonds u.a. Schweine- und Rindfleisch, Tierfelle, Tierpelze und kosmetische und grausame Tierversuche so weit wie möglich aus, vgl. Neues SDG Sozialportfolio und noch strengere ESG Anforderungen – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Professorinnendefizit: Female Representation in the Academic Finance Profession von Mila Getmansky Sherman und Heather E. Tooke vom 7. Mai 2021 (#705): “We present new data on female representation in the academic finance profession. In our sample of finance faculty at top-100 U.S. business schools during 2009–2017, only 16.0% are women. … First, after controlling for research productivity, women hold positions at lower-ranked institutions and are less likely to be full professors. There is also evidence that they are paid less. Second, women publish fewer papers. This gender gap exists in research quantity, not quality. Third, women have more female coauthors, suggesting smaller publication networks” (abstract).

Crowdworkingprekariat: Hourly Wages in Crowdworking: A Meta-Analysis von Lars Hornuf und Daniel Vrankar vom 31. Januar 2022 (#78): “ … we consider 20 primary empirical studies, including 104 wages and 76,282 data points from 22 platforms, eight different countries, and a time span of 12 years. We find that, on average, microwork results in an hourly wage of less than $6. This wage is significantly lower than the mean wage of online freelancers, which is roughly three times higher. We find that hourly wages accounting for unpaid work, such as searching for tasks and communicating with requesters, tend to be significantly lower than wages not considering unpaid work”.

Aktienkonsum: The Effect of Stock Ownership on Individual Spending and Loyalty von Paolina Medina, Vrinda Mittal und Michaela Pagel vom 13. September 2021 (#66): “We use data from a new FinTech app called Bumped that opens brokerage accounts for their users and rewards them with company stock when they shop at previously selected brands and stores in several retail categories. … We show that customers increase their spending at the selected companies’ stores after receiving stock rewards in their brokerage accounts. Weekly spending at selected companies’ stores jumps up by 40% and stays persistently high for 3 to 6 months. In terms of US dollars, eligible spending averages $54 per week, so this corresponds to approximately a $23 increase in spending per week” (S. 25/26).

Responsible Investments

Largecap Klimadefizite: Climate Responsibility Monitor 2022 von Thomas Day et al. vom New Climate Institute und Carbon Market Watch vom 7. Februar 2022: “Net zero targets commit to reduce the analysed companies’ aggregate emissions by only 40% on average, not 100% as suggested by the term “net zero”. … Targets for 2030 fall well short of the ambition required to align with the internationally agreed goals of the Paris Agreement … Standard-setting initiatives are lending credibility to low quality and misleading targets. …. Companies’ uptake of readily-available emission reduction measures shows little sense of urgency. … Companies’ plans to offset or “neutralise” their emissions are especially contentious …” (S. 5-7).

ESG Schockeffekte: ESG news spillovers to (and from) the supply chain von Guillaume Coqueret und Vu Le Tran vom 10. Januar 2022 (#134): “… we propose a theoretical model in which changes in ESG ratings affect firms’ returns. … we find that positive shocks are much more beneficial to brown firms, whereas green stocks are, surprisingly, less sensitive to negative shocks. … The slow diffusion of ESG shocks along the value chain paves the way to portfolio choices exercises. Nevertheless, the outcome of portfolio sorts based on ESG shocks to clients or suppliers generates relatively weak performance, with average returns and alphas that are seldom significant” (S. 26).

5 Insti-Impacthürden: Institutional Asset Owners: Strategies for engaging with Asset Managers for Impact vom Global Impact Investing Network vom 12. Januar 2022: “i. Institutional asset owners often set broad impact objectives … ii. Established fund structures limit asset owner influence … iii. Lock-in effect is prevalent once investment and legal terms have been established … iv. Strong desire to adhere to existing role structures and values … v. Difficult for asset owners to gauge impact associated with their portfolio” (S. 4).  Mein Kommentar: Vgl. Divestments bewirken mehr als Stimmrechtsausübungen oder Engagement | SpringerLink

Negative Großeigentümereffekte? Estimating Oligopoly with Shareholder Voting Models von José Azar und Ricardo Ribeiro vom 20. Dezember 2021 (#33): “… we find that overlapping ownership overall (both intra- and interindustry) seems to increase the average airline fare by 4.0%, increase industry profit by 24.4% and decrease consumer surplus by 1.8%, and that these effects are mostly due to overlapping ownership by shareholders other than the “Big Three” asset managers” (S. 34/35).

Verlustverzerrungen

Verlustinformationsgewinne: Why Do People (Not) Invest? The Role of Return and Risk Expectations von Markus Strucks und Stefan Zeisberger vom 30. Januar 2021 (#87): “We find that loss expectations predict behavior while being substantially biased compared to actual historical values. Non-investors tend to be much more pessimistic about the potential of stock market losses, whereas the difference regarding expected returns or volatility is not significant, and therefore unlikely to explain differences in participation. Non-investors exhibit larger bias in perceived risk, resulting in a perceptions gap between investors and non-investors. To close this gap, we inform subjects about historical stock market realizations and re-elicit their beliefs and allocations to a stock index investment. Non-investors who lower their estimated loss likelihoods following our information intervention subsequently invest significantly more in the stock index” (S. 17/18).

Verlustängste: Quantifying loss aversion: Evidence from a UK population survey von David Blake,  Edmund Cannon und Douglas Wright vom 18. Januar 2022 (#172): “… we show that responses for the population as a whole differ substantially from those typically provided by students (who form the basis of many existing studies of loss aversion). The average aversion to a loss of £500 relative to a gain of the same amount is 2.41, but loss aversion correlates signifcantly with characteristics such as gender, age, education, fnancial knowledge, social class, employment status, management responsibility, income, savings and home ownership” (abstract).

Traditionelle Investments (Verlustverzerrungen)

Vermögensüberschätzung: The Leverage Self-Delusion: Perceived Wealth and Cognitive Sophistication von Tiziana Assenza, Alberto Cardaci und Domenico Delli Gatti vom 27. Januar 2022 (#4): “… we find that most subjects perceive a given net worth as greater than its true value …. We identify an explanation relating this misperception to low cognitive sophistication and inattentive thinking. Finally, such wealth misperception predicts greater impatience, lower debt aversion and greater marginal propensities to consume out of positive (transitory) income shocks” (abstract).

Aktienrisiken: Wishful Thinking About the Risk of Stocks in the Long Run: Consequences for Defined Contribution and Defined Benefit Retirement Plans von Zvi Bodie vom 25. Januar 2022 (#81): “It is widely believed that although stocks are very risky in the short run, in the long run they are far less risky and are sure to outperform risk-free investments such as government bonds. This belief is a dangerous fallacy. It leads to the illusion that one can earn an equity risk premium without bearing risk. … the flawed reasoning behind the fallacy: the appeal of the misleading concept of time diversification. … the probability that an equity shortfall is indeed a decreasing function of the length of the investor’s holding period T. But the severity of a possible shortfall, and therefore the cost of insuring against it, is an increasing function of T” (abstract).

Aktienprämienerklärung: Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility von Jules H. van Binsbergen vom 8. Mai 2021 (#2085): “I have constructed a set of counterfactual fixed income portfolios that span the plausible range for the duration profile of the aggregate stock market. I find that over the past several decades stock market indices have exhibited little to no outperformance over these fixed income counterfactuals with comparable (or even higher) volatility profiles. This implies that (1) investors have not received that much compensation for taking long duration dividend risk and (2) stocks do not seem excessively volatile or bubble-prone compared to fixed income alternatives of similar duration. … The results that stocks had poor long-term performance compared to their fixed income counterparts could be driven by a secular decline in long-term real and nominal expected economic growth rates (and/or secular increase in long-term risk premia) over these decades. … the simultaneous decline in both long-term expected growth rates and interest rates helps explain the relatively low correlation between stock and bond returns” (S. 30/31).

Faktorzoologie: Time Series Variation in the Factor Zoo von Hendrik Bessembinder, Aaron Burt und Christopher Hrdlicka vom 11. Februar 2022 (#198): “The ability of the CAPM as well as workhorse three- to six-factor models to explain the cross-section of returns varies substantially over time, providing scope for a broad set of factors. We study 205 previously-identified factors, … our results suggest that the large number of factors with significant explanatory power reflects the complexity of the economic environment, including changes in investor composition, the types of firms listed, and competitive conditions” (abstract).

Kapitalmarktineffizienz: What Explains Momentum? A Perspective From International Data von Amit Goyal, Narasimhan Jegadeesh und Avanidhar Subrahmanyam vom 10. Februar 2022 (#513): “Momentum represents a simple violation of weak-form efficiency, and is termed the “premier” anomaly in equity returns by Fama and French (2008). Why do markets permit such memory in stock prices? … the explanation for momentum that best fits the available international evidence is that due to limited attention, investors underreact to news that dribbles out slowly, as opposed to news releases in discrete chunks. Momentum profits show little evidence of reversal in the long-run, supporting this underreaction explanation. In other analysis, we find robust international evidence that momentum is stronger in up-markets and in low volatility markets” (S. 30).

Unprofessionelle Profis? You can’t always get what you want—An experiment on finance professionals’ decisions for others von Matthias Stefan, Martin Holmén, Felix Holzmeister, Michael Kirchler und Erik Wengström vom 30. Januar 2022 (#13): “To study whether clients benefit from delegating financial investment decisions to an agent, we run an investment allocation experiment with 408 finance professionals (agents) and 550 participants from the general population (clients). …We find that finance professionals show higher decision-making quality than participants from the general population when investing on their own account. However, when deciding on behalf of clients, professionals’ decision-making quality does not significantly differ from their clients’” (abstract).

Alternative Investments

Keine Outperformance: Smart Money, Crowd Intelligence, and AI Using human and artificial intelligence to beat the S&P 500 von Nicolas Rabener vom 3. Februar 2022: “Smart money, crowd intelligence, and AI ETFs have underperformed the S&P 500 since their inception. Somewhat surprisingly, all three have almost the same factor exposures”. Mein Kommentar: Vgl. Soehnholz ESG 2021: Passive Allokationsportfolios und Deutsche ESG Aktien besonders gut – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Rentable (ICO) Transparenz: The Role of Disclosure and Information Intermediaries in an Unregulated Capital Market: Evidence from Initial Coin Offerings von Thomas Bourveau, Emmanuel T. De George , Atif Ellahie und Daniele Macciocchi vom 15. September 2021 (#1530): “Using an international sample of 2,113 initial coin offerings (ICOs) …. we find that, even with limited disclosure verifiability, ventures with higher levels of disclosure have a greater ability to raise capital. Finally, we find that this association is stronger in the presence of mechanisms that lend credibility to ventures’ voluntary disclosures, such as internal governance practices or external scrutiny from information intermediaries“ (abstract).

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Werbemitteilung: Haben Sie schon meinen Artikel 9 ESG Fonds FutureVest Equity Sustainable Development Goals gesehen (vgl. auch Mein Artikel 9 Fonds: Noch nachhaltigere Regeln – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)).

——————————- An meine Leser: Über Kommentare, Weiterleitungen und Likes freue ich mich sehr. Ich „tagge“ Sie auch gerne in den LinkedIn Researchupdates, damit Sie diese immer aktuell zu sehen bekommen. —————————————————————————