Archiv der Kategorie: Fonds-/Managerselektion

Nachhaltige ETF-Portfolios

Nachhaltige ETF-Portfolios seit 2015: Vor- und Nachteile

Nachhaltige ETF-Portfolios: Ich der ESG ETF Portfoliopionier. Und immer wieder werde ich gefragt, warum ich so kritisch in Bezug auf nachhaltige ETFs bin. Hier sind meine wichtigsten Argumente:

ETF-Vorteile

+ ETFs sind regelbasiert und transparent

+ ETS sind günstig

+ Es werden immer mehr und nachhaltigere ETFs angeboten

+ Viele Vermittler und Vermögensverwalter mögen ETF

ETF-Nachteile

– ETFs sind meist an kapitalgewichteten Indizes orientiert und enthalten deshalb oft auch wenig-nachhaltige Branchen und Länder

– ETFs sind meist stark diversifiziert und enthalten deshalb in der Regel auch Wertpapiere von wenig nachhaltigen Emittenten

– Nachhaltige ETFs nutzen oft nur unvollständige Ausschlusskriterien und ESG-Selektionsregeln wie Best-in-Class statt Best-in-Universe und aggregierte statt separate ESG-Ratings

Ziel meiner ETF-Portfolios ist es, die Vorteile zu nutzen und die Nachteile so gut wie möglich zu reduzieren. Dazu biete ich Core und Satellite-Portfolios an, allerdings nur B2B, also für Vermögenverwalter und Vermittler.

ESG ETF Core Portfolios (Nachhaltige ETF-Portfolios)

  • Start Ende 2015 als ESG ETF-Portfolio
  • Konzeptionell möglichst nachhaltige ETFs: Start mit Socially Responsible Investment (SRI) ETFs und heute SRI PAB (Paris Aligned Benchmark) und andere, die anhand von separaten E, S und G Best-in-Universe Ratings selektiert werden
  • Angebot von Multi-Asset-, Aktien-, Anleihen-, Income- und risikogesteuerte ETF-Portfolios

SDG ETF Satellite Portfolios (Nachhaltige ETF-Portfolios)

  • Start 2019 als ETF-Portfolio mit Themen-ETFs, die möglichst im Einklang mit den nachhaltigen Entwicklungszielen der Vereinten Nationen (SDG) stehen wie erneuerbare Energien, Gesundheit, nachhaltige Ernährung und Infrastruktur
  • Keine ETFs mit mehr als 5% Allokationen zu unerwünschten Ländern wie China
  • ETF-Selektion mit separaten E, S und G Best-in-Universe sowie SDG-Ratings
  • Fokus auf ETFs aus kleinen und mittelgroßen Unternehmen, damit Überschneidungen mit Core-Portfolios möglichst vermieden werden
  • Angebot einer risikogesteuerten Variante

Core- und Satellite Portfolio-Vergleich

Das Multi-Asset Core-Portfolio enthält aktuell 6 ETFs von 5 Anbietern mit >3.000 Wertpapieren und kostet 0,21% p.a.. Das Satellite-Portfolio beinhaltet 9 ETFs von 5 Anbietern mit >1.000 Aktien zu Kosten von 0,42% p.a.. Damit sind die Portfolios stark risikogestreut und relativ günstig. Und die Performance war bisher typischerweise besser als die von traditionellen aktiv gemanagten Fonds und ähnlich wie die von traditionellen ETF-Portfolios. So spricht nur noch wenig für traditionelle ETF-Portfolios.

Nachhaltige ETF-Portfolios: Fazit

Mit direkten (Aktien-)Portfolios ist mehr mehr Nachhaltigkeit als mit ETFs möglich. Nach meiner eigenen Nachhaltigkeitsbewertung haben die Core-Portfolios einen Nachhaltigkeitsscore von 50% und die Satellite-Portfolios einen von 75% während direkte Aktienportfolios 100% erreichen können. Aber für alle Fans von diversifizieren Portfolios sind solche strengstmöglich nachhaltigen ETF-Portfolios sehr attraktiv. Meine Geschäftspartner und ihre privaten und Stiftungskunden scheinen jedenfalls zufrieden zu sein.

Weiterführende Informationen

Portfolioregeln, Hintergründe, Nachhaltigkeitspolitik etc: Das-Soehnholz-ESG-und-SDG-Portfoliobuch.pdf (soehnholzesg.com) und zum Beispiel Artikel 9 ETF-Portfolios bzw. PAB ETF-Portfolios sind attraktiv – Responsible Investment Research Blog (prof-soehnholz.com)

Performances: Soehnholz ESG (und „Historische Zeitreihen der Portfolios, ebenda) und letzter Blogpost dazu Soehnholz ESG 2021: Passive Allokationsportfolios und Deutsche ESG Aktien besonders gut – Responsible Investment Research Blog (prof-soehnholz.com)

Woodpecker as picture for beyond ESG research, picture by pixabay

Beyond ESG: Researchposting 116

Beyond ESG: 21x new research on bioenergy, CSR, carbon policy, greenium, ESG ratings, ecolabel, greentech, transition, fiduciaries, impact, activism, insiders, 1/n, SPACs, private equity and female founders by Timo Busch, Andreas Hoepner and many more

Social and ecological research

High bio-emissions: Emissions of Wood Pelletization and Solid Bioenergy Use in the United States by Huy Tran, Edie Juno, and Saravanan Arunachalam as of Dec. 27th, 2022 (#6): “… we find that this sector’s emissions could be potentially underestimated by a factor of two. Emissions from biomass-based facilities are on an average up to 2.8 times higher than their non-biomass counterpart per unit energy. Up to 2.3 million people live within 2km of a biomass facility, and who could be subject to adverse health impacts from their emissions. Overall, bioenergy sector contributes to about 3 – 17% of total emissions from all energy, i.e., electric and non-electric generating facilities in the U.S. In comparison to residential wood combustion, bioenergy sector emissions are lower in VOC, CO, NH3, and directly emitted PM2.5, but higher in NOX and SO2. We also review some drivers of bioenergy expansion, various feedstocks and technologies deployed with an emphasis on wood-based bioenergy and discuss their implications for future air quality and health impacts” (abstract).

Research overview: The Past and Future of Corporate Sustainability Research by Vanessa Burbano, Magali A. Delmas, and Manuel Jesus Cobo as of Oct. 13th, 2022 (#122): “… we present a comprehensive review of the field of corporate sustainability using a science mapping co-word bibliometric analysis. Through analysis of the co-occurrence of 25,701 keywords in 11,962 sustainability-related articles from 1994-2021, we identify and graphically illustrate the thematic and theoretical evolution of the field, in addition to emerging and waning research trends in the field. We characterize the most impactful articles of sustainability research in terms of disciplinary focus, topic of focus, dependent variable of focus, unit of analysis, and research method employed” (abstract).

Climate policy works: Carbon Policy Surprises and Stock Returns: Signals from Financial Markets by Martina Hengge, Ugo Panizza, and Richard Varghese as of Feb. 1st, 2023 (#18): “…. the creation of the EU Emissions Trading System (ETS) in 2005. This “cap and trade” scheme places a limit on the right to emit greenhouse gases and allows companies to trade emission allowances. … we show that regulatory surprises that result in an increase in carbon prices have a negative and statistically significant impact on stock returns, which increases with a firm’s carbon intensity. This negative relationship becomes even stronger when we drop firms in sectors which participate in the EU ETS, suggesting that investors price in transition risk stemming from the shift towards a low-carbon economy“ (p. 22).

Advert for German investors: “Sponsor” my research by investing in and/or recommending my article 9 mutual fund. I focus on social SDGs and midcaps and use separate E, S and G best-in-universe minimum ratings. The fund typically scores very well in sustainability rankings, e.g. this free new tool, and the performance is relatively good: FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T

… continues on page 2 (# indicates the number of SSRN downloads on February 5th, 2023):

Nature picture as illustration for female ESG investing research blog

Female ESG power and more (Researchposting 111)

Female ESG power: >10x new research on human rights ratings, child care, female ESG power, climate defaults, brown offloads, green consumers, green benchmarks, transition risks, ESG shocks, leasing, UN PRI, timberland and hedge funds by Gaizka Ormazabal, Frauke Peter, Joshua Rauh, Thierry Roncalli et al.

Social research: Female ESG power

Human rights ratings? ESG Ratings and Human Rights Due Diligence – How can ESG ratings be used to assess the human rights due diligence practices of companies? by Emil Sirén Gualinga as of Jan.4th, 2023 (#45): “… the paper examined the relationship between ESG ratings and Corporate Human Rights Benchmark (CHRB) scores. The findings indicate that in general, ESG scores are not a good proxy for assessing companies’ human rights due diligence processes and practices. Moreover, whereas the relationship between ESG ratings and CHRB scores are inconsistent, a low score on Refinitiv and ISS may indicate that a company lacks adequate human rights due diligence processes. Conversely, a high score on Refinitiv or ISS is not necessarily an indicator of strong human rights due diligence processes. Lastly, the paper also acknowledges that the CHRB itself has limitations, as it does not preclude companies with a track record of being involved in human rights abuses from achieving high scores” (p. 15).

Social application-help: Early Child Care and Labor Supply of Lower-SES Mothers: A Randomized Controlled Trial by Henning Hermes, Marina Krauß, Philipp Lergetporer, Frauke Peter, Simon Wiederhold as of Jan.3rd, 2023 (#16): “We present experimental evidence that enabling access to universal early child care for families with lower socioeconomic status (SES) increases maternal labor supply. Our intervention provides families with customized help for child care applications … The treatment increases lower-SES mothers’ full-time employment rates by 9 percentage points (+160%), household income by 10%, and mothers’ earnings by 22%. … Overall, the treatment substantially improves intra-household gender equality in terms of child care duties and earnings“ (abstract).

Female ESG power: The Eco Gender Gap in Boardrooms by Po-Hsuan Hsu, Kai Li, and Yihui Pan as of Jan. 3rd, 2023 (#151): “Using novel firm- and facility-level measures of corporate environmental performance over the period 2002–2021, we establish a robust and positive association between board gender diversity and corporate environmental performance. This relation appears to be causal … We find that female directors bring more expertise on sustainability in boardrooms than male directors. Female directors are more likely to sit on sustainability-related committees and key monitoring committees than male directors. Boards with more female directors are more likely to link top executives’ compensation to corporate ESG performance” (p. 34). My comment: Similar results see 140227 ESG_Paper_V3 1 (naaim.org)

Advert for German investors: “Sponsor” my research by investing in and/or recommending my article 9 mutual fund. I focus on social SDGs and midcaps and use separate E, S and G best-in-universe minimum ratings. The fund typically scores very well in sustainability rankings, e.g. this free new tool, and the performance is relatively good: FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T

… continues on page 2 (# indicates the number of SSRN downloads on January 11th, 2023):

Artikel 9 ETF Portfolios: Eichhörnchenbild als Symbol von Pixabay

Artikel 9 ETF-Portfolios bzw. PAB ETF-Portfolios sind attraktiv

Artikel 9 ETF-Portfolios: Mein erstes nachhaltiges ETF-Portfolio habe ich 2015 entwickelt und Anfang 2016 online gestellt. Meines Wissens war dieses ESG ETF-Portfolio damit das erste derartige öffentliche Portfolio weltweit. Das Ziel war und ist weiterhin, eine möglichst breite Asset-Allokation mit möglichst nachhaltigen ETFs umzusetzen (vgl. Das-Soehnholz-ESG-und-SDG-Portfoliobuch.pdf (soehnholzesg.com), S. 95ff). Das hat bisher nicht nur konzeptionell, sondern auch rendite- und risikomäßig gut funktioniert (vgl. www.soehnholzesg.com).

Meine erste nachhaltige ETF-Portfoliogeneration: Konzeptionelle Selektion

Zum Start gab es nur nachhaltige ETFs für hochkapitalisierte Aktien aus Industrieländern und für Unternehmensanleihen. Erst nach und nach konnten zusätzliche Marktsegmente mit verantwortungsvollen ETFs abgedeckt werden. Aktuell sind auch nachhaltige ETFs für Immobilien- und Infrastrukturaktien, niedrig kapitalisierte Unternehmen, Unternehmen aus Entwicklungsländern und, als mein Ersatz für Staatsanleihen, Anleihen multilateraler Entwicklungsbanken verfügbar.

Auf Seite 2 geht es weiter:

ESG regulation: Das Bild von Thomas Hartmann zeigt Blumen in Celle

ESG regulation and more (Researchblog #101)

ESG regulation: >15x new research on climate, regulation, (un)sustainable funds, SDGs, greenium, ESG reporting, voting, wealth, buy-and-hold, private equity, private real estate and AI by Roman Inderst, Andreas Hoepner et al.

Ecological and social and governance research: ESG regulation

Climate-heuristics: Harnessing the power of communication and behavior science to enhance society’s response to climate change: A white paper for comment by Edward Maibach, Sri Saahitya Uppalapati, Margaret Orr, and Jagadish Thaker as of October 5th, 2022 (#181): “… we provide an evidence-based heuristic for guiding efforts to share science-based information about climate change with decisionmakers and the public at large. … We .. also provide a second evidence-based heuristic for helping people and organizations to change their climate change-relevant behaviors, should they decide to. These two guiding heuristics can help scientists and other to harness the power of communication and behavior science in service of enhancing society’s response to climate change” (abstract).

Advert for German investors: “Sponsor” my free research e.g. by buying my Article 9 fund. The minimum investment is around EUR 50. FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T: I focus on social SDGs and midcaps and use best-in-universe as well as separate E, S and G minimum ratings.

For my approach to this blog see 100 research blogposts since 2018 – Responsible Investment Research Blog (prof-soehnholz.com)

For more current research please go to page 2 (# indicates the number of SSRN downloads on October 25th):

Picture of a tree as symbol for the title stewardship

Stewardship etc. (Researchblog #100)

Stewardship: >20x new research on inequality, biodiversity, ESG incidents, carbon credits and indexing, greenium, stewardship, gender, social taxonomy, withdrawals and art investing by authors such as Florian Berg, Laurens Swinkels and many more

Social and Ecological Research: Stewardship

Arguments for climate action: ‚It Makes No Difference What We Do‘: Climate Change and the Ethics of Collective Action by Jonathan Crowe as of Oct. 5th, 2022 (#7): “It has become progressively more difficult to deny the existence of anthropogenic climate change as the scientific evidence has mounted …. Those who are opposed to such action sometimes justify their stance by suggesting that even though climate change is real and dangerous, there is no obligation to do anything further about it, because this would be futile … I argued that (1) everyone has a duty to do their share for the global common good, which entails combating climate change; (2) even micro-contributions to climate change plausibly create a moral responsibility to counteract their effects; (3) in any case, we would still have a duty to combat climate change even if, contrary to the evidence, this made no difference whatsoever to the outcome; (4) this result can be explained by appealing to the fact that not doing one’s share constitutes a kind of individual and collective self-harm” (p. 13). My comment: This is in line with my approach, see e.g. Absolute and Relative Impact Investing and additionality – Responsible Investment Research Blog (prof-soehnholz.com)

Advert for German investors: “Sponsor” my free research e.g. by buying my Article 9 fund. The minimum investment is around EUR 50. FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T: I focus on social SDGs and midcaps and use best-in-universe as well as separate E, S and G minimum ratings.

Please go to page 2 (# indicates the number of SSRN downloads on October 18th):

Heidelandschaft von Gudrun Becker als Bild für den Beitrag Grüne Pillen

Green pills (Researchblog #95)

Green pills: >10 new research studies on CEO pay, climate scenarios and reporting, green and black bonds, big asset managers, green pills and responsible investing barriers, fund ratings, tail risks, hedge funds and fintech

Advert: Check my article 9 SFDR fund FutureVest Equity Sustainable Development Goals: With my most responsible stock selection approach I focus on social SDGs and midcaps and use best-in-universe as well as separate E, S and G minimum ratings, see ESG plus SDG-Alignment mit guter Performance: FutureVest ESG SDG – Responsible Investment Research Blog (prof-soehnholz.com)

Ecological and social research

Misleading climate scenarios? Institutional decarbonization scenarios evaluated against the Paris Agreement 1.5 °C goal by Robert J. Brecha et al as of August 16th, 2022: “… we … evaluate Paris Agreement compatibility of influential institutional emission scenarios from the grey literature, including those from Shell, BP, and the International Energy Agency. … Of the scenarios assessed, we find that only the IEA Net Zero 2050 scenario is aligned with the criteria for Paris Agreement consistency employed here”.

Continue on page 2 (# indicates the number of SSRN downloads on September 5th):

Zeitungen als Bild für ESG reporting

ESG reporting outperformance? (Researchblog #93)

ESG reporting outperformance: >20x new research on gender, food, climate risk, central banks, voluntary and mandatory ESG reporting and ratings, EU taxonomy, article 9 funds, divestments, voting, (debtholder) engagement, impact, capital costs, banks, conviction, SRI ETFs, islamic funds and real estate

Advert: Check my article 9 SFDR fund FutureVest Equity Sustainable Development Goals (-0,5% YTD). With my most responsible stock selection approach I focus on social SDGs and midcaps and use best-in-universe as well as separate E, S and G minimum ratings.

Social and Ecological Research

Genderlaw effects: Legal Gender Equality as a Catalyst for Convergence by Can Sever of the International Monetary Fund as of August 10th, 2022 (#4): “This paper … shows that more gender-equal laws facilitate income convergence across countries over time, thereby mitigating income inequality across countries. The results point to large economic gains from moving toward legal gender equality” (p. 26/27).

Continue on page 2 (# indicates the number of SSRN downloads on August 11th):

ESG regulation: Das Bild von Thomas Hartmann zeigt Blumen in Celle

ESG overall (Researchblog #91)

ESG overall: >15x new research on fixed income ESG, greenium, insurer ESG investing, sin stocks, ESG ratings, impact investments, real estate ESG, equity lending, ESG derivatives, virtual fashion, bio revolution, behavioral ESG investing

Advert: Check my article 9 SFDR fund FutureVest Equity Sustainable Development Goals (-2,9% YTD). With my most responsible stock selection approach I focus on social SDGs and midcaps and use best-in-universe as well as separate E, S and G minimum ratings.

Continue on page 2 (# indicates the number of SSRN downloads on July 25th):

Bild zum Beitrag ESG skeptical zeigt eine Ansicht einer Allee aus dem Celler Französischen Garten

ESG skeptical research (Researchblog #90)

ESG skeptical: >15x new and skeptical research on ESG and SDG investments, performance, cost of capital, reporting, ratings, impact, bonifications and artificial intelligence

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.

Continue on page 2 (# indicates the number of SSRN downloads on July 5th):