Archiv der Kategorie: Responsible Investment

Konzentration und SDG-Fokus gut: Meine 9 Monats Performance 2022

Konzentration und SDG: In den ersten 9 Monaten 2022 haben meine Portfolios zwar absolut schlecht, aber in vielen Fällen relativ gut performt.

ETF-Portfolios: Nachhaltige ETFs oft ähnlich wie aktive traditionelle Fonds

Das nicht-nachhaltige regelbasierte Weltmarkt ETF-Portfolio hat in den ersten 9 Monaten 2022 -14,2% verloren. Das ist leicht besser als aktive Mischfonds, die etwa -14,7% verloren haben. 2021 war der Vorsprung mit +17,9% gegenüber +9,5% noch erheblich höher. Das ebenfalls nicht-nachhaltige Alternatives ETF-Portfolio hat mit -12,6% (+35,8% in 2021) etwas besser als traditionelle Aktienindizes (-13,2% für einen globalen Aktienindex-ETF) abgeschnitten.

Das relativ breit gestreute ESG ETF-Portfolio schneidet in den ersten 9 Monaten 2022 mit -14,3% sehr ähnlich wie das traditionelle Weltmarktportfolio und wie aktive Mischfonds ab. In 2021 war es mit +12,2% aber nennenswert besser als aktive Mischfonds.

Das ESG ETF-Portfolio ex Bonds hat in den ersten 9 Monaten 2022 -19,4% verloren. Traditionelle Aktien-ETFs lagen mit -13,2% erheblich besser (2021 +21,4% und +25,4%). Traditionelle aktive Aktienfondsmanager waren mit -17,4% ebenfalls etwas besser (2021 +23,2%). Das ESG ETF-Portfolio ex Bonds Income rentierten mit -18,5% (2021: +23%) erheblich schlechter als aktive traditionelle Dividendenfonds mit -7,9% (+26,3%). Dagegen hat sich das ESG ETF-Portfolio ex Bonds Trend mit -3,5% (2021: 16%) wiederum viel besser als aktive Mischfonds gehalten (-14,7% und +9,5% in 2021).

Das ESG ETF-Portfolio Bonds (EUR) hat in den ersten neun Monaten 2022 mit -13,2% etwas besser abgeschnitten als traditionelle Anleihe-ETFs (-14,3%), nachdem die Performance in 2021 mit -2,8% vergleichbar war.

Das aus thematischen Aktien-ETFs bestehende SDG ETF-Portfolio hat in den ersten 9 Monaten mit -14,2% (2021: +11,9%) etwas schlechter als traditionelle Aktienindizes (-13,2%) abgeschnitten. Das SDG ETF-Trendfolgeportfolio hat mit -4,6% (2021: +7,5%) dagegen viel besser performt als aktive Mischfonds.

Pure ESG und SDG Aktienportfolios: Konzentration und SDG sind relativ gut

In den ersten 9 Monaten 2022 hat das aus 30 Aktien bestehende Global Equities ESG Portfolio mit -17% (2021: +19,8%) nennenswert schlechter abgeschnitten als traditionelle Aktien-ETFs (-13,5%) aber besser als das erheblich stärker diversifizierte ESG ETF-Portfolio ex Bonds (-19,4%). Gegenüber aktiv gemanagten traditionellen Fonds (-17,4% nach +23,2% im Vorjahr) ist die Rendite aber etwas besser. Das aus nur aus 5 Titeln bestehende Global Equities ESG Portfolio S hat mit -17,4% etwas vergleichbar abgeschnitten. Aber mit den +32,1% aus 2021 liegt es weiter hervorragend im Performancevergleich.

Das Infrastructure ESG Portfolio hat -12,5% verloren (2021: +6,3%) und liegt damit weiter stark hinter traditionellen Infrastrukturportfolios (-3,5% für aktive Fonds und +1% für ETFs) zurück. Das liegt vor allem daran, dass Infrastruktur für und Energieerzeugung mit fossilen Energieträgern ausgeschlossen sind.

Der Real Estate ESG Portfolio hat in den ersten 9 Monaten 2022 -30,4% (+22,9% in 2021) verloren. Das ist ähnlich wie traditionelle passive Immobilienaktienportfolios (-30%).

Das Deutsche Aktien ESG Portfolio hat in den ersten neun Monaten 2022 -33,8% (+21% in 2021) verloren. Das ist schlechter als vergleichbare traditionelle passive Benchmarks (-30,8%) bzw. aktive Fonds (-28,9%). Zusammen mit dem Vorjahr liegt mein nachhaltiges Portfolio im Renditevergleich aber auf einem ähnlichen Niveau.

Das auf soziale Midcaps fokussierte Global Equities ESG SDG hat -13,1% erzielt (+22% in 2021), also erheblich besser als andere globale Aktienportfolios. Das Global Equities ESG SDG Trend Portfolio konnte mit -7,6% (+14,5% in 2021) wesentlich besser abschneiden als traditionelle Mischfonds, nachdem es auch im Vorjahr schon vorne lag. Das Global Equities ESG SDG Social Portfolio wurde erst am 21. Januar gestartet und wird deshalb in diesem Vergleich noch nicht berücksichtigt, die ersten Monate sind jedoch relativ betrachtet sehr gut gelaufen.

Mein FutureVest Equity Sustainable Development Goals R Fonds, der am 16. August 2021 gestartet ist, hat in den ersten 9 Monaten 2022 -13% verloren und liegt damit ebenfalls im Wettbewerbsvergleich gut, vor allem im Vergleich zu anderen aktiv gemanagten Aktienfonds. Das gilt auch für die Volatilität von 14% und den maximalen zwischenzeitlichen Verlust von 13,8% (vgl. auch Mein Artikel 9 Fonds: Noch nachhaltigere Regeln – Responsible Investment Research Blog (prof-soehnholz.com)),

Fazit

Vereinfacht zusammengefasst haben meine konzentrierten direkten Aktienportfolios (vgl. 30 stocks, if responsible, are all I need – Responsible Investment Research Blog (prof-soehnholz.com) besser als vergleichbare ETF-Portfolios rentiert. Und nachhaltige Portfolios haben zwar schlechter als traditionelle ETF-Portfolios, aber vergleichbar mit aktiv gemanagten traditionellen Fonds performt. Im Einzelnen rentierten das Infrastruktur- und das Deutsche Aktienportfolio relativ schlecht. Relativ gut waren dagegen die Trendfolge und die SDG Portfolios sowie mein FutureVest Fonds.

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).

ESG End? (Researchblog #98)

ESG End? >10x new research on tourism, waste, health, emerging markets, greenium, ESG ratings, impact investments, investment frameworks, AI, buyouts and venture capital by Alex Edmans, Timo Busch, Uwe Walz, Christian Thier and others

Social and Ecological research

Dirty vacations: Dirty Dance: Tourism and Environment by Serhan Cevik as of September 26^th, 2022 (#7): “… international tourism has a statistically and economically significant effect on CO2 emissions in a relatively homogenous panel of 15 tourismdependent Caribbean countries over the period 1960–2019. … an increase of 10 percent in the number of international visitors is associated with an increase of as much as 8 percent in CO2 emissions …. The negative impact of tourism on environmental quality occurs through several channels in Caribbean countries including carbon-intensive energy production and consumption of material resources in accommodation, transportation and other tourist activities, and changes in land use associated with tourism-related investments” (p. 13).

Advert for German investors: “Sponsor” my free research by buying my Article 9 fund. The minimum investment is around EUR 50. FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T: 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))

Please go to page 2 (# indicates the number of SSRN downloads on September 27th):

Seiten: 1 2

Passive positive (Researchblog #96)

Passive positive: >10x new research on youngsters, scope 3, ESG leaders, welfare, ratings, index investing, fractional trading, NFT and more

Social and ecological topics

Slow climate awareness: The Interactions of Social Norms About Climate Change: Science, Institutions and Economics by Antonio Cabrales, Manu García, David Ramos Muñoz, Angel Sánchez as of September 8^th, 2022 (#4): “We study the evolution of interest about climate change between different actors of the population … We find large swings over time of said interest for the general public … and little interest among economists …. The general interest science journals and policymakers have a more steady interest, although policymakers get interested much later“ (abstract).

Youngsters push companies: Wireless investors by Sergio Alberto Gramitto Ricci and Christina M. Sautter as of September 6^th, 2022 (#135): “Millennials and GenZ’ers are increasingly powerful. … In their various stakeholder roles, they are pressuring corporations to also act … Along with this continued increase in direct investing, we are likely to see Millennials and GenZ’ers desires to directly engage with corporations (p. 12).

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)

Please continue on page 2:

Seiten: 1 2

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

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 16^th, 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):

Seiten: 1 2

Responsible investing limits (Researchblog #94)

Responsible investing limits: >10x new research on negative emissions, biodiversity offsets, inequality, social capital, green cost of equity, CSR, article 9, engagement, dividends, VCs, crypto

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.

Ecological and Social Research

Climate prayers? Governing-by-aspiration? Assessing the nature and implications of including negative emission technologies (NETs) in country long-term climate strategies by Heather Jacobs, Aaart Gupta and Ina Möller as of August 9^th (#3): “… countries are now submitting long-term climate strategies to the United Nations Framework Convention on Climate Change (UNFCCC) process. These strategies include within them speculative future use of ‘negative emissions technologies’ (NETs). NETs are interventions that remove carbon from the atmosphere, ranging from large-scale terrestrial carbon sequestration in forests, wetlands and soils, to use of carbon capture and storage technologies. … most estimate substantial potential for future use of NETs even in the face of acknowledged uncertainties. This, we suggest, may have the consequence of resulting in a spiral of delay characterized by the promise of future NET options juxtaposed with the simultaneous uncertainty around these future options” (abstract).

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

Seiten: 1 2

ESG plus SDG-Alignment mit guter Performance: FutureVest ESG SDG

Aktuell gibt es immer wieder Meldungen über angeblich schlechte Renditen nachhaltiger Geldanlagen. Mein FutureVest Equity Sustainable Development Goals R Aktienfonds (im Folgenden: FutureVest ESG SDG, vgl. www.futurevest.fund), für den ich (fast) nur strenge Nachhaltigkeitskriterien nutze, hat mit -0,3% seit Jahresanfang vergleichsweise gut performt. Er ist im aktuellen Jahr etwa ein Prozentpunkt besser als eine traditionelle passive Benchmark und vier Prozentpunkte besser als vergleichbare aktiv gemanagte Fonds (vgl. Morningstar.de und MSCI ACWI NR USD bzw. Aktien weltweit Standardwerte Blend mit Stand vom 17.8.2022).

Auf Seite 2 geht es weiter:

Seiten: 1 2

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 10^th, 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):

Seiten: 1 2

Worsening ESG investors (Researchblog #92)

Worsening ESG: >10x new research studies on bank climate risks, ESG model problems, governance, ecology, thematic ESG investments, shareholder engagement, exclusions, fund drawdowns and venture capital

Continue on page 2 (# indicates the number of SSRN downloads on August 9th):

Seiten: 1 2

30 stocks, if responsible, are all I need

30 stocks: In my last mini-survey on Linked-In I asked if 30, 300 or 3000 stocks can be sufficient for a global diversified investment portfolio. The survey answers were almost equally split between 30 and 300.

Popular cheap and expensive diversification

There is a lot of research showing that diversification is great to reduce portfolio volatility or other performance measures. Also, very diversified cheap ETFs are cheap and abundant and large mutual funds typically diversify broadly. Specialized investment boutiques often claim that any investment which is somewhat different from existing ones can improve investor portfolio diversification and therefore should be added to investor portfolios. There is little discussion though on the marginal utility of diversification. To illustrate this, think of expensive additional private capital investments which may reduce measured portfolio volatility but are expensive.

Sustainability as gamer-changer for diversification and research on minimum diversification

Sustainable investing may change the focus on diversification. If one starts with the most sustainable investment, every additional investment reduces the average sustainability of a portfolio (see Nachhaltiges Investieren: Konzentrieren statt diversifizieren?).

There is some research showing that concentrated portfolios can perform well, e.g. Portfolio Diversification: How Many Stocks Are Enough? As of Feb. 17, 2015 by Larry Swedroe. That research suggests that about 100 stocks may be sufficient.

Portfolio concentration and the performance of individual investors by Zoran Ivković, Clemens Sialm, and Scott Weisbenner as of March 7, 2005: “Stock investments made by households that choose to concentrate their brokerage accounts in a few stocks outperform those made by households with more diversified” (abstract).

Best Ideas by Miguel Antón, Randolph B. Cohen, and Christopher Polk as of Nov. 12, 2012 finds: “… the best ideas of active managers generate up to an order of magnitude more alpha than their portfolio as a whole … The poor overall performance of mutual fund managers in the past is not due to a lack of stock-picking ability, but rather to institutional factors that encourage them to overdiversify … We point out that these factors may include not only the desire to have a very large fund and therefore collect more fees [as detailed in Berk and Green (2004)] but also the desire by both managers and investors to minimize a fund’s idiosyncratic volatility: Though of course managers are risk averse, it seems investors may judge funds irrationally by measures such as Sharpe ratio or Morningstar rating. Both of these measures penalize idiosyncratic volatility, a penalty whose benefits in a portfolio context are extremely questionable” (p. 32).

On Diversification by Ben Jacobsen and Frans de Roon as of Nov. 21^st, 2012: “Over 60% of the time we cannot reject our null hypothesis of stock picking in favor of well diversified benchmarks, even for individual stocks. Stock picking dominates during recessions, diversification during expansions” (abstract).

The Decision to Concentrate: Active Management, Manager Skill, and Portfolio Size by Keith C. Brown, Cristian Tiu, and Uzi Yoeli as of September 7^th, 2017: “… we present a simple theoretical model showing that the greater the manager’s skill level, the more concentrated the portfolio should be. Second, we conduct an extensive simulation analysis of the capacity to make accurate ex ante security return forecasts and show that skilled managers would select only about 3-20% of the available securities and that the portfolio concentration decision is directly proportional to investment prowess. Finally, we provide an empirical examination of the actual skill-concentration relationship for actively managed U.S. equity funds over 2002-2015, documenting that managers who demonstrated skill in the past do form portfolios with higher concentration levels” (abstract).

Note: Also see some more recent contributions in Diversifikationsgrenzen und mehr neues (ESG) Research – Responsible Investment Research Blog (prof-soehnholz.com)

30 stocks: Test-it-yourself

You can test the limited effects of diversification yourself. A simple approach is to compare e.g. the S&P Global 100 with the S&P Global 1200. I especially like the free backtest function of Silicon Cloud’s Portfolio Visualizer tool (Backtest Portfolio Asset Allocation (portfoliovisualizer.com)). You can start with one stock and arbitrarily add other stocks and discover how fast the average portfolio risk decreases with mostly limited changes in returns.

30 stocks are enough for me

I typically use 30 stocks for my direct equity portfolios without any minimum or maximum allocations to countries or industries. My own experience with such concentrated direct equity portfolios is very positive. My Global Equities ESG S portfolio which includes only my top 5 responsible stocks has a better return even assuming annual fees of 1,2% than a traditional global diversified ETF with hundreds of stocks. Also, my Global Equities ESG and Global Equities SDG portfolios with 30 “most-responsible” stocks each perform very similar after fees compared to a very diversified global ETF (see ESG ok, SDG gut: Performance 1. HJ 2022 – Responsible Investment Research Blog (prof-soehnholz.com) and www.soehnholzesg.com). And my mutual fund with 30 stocks currently has a YTD return of -0,5% and thus belongs to top 10% of all equity funds worldwide (FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T).

I published a shorter earlier version on LinkedIn on August 8^th, 2022

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