Archiv der Kategorie: Indexselektion

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)

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.4^th, 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.3^rd, 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. 3^rd, 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 11^th, 2023):

Seiten: 1 2

Trustee or steward? Researchblogposting 104

Trustee or steward? 13x new research on climate tech and finance, interest rates, plant-based food, greenwashing, reporting, engagement, benchmarks, age, PFOF, and private equity by Richard Ennis at al.

Social and ecological research: Trustee or steward?

Climate tech advantage: Empirically grounded technology forecasts and the energy transition Rupert Way, Matthew C. Ives, Penny Mealy, and J. Doyne Farmer as of Sept. 21^st, 2022: “Most energy-economy models have historically underestimated deployment rates for renewable energy technologies and overestimated their costs. … Here, we use an approach based on probabilistic cost forecasting methods that have been statistically validated by backtesting on more than 50 technologies. … Compared to continuing with a fossil fuel-based system, a rapid green energy transition will likely result in overall net savings of many trillions of dollars—even without accounting for climate damages or co-benefits of climate policy” (p. 1).

Climate interest risk: The effects of climate change on the natural rate of interest: a critical survey by Francesco Paolo Mongelli, Wolfgang Pointner, and Jan Willem van den End as of Nov. 1^st, 2022 (#37): “This survey is the first to systematically review the possible effects of climate change on the natural rate of interest. While r* is a theoretical concept, it is used as a benchmark by central banks to assess the stance of their monetary policy and the room for policy manoeuvre. … In most cases, we find that climate change would have a rather dampening effect on r*, which implies a narrower room for manoeuvre for central banks. … the uncertain impact of climate change on main r* may call for an increasing flexibility in the monetary policy strategy, both in terms of objectives and time horizon. …. An orderly transition will mitigate the economic and financial risks of climate change and thereby also prevent potential downward effects on r*. In addition, active fiscal policies to mitigate climate change might also spur investment demand and thereby put upward pressure on the natural rate” (p. 26/27).

Advert for German investors: “Sponsor” my research e.g. by buying my Article 9 fund. The minimum investment is approx. EUR 50 and so far return and risks are relatively good: 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 November 15th):

Seiten: 1 2

Unsustainable bonds? Researchposting 102

Unsustainable bonds? 20x new research on climate risk, real estate, health, Trump, carbon credits, CDS, bank loans, bonds, interest rates, ESG indexing, pensions, gender, infrastructure, private equity, investment apps, ESG fintechs, climate AI by Roland Fuess, Tabea Bucher-Koenen, Paul Pudschedl, Markus Leippold et al.

Social and Ecological Research: Unsustainable bonds?

Longer hot: 800,000 Years of Climate Risk by Tobias Adrian, Nina Boyarchenko, Domenico Giannone, Ananthakrishnan Prasad, Dulani Seneviratne, and Yanzhe Xiao as of September 9^th, 2022 (#22): “… we study how climate evolves over the past 800,000 years … We find that the temperature-CO2 dynamics are non-linear, so that large deviations in either temperature or CO2 concentrations take a long time to correct … even conditional on the net-zero 2050 scenario, there remains a significant risk of elevated temperatures for at least a further five millennia” (p. 26/27).

Reduce green incentives? The Low-Carbon Rent Premium of Residential Buildings by Angelika Brändle, Roland Füss, Jörg Schläpfer, and Alois Weigand as of September 22^nd, 2022 (#53): “The operation of residential real estate accounts for a large part of worldwide greenhouse gas emissions …. we analyze 39,791 rental contracts from 2,438 residential properties in the Switzerland … our results suggest that apartments in low-carbon buildings have higher net rents compared to dwellings which emit more carbon emissions. … the higher willingness-to-pay for low-carbon housing is not decisively driven by a tenant’s higher preference for living in an environmentally-friendly apartment. … based on capitalization rates from 432 transactions, we suggest that the market value is on average higher for carbon neutral apartment properties due to lower expected risk premiums. … incentive structures for sustainable housing have to be carefully evaluated by policy makers as higher market values of low-carbon buildings compensate investors for cutting CO2 emissions” (p. 17/18).

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 November 1st):

Seiten: 1 2

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. 5^th, 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)

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

Seiten: 1 2

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):

Seiten: 1 2

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):

Seiten: 1 2

ESG ok, SDG gut: Performance 1. HJ 2022

ESG ok, SDG gut: Im ersten Halbjahr 2022 haben meine Trendfolgeportfolios sowie die Portfolios, die sich an den nachhaltigen Entwicklungszielen der Vereinten Nationen ausrichten (SDG), zwar auch an Wert verloren, aber dafür relativ gut gegenüber Vergleichsgruppen performt. Das gilt besonders auch für den FutureVest Equities SDG Fonds. Anders als die meist OK gelaufenen globalen haben spezialisierte ESG Portfolios der Soehnholz ESG GmbH im ersten Halbjahr schlechter als traditionelle Vergleichsportfolios abgeschnitten. Dafür war deren Performance in der Vergangenheit oft überdurchschnittlich.

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.

Auf Seite 2 folgt die Übersicht der Halbjahresrenditen für die 15 nachhaltigen und zwei traditionellen Portfolios von Soehnholz ESG sowie für meinen Fonds.

Seiten: 1 2

ESG and impact investments under fire (Researchpost #89)

Under fire includes >10x new research on ESG and factors, performance, commitment, regulation, scope 3 GHG, market potential, indices, reporting, engagement, and impact washing

Continue on page 2 (# indicates the number of SSRN downloads on June 28th):

Seiten: 1 2

Deadline August: Müssen dann andere Fonds angeboten werden?

Deadline August: Ab August müssen AnlegerInnen aufgrund regulatorischer Vorgaben (MiFID II, IDD) nach ihren Nachhaltigkeitspräferenzen befragt werden. Auch künftig ist zunächst weiterhin die sogenannte Geeignetheit zu prüfen, speziell Renditeerwartungen, Risikokriterien, Zeithorizont und individuelle Umstände von InteressentInnen. Vereinfacht zusammengefasst muss künftig im Anschluss daran gefragt werden, inwieweit eines oder mehrere dreier Nachhaltigkeitsprodukttypen in Anlagen einbezogen werden sollen: Erstens ein Produkt mit einem ein Mindestanteil an ökologisch nachhaltigen Investitionen oder, zweitens, einem Mindestanteil an sozial nachhaltigen Investitionen oder drittens mit einer Mindest-ESG-Gesamtbeurteilung.

Werbemitteilung: Kennen Sie meinen Artikel 9 Fonds FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T mit Fokus auf soziale SDGs und Midcaps, Best-in-Universe Ansatz, getrennte E, S und G Mindestratings?

Auf Seite 2 geht es weiter:

Seiten: 1 2