Archiv der Kategorie: Titelgewichtung

Regeländerungen: Grafik zeigt die 3 Basis Investmentphilosophien

Regeländerungen: Nachhaltig aktiv oder passiv?

Regeländerungen: Viele Untersuchungen zeigen, dass aktiv gemanagte Portfolios typischerweise schlechter rentieren als passive (z.B. ETFs). Bei der Gründung meines Unternehmens im Jahr 2016 wollte ich deshalb nur ETFs nutzen. Allerdings habe ich weder 2016 noch heute genug ETFs gefunden, die mir persönlich nachhaltig genug sind. Deswegen habe ich besonders nachhaltige Aktien-Modellportfolios entwickelt und biete inzwischen auch einen darauf aufbauenden Investmentfonds an. Die Portfolios und der Fonds sind regelbasiert, aber nicht passiv.

Man kann jede Regel diskutieren. Vor allem mein Postulat, dass ich Regeln verändern können möchte, wird manchmal kritisch hinterfragt. In diesem Beitrag erkläre ich, warum und wie ich meine Regeln seit dem Start meiner ersten Environmental-, Social-, Governance- (ESG) und Sustainable Development Goal (SDG) Portfolios verändert habe (detaillierte Dokumentationen dazu siehe Das Soehnholz ESG und SDG Portfoliobuch und ältere Versionen im Archiv – Soehnholz ESG).

Transparent- oder intransparent regelbasiert?

Ich bin schon lange ein Fan regelbasierter Investments (vgl. z.B. Investmentfondsselektion: Regeltransparenz nach Vorne (prof-soehnholz.com)). Anders als bei diskretionär aktiv gemanagten Portfolios kann man anhand von Regeln viel besser verstehen, wie sich Portfolios verhalten. Dafür müssen die Regeln und – für die Nachvollziehbarkeit auch die Informationen, die den Regeln zugrunde liegen -transparent und einfach zugänglich sein. Eine Regel kann beispielsweise lauten, dass eine Aktie bei einem schlechten unternehmensinternen ESG-Rating verkauft werden muss. Für Unternehmensexterne ist das wenig transparent.

Ähnliches gilt für die Nutzung von Prognosen, die sich oft schon bei kleinen Inputänderungen stark verändern können und die meistens von Externen nur schwer nachvollziehbar sind.

Wenn die Regel aber lautet, dass immer die 30 Aktien von den Unternehmen mit der monatlich gemessenen höchsten Marktkapitalisierung im Portfolio sind, dann ist das ziemlich transparent.

Weder aktiv noch passiv?

Zwischen aktiv und passiv gibt es viele Zwischenformen. So sind aktiv gemanagte Fonds, die sich eng an Indizes orientieren, in Bezug auf ihre Portfolios oft kaum von passiven Indextrackern zu unterscheiden. Und manche quantitativ orientierten aktiven Investmentmanager vermarkten sich als regelbasiert. Deren Regeln werden aber meistens nicht transparent offengelegt. Vielfach sind auch die für die Regeln genutzten Daten nicht einfach durch Externe prüfbar (Blackboxes).

Selbst wenn Regeln offengelegt werden, sind sie oft sehr komplex und wenig robust, wie das bei vielen sogenannten Optimierungsmodellen der Fall ist (vgl. z.B. Kann institutionelles Investment Consulting digitalisiert werden? Beispiele (prof-soehnholz.com).

3 mögliche Investmentphilosophien

Eine Investmentphilosophie definiere ich als ein umfassendes und kohärentes System von Investmentüberzeugungen (vgl. Investmentphilosophie: Prognosefans sollten prognosefreie Portfolios nutzen (prof-soehnholz.com). Dabei unterscheide ich drei Arten von Investmentphilosophien: Diskretionäre, regelbasiert-prognosebasierte und regelbasiert-prognosefreie.

Die meisten Investoren verfolgen diskretionäre Investmentphilosophien. Für die Umsetzungen nutzen sie aktive Fonds aber auch ETFs. Manche konsequenten „Quant“-Anleger können der regelbasiert-prognosebasierten Kategorie zugeordnet werden. Die regelbasiert-prognosefreie Philosophie-Variante ist sehr selten.

Meine regelbasiert-prognosefreie ganzheitliche (Multi-Asset) Investmentphilosophie ist dieser dritten Kategorie zuzuordnen. Ich nenne sie RETRO-Philosophie. RETRO steht dabei für regel- und evidenzbasiert, transparent, robust und optimierungsfrei (Details siehe 240110-Das-Soehnholz-ESG-und-SDG-Portfoliobuch.pdf (soehnholzesg.com)).

Meine Regelbestandteile: Nur nachhaltig, nicht finanziell

Wissenschaftliches Research zum Beispiel zu aktiven und Faktorinvestments zeigt, dass es keine klaren dauerhaften Outperformancefaktoren gibt. Aber ich kann umso anspruchsvollere Nachhaltigkeitsregeln nutzen, je weniger nicht-nachhaltige (traditionelle) Kriterien ich für die Wertpapier-Selektion nutze. Deshalb verwende ich keine klassischen finanziellen sondern (fast) nur Nachhaltigkeits-Selektionskriterien (weitere Details siehe 240110-Das-Soehnholz-ESG-und-SDG-Portfoliobuch.pdf (soehnholzesg.com)).

Meine Aktienselektionsregeln für ESG-Portfolios habe ich 2016 entwickelt und 2017 für ein „Impact“-Portfolio um SDG-Regeln ergänzt.

Statische oder dynamische Regeln?

Meine RETRO- und „so nachhaltig wie möglich“ Investmentphilosophie ist seit Jahren grundsätzlich unverändert. Weil sich die (Investment-)Welt aber ständig verändert und immer wieder neue (Nachhaltigkeits-)Informationen zur Verfügung stehen, bin ich skeptisch in Bezug auf völlig starre Umsetzungsregeln. Ich möchte die Möglichkeit haben, Regeln zu verändern.

Auch Regeln von einigen Indizes, wie dem DAX, werden von Zeit zu Zeit angepasst. Dafür gibt es Gremien, die – oft diskretionär – Regeländerungen bestimmen.

Statt Änderungen von Regeln von Bestandsprodukten können auch neue statisch-regelbasierte Produkte angeboten, wenn die alten Regeln nicht mehr adäquat erscheinen. Die Tatsache, dass es mehr als 3 Millionen Investmentindizes gibt (vgl. Home – Index Industry Association), deutet darauf hin, dass das sogar oft der Fall ist.

Für meine Investmentphilosophie ist ein strukturierter (regelbasierter) kontinuierlicher (Regel-) Verbesserungsprozess (KVP) am sinnvollsten.

Meine Regeländerungen von 2017 bis 2024

Bei regelbasierten Portfolios können schon kleine Änderungen zu relativ großen Portfolioveränderungen führen (vgl. Divestments: 49 bei 30 Aktien meines Artikel 9 Fonds – Responsible Investment Research Blog (prof-soehnholz.com)). Um die Zahl von Transaktionen bzw. Kosten zu begrenzen versuche ich, meine Regeln nur graduell zu ändern.

Die Tabelle zeigt meine Selektionsregeln in den Zeilen 1 bis 7. In Zeile 8 ist meine einfache Allokationsregel aufgeführt und die letzten beiden Zeilen beinhalten meine Änderungsregeln (KVP).

Regeländerungen: Wenige Änderungsgründe

Im Rückblick habe ich vor allem deshalb Regeln geändert, weil immer mehr und bessere Nachhaltigkeitsdaten zur Verfügung standen. So habe ich meine Datenanbieter schon bei meiner ersten Auswahl im Jahr 2012 wegen eines möglichst guten Datenangebotes ausgesucht. In der Zeit vom Start meines Unternehmens im Jahr 2016 bis heute habe ich den Datenanbieter einmal gewechselt. Die Hauptgründe für den Wechsel waren mehr abgedeckte Aktien, also auch Small Caps, monatliche statt jährliche Datenaktualisierungen und die Möglichkeit der Nutzung von Best-in-Universe ESG-Ratings. Hinzu kamen im Laufe der Jahre zusätzliche Datenangebote des jeweiligen Anbieters, was vor allem für die SDG-Vereinbarkeit zu Regeländerungen geführt hat. Ein weiterer Grund für meine Regeländerungen waren (Prozess-)Vereinfachungen.

Für den von mir konzipierten und beratenen Investmentfonds wurden einige wenige zusätzliche Regelergänzungen vorgenommen, um schneller auf schlechtere Nachhaltigkeitsdaten reagieren zu können und um unterjährige Kapitalflüsse möglichst effizient managen zu können.

Resultat bisher: Marktübliche Performance und Small-Cap Fokus

Wenn man wie ich mit den nachhaltigsten Aktien startet, reduziert Diversifikation die durchschnittliche Nachhaltigkeit (vgl. 30 stocks, if responsible, are all I need (prof-soehnholz.com)). Mein bewusst nur 30 Aktien umfassendes (Fonds-)Portfolio enthält deshalb nur Aktien aus wenigen Ländern (aktuell 12) und Marktsegmenten (vor allem Gesundheit, Industrie und erneuerbare Energien). Weil kleine Unternehmen einfacher SDG-vereinbar sein können, lag mein Fokus Anfangs auf Mid.Caps, weil der damalige Ratinganbieter kaum Small-Caps abdeckte. Seit dem Ratinganbieterwechsel sind vor allem Small-Caps in meinen ESG SDG Portfolios enthalten.

Die Performance seit Auflage ist ähnlich wie die von aktiv gemanagten globalen Small- und Mid-Cap-Fonds (vgl. Globale Small-Caps: Faire Benchmark für meinen Artikel 9 Fonds? – Responsible Investment Research Blog (prof-soehnholz.com).

Regeländerungen: Ausblick

Weil ich meinen konsequenten Nachhaltigkeitsfokus beibehalten werde, erwarte ich, dass auch künftig vor allem Small-Caps im Portfolio vertreten sein werden. Da es keine typischen Allokationsregeln gibt, können Länder- und Branchenallokationen aber weiter schwanken. Sofern keine zu ausgeprägten Konzentrationen erkennbar sind, werde ich weiterhin auf Mindest- oder Maximalgrenzen für Länder und Branchen verzichten.

Interessant ist, dass es nur sehr wenige global investierende nachhaltige Small-Cap-Portfolios gibt. Ich habe deshalb bisher noch keinen Investmentfonds gefunden, mit dem mein Fonds mehr als 5 Investments gemein hat. Für nachhaltig orientierte Anleger, die nicht wie ich (fast) all ihr Vermögen in meinen Fonds anlegen möchten, ist mein Fonds deshalb eine attraktive potenzielle Portfolioergänzung.

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Werbung:

Der von mir beratene Fonds (SFDR Art. 9) ist auf soziale SDGs fokussiert. Ich nutze separate E-, S- und G-Best-in-Universe-Mindestratings sowie ein breites Aktionärsengagement bei aktuell 26 von 30 Unternehmen: FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T oder Divestments: 49 bei 30 Aktien meines Artikel 9 Fonds

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Climate reporting: Picture Facts by Gerd Altmann from Pixabay

Climate reporting: Researchpost #128

Climate reporting: 13x new research regarding inequality, climate reporting, biodiversity, green bonds, external costs, private equity real estate, gold, equal weighting, correlations, tail risks, robo advisors and AI (# indicates the number of SSRN downloads on May 22nd, 2023)

Ecological and social research

Inequality: Climate Inequality Report 2023 by Lucas Chancel, Philipp Bothe, and Tancrède Voituriez from the World Inequality Lab as of Jan. 30th, 2023: “The accelerating climate crisis is largely fuelled by the polluting activities of a fraction of the world population. The global top 10% are responsible for almost half of global carbon emissions and the global top 1% of emitters are responsible for more emissions than the entire bottom half of the world’s population. … within-country carbon inequality now makes up the bulk of global emissions inequality, i.e. about two thirds of the total, an almost complete reversal as compared to 1990. The carbon budgets needed to eradicate poverty below the US$ 5.50/day poverty line are equal to roughly one third of the current emissions attributable to the top 10% of global emitters. … Many countries in the Global South are significantly poorer today than they would have been in the absence of climate change. This trend is set to continue and result in income losses of more than 80% for many tropical and subtropical countries by the end of the century. Within countries, the poor suffer stronger losses from climate impacts than more affluent population groups. The income losses from climate hazards of the bottom 40% are estimated to be 70% larger than the average in low- and middle-income countries” (p. 9).

Responsible investment research: Climate reporting

Climate reporting (1): The MSCI Net-Zero Tracker by MSCI Research as of May 2023: “35% of listed companies have disclosed at least some of their Scope 3 emissions … 44% of listed companies have set a decarbonization target … 17% of listed companies have published a climate target that, if achieved, would align carbon emissions across the company’s total value chain with the ambitious 1.5°C goal of the Paris Agreement … Listed companies are on a path to warm the planet by 2.7° above preindustrial levels this century … Just over half (51%) of listed companies align with warming equal to or below 2°C, placing them at the high end of the Paris Agreement’s uppermost temperature threshold … Unlisted companies in four of the five most emissions-intensive industry groups were less carbon-intensive than their listed counterparts on aggregate …Real-assets funds held the most emissions-intensive industries per dollar of financing, followed by mezzanine- and distressed-debt funds … The carbon intensity of all three fund types was more than triple the carbon intensity of buyout funds” (p. 4/5). My comment: I try to engage with all my fund portfolio companies to report broad Scope 3 data, see Shareholder engagement: 21 science based theses and an action plan – (prof-soehnholz.com)

Climate reporting (2): The Climate Transition Is Increasingly about Opportunity by Chris Cote and Guido Giese of MSCI Research as of May 15th, 2023: “We have found that in the most emissions-intensive sectors, for example, companies that had a higher share of revenue from alternative energy, energy efficiency and green buildings had significantly faster earnings growth than their sector peers over a period of roughly seven-and-a-half years that ended on March 31, 2023” (p. 3). … only 155 companies (1.7% of the listed universe), with a total market cap of USD 1.6 trillion, earned more than half of their revenues from such (SÖ: alternative energy or energy efficiency) activities, our analysis finds. … We found in our data that many of the more than 3,800 listed companies (42% of that universe) that have published a decarbonization target, for example, do not explain how they plan to meet their climate-related goals” (p. 6).

Biodiversity risks: Nature positive: How the world’s largest companies depend on nature and biodiversity by Esther Whieldon, Shirley Yap, Lokesh Raikwar, and Gautier Desme of S&P Global as of May 10th, 2023: “85% of the world’s largest companies that make up the S&P Global 1200 have a significant dependence onn nature across their direct operations … 46% of companies in this universe … have at least one asset located in a Key Biodiversity Area …”.

Control advantage: Corporate Green Bonds: The role of external reviews for investment greenness and disclosure quality by Tami Dinh, Florian Eugster, and Anna Husmann as of May 19th, 2023 (#69): „Our results indicate that although companies with worse environmental performance are more likely to obtain at-issuance external reviews for their green bonds, their certified investments are more likely to be greener than companies that did not obtain a review at issuance. … Additionally, we develop a disclosure index for green bond reports and exhibit how post-issuance report assurance is associated with increased transparency” (abstract).

External costs: Auf dem netto-positiven Weg? Wie Unternehmen Wert schaffen – Messung und Integration von Nachhaltigkeit in die strategische Planung von Martin G. Viehöver at al von Positive Impacts vom 2. September 2022: „Im Allgemeinen erzeugen alle Industriesektoren im Durchschnitt einen positiven Gesellschaftlichen Wert, aber auch Gesellschaftliche Verluste aufgrund der entstehenden gesellschaftlichen Kosten (externe Effekte). Es wurde jedoch bestätigt, dass Unternehmen gesellschaftliche Erträge erzielen können, indem die von ihnen gezahlten Steuern höher als die gesellschaftlichen Kosten waren, wie es bei 20 Unternehmen in der Stichprobe der Fall war“ (S. 61).

General investment research

Bad PERE: Persistently Poor Performance in Private Equity Real Estate by Da Li and Timothy J. Riddiough as of May 14th, 2023 (#629): “We compare Buyout (BO), Venture Capital (VC), and Private Equity Real Estate (RE) funds. RE funds underperform BO and VC, as well as the public market alternative. In RE, worse-performing fund managers survive at a high rate. They are also susceptible to diseconomies of fund scale, with no skill-based persistence to offset the negative scale effects. Analysis of noisy fund manager selection indicates that RE investors are not disadvantaged relative to BO and VC. LP investors in RE funds seem to be optimizing something other than, or in addition to, investment return when selecting fund managers” (abstract).

Good gold? The Safe Asset Shortage Conundrum and Why Gold is a Safe Asset by Dirk G. Baur as of April 19th, 2023 (#29): “This paper demonstrates that gold is a safe asset based on existing definitions, central bank holdings, history, and risk characteristics such as default risk and currency risk. Changes in the safe asset pool during the 2008 financial crisis and its aftermath led to a safe asset triage that potentially led to the inclusion of gold in the safe asset pool. This is evident in the weakly symmetric opposite movements of gold and US government bond prices since 2008 and also in an increasing correlation especially since 2008. A simple safe asset test that analyzes whether a supposedly “safe asset” can be sold without a loss over different investment horizons or holding periods shows that gold is indeed relatively safe when compared with US government bonds. Finally, we also argue that the “safe asset shortage” is not a “natural” shortage but caused by central bank “QE” asset purchasing programs rendering this shortage rather narrow“ (p. 8).

Easy outperformance: Beating the S&P 500 at Its Own Game – The triumph of the equally weighted index by John Rekenthaler from Morningstar as of May 15th, 2023: “… only 19 equally weighted U.S. equity funds of any flavor currently exist, and none except for Invesco’s funds possess significant assets … Since summer 1998 … a costless version of the equally weighted S&P 500 portfolio has thrashed the conventional index … Half the equally weighted portfolio is invested in firms with market caps exceeding $30 billion. But the comparable figure for the customary S&P 500 is $150 billion”. My comment: I use equal weight for all my direct equity model portfolios and my fund since many yearsm see e.g. Artikel 9 Fonds: Kleine Änderungen mit großen Wirkungen? – (prof-soehnholz.com)

Correlation criticism: Co-Occurrence: A New Perspective on Portfolio Diversification by William Kinlaw, Mark Kritzman, and David Turkington as of May17th, 2023 (#25): “Investors typically measure an asset’s potential to diversify a portfolio by its correlations with the portfolio’s other assets, but correlation is useful only if it provides a good estimate of how an asset’s returns co-occur cumulatively with the other asset returns over the investor’s prospective horizon. And because correlation is an average of sub-period co-occurrences, it only serves as a good estimate of prospective co-occurrence if the assets’ returns are multi-variate normal, which requires them to be independent and identically distributed. The authors provide evidence that correlations differ depending on the return interval used to estimate them, which indicates they are not serially independent. Moreover, the authors show that asset co-movement differs between regimes of high and low interest rates and between turbulent and quiescent markets, and that they are asymmetric around return thresholds, which indicates that returns are not identically distributed. These departures from multi-variate normality cast serious doubt on the usefulness of full-sample correlations to measure an asset’s potential to diversify a portfolio. The authors propose an alternative technique for diversifying a portfolio that explicitly considers the empirical prevalence of co-occurrences and thus the non-normality of returns“ (abstract).

Tail risks: Equity Tail Protection Strategies Before, During, and After COVID by Roni Israelov and David Nze Ndong as of May 10th, 2023 (#124): “We investigate three common, yet different approaches to hedging equity drawdowns and a few themes emerge. First, hedging is expensive. … Second, the variable equity exposure embedded in option strategies is a source of risk and path dependence. … Third (and related to the previous point), a hedger’s decision on whether to delta-hedge their option exposure to isolate the option convexity or to maintain an unhedged position materially impacts performance in non-forecastable ways. …. Finally, there is enormous dispersion in the performance of tail risk hedging strategies. Well-reasoned arguments can be made in favor or against any number of decisions on how to implement a tail risk hedge. We only considered a few strategies (long options hedged or unhedged, long put protection, and long VIX futures) and the dispersion in outcomes is notable … those who implement hedging solutions should plan for the possibility – as remote as it might be – that their hedges make things worse in times of stress“ (p. 11/12).

Invest-Tech research (Climate reporting)

Robo-risks: Demystifying Consumer-Facing Fintech: Accountability for Automated Advice Tools by Jeannie Paterson, Tim Miller, and Henrietta Lyons as of May 10th, 2023 (#12): “Currently, the most prominent forms of fintech available to consumers are automated advice tools for investing and budgeting. These tools offer advantages of low cost, convenient and consistent advice on matters consumers often find difficult. … the oft-stated aspiration … should not distract attention from their potential to provide only a marginally useful service, while extracting consumer data and perpetuating the exclusion of some consumer cohorts from adequate access to credit and banking. … Fintech tools that hold out to consumers a promise of expertise and assistance should genuinely be fit for purpose. Consumers are unlikely to be able to monitor this quality themselves …“ (p. 15/16).

AI Advantage? Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models by Alejandro Lopez-Lira and Yuehua Tang as of May 12th, 2023 (#32759): “We use ChatGPT to indicate whether a given headline is good, bad, or irrelevant news for firms’ stock prices. We then compute a numerical score and document a positive correlation between these “ChatGPT scores” and subsequent daily stock market returns. Further, ChatGPT outperforms traditional sentiment analysis methods. … Our results suggest that incorporating advanced language models into the investment decision-making process can yield more accurate predictions and enhance the performance of quantitative trading strategies. Predictability is concentrated on smaller stocks and more prominent on firms with bad news, consistent with limits-to-arbitrage arguments rather than market inefficiencies“ (abstract).

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Advert for German investors: “Sponsor” my research by investing in and/or recommending my article 9 mutual fund. The fund focuses on social SDGs and midcaps, uses separate E, S and G best-in-universe minimum ratings and broad shareholder engagement (current engagement with 24 of 30 companies). The fund typically scores very well in sustainability rankings, e.g. see this free tool, and the risk-adjusted performance is relatively good: FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T

Finfluencers: influencer picture by Gerd Altmann from Pixabay

Finfluencers: Researchpost #126

Finfluencers: 14x new research on CO2 storage, climate learnings, sustainable bonds, diversity, impact investing, active investing, and finfluencers by Laurens Swinkels, Alex Edmans, Caroline Flammer, Simon Glossner, Jeffrey Ptak, Michael Kitces, Norman Schürhoff, Christian Klein et al. (# indicates the number of SSRN downloads on May 9th, 2023)

Ecological and social research

CO2 Storage? CO2 storage or utilization? A real options analysis under market and technological uncertainty by Hanne Lamberts-Van Assche, Maria Lavrutich, Tine Compernolle, Gwenny Thomassen, Jacco Thijssen, and Peter M. Kort as of April 24th, 2023 (#8): “First, the presence of technological and market uncertainties … increase the barriers to invest in CCS or CCU. Second, when the firm anticipates the arrival of a more attractive CCU solution in the future, it will not postpone the investment in CCS. …. Third, higher uncertainty in the CO2 price, i.e. higher σ, increases the investment thresholds, while a higher trend in the CO2 price, i.e. higher α, decreases the investment thresholds for CCS and CCU. … First, policymakers should aim to ensure stability and predictability in the CO2 price, to lower the volatility σ of the CO2 price. Reducing the market uncertainty will lower the CO2 price investment thresholds for CCS, CCU and CCUS. Second, they should also commit to an increasing growth rate in the CO2 price in the EU ETS. When firms expect higher growth rates for the CO2 price in the future, they are more favourable to invest in CCS, CCU and CCUS sooner. Finally, policymakers should realize that CCU and CCS can be complementary solutions” (p. 32/33).

Climate-information matters: Complexity and Learning Effects in Voluntary Climate Action: Evidence from a Field Experiment by Johannes Jarke-Neuert, Grischa Perino, Daniela Flörchinger, and Manuel Frondel as of April 16th, 2023 (#26): “Exploiting the fact that timing matters, we have empirically investigated how individuals respond to (a) having the choice about the timing of their voluntary abatement efforts in the form of retiring an emission allowance and to (b) being confronted with either no, simple but counter-intuitive, or complex but intuitive information about the effectiveness-ranking of options. To this end, we have conceived a field experiment with more than four thousand participants that was embedded in a survey conducted in Germany in 2021 … Adding information did not systematically affect contributions overall, but substantially increased their effectiveness. … The uptake of information provided was most pronounced by individuals who most strongly believed in the opposite ranking“ (p. 15/16).

German pension wealth: Accounting for pension wealth, the missing rich and under-coverage: A comprehensive wealth distribution for Germany by Charlotte Bartels, Timm Bönke, Rick Glaubitz, Markus M. Grabka, and Carsten Schröder as of April 25th, 2023 (#13): “We found that including pension wealth increases the wealth-income ratio of German households from 570% to 850%. … pension wealth plays an equalizing role: The wealth share of the bottom 50% increases from 2% to 9% when including pension wealth, whereas that of the top 1% declines from 30% to 20%. However … Pension wealth is not transferable and, hence, differs significantly from marketable assets such as financial investments or housing“ (p. 12).

Responsible investment research: Finfluencers

Green and other bonds: Social, Sustainability, and Sustainability-Linked Bonds by Gino Beteta Vejarano and Laurens Swinkels from Robeco as of April 24th, 2023 (#107): “… several variations of sustainable bonds appearing in the market, where either use of proceeds are earmarked for sustainable activities, or coupon payments depend on sustainability targets. Despite the fast growth, the sustainable bond market is currently less than 4% of the overall bond market, with the green bond market accounting for half of it. Social and sustainability bonds tend to be issued by government or government-related institutions and, therefore generally have higher credit quality than sustainability-linked bonds, which are much more popular in the corporate sector. … The yields on sustainable bonds tend to be only marginally lower than those on conventional bonds with a similar risk profile …. Since correlations between returns on sustainable and conventional bonds are high, the risk and return profile of the portfolio is unlikely to change much when certain conventional bonds are replaced with ESG bonds with similar characteristics …” (p. 28).

Growing greenium? How Large is the Sovereign Greenium? by Sakai Ando, Chenxu Fu, Francisco Roch, and Ursula Wiriadinata as of April 19th, 2023 (#22): “This paper is the first empirical study to estimate the sovereign greenium using both the twin bonds issued by Denmark and Germany, and panel regression analysis. While the estimated greenium in this paper is not large, it has been increasing over time alongside the level of sovereign green bond issuances. … It remains an open question whether the purpose of the project associated with the green bond is a key determinant of the greenium, and whether green bonds have resulted in the climate outcomes they intended to achieve” (p.9/10).

Good diversity: Diversity, Equity, and Inclusion by Alex Edmans, Caroline Flammer, and Simon Glossner as of May 2nd, 2023 (#723): “… demographic diversity measures may miss many important aspects of DEI. … Companies with high DEI enjoyed recent strong financial performance and are less levered, suggesting that a strong financial position gives companies latitude to focus on long-term issues such as DEI that may take time to build. Small growth firms also exhibit higher DEI scores, consistent with either greater incentives or ability to improve DEI in such firms. … we find that the percentage of women in senior management is significantly positively associated with DEI perceptions, and this result holds regardless of the gender or ethnicity of the respondents. … DEI is also unrelated to general workplace policies and outcomes, suggesting that DEI needs to be improved by targeted rather than generic initiatives. … we find no evidence of a link between DEI and firm-level stock returns” (p. 25/26).

Impact measure: The Impact Potential Assessment Framework (IPAF) for financial products by Mickaël Mangot and Nicola Stefan Koch of the 2o investing initiative as of March 2023: The Impact Potential Assessment Framework (IPAF) assesses financial products based only on their actions to generate real-life impact … It is exclusively based on public information provided by the product manufacturers … It is applicable to various types of financial products … serves as a tool against impact-washing by displaying practical limitations of self-labelled “impact products … First, it assesses the (maximum) impact potential of financial products based on impact mechanisms they supposedly apply (in relation to communicated elements in marketing documents). Those impact mechanisms are the ones widely documented by academic research: Grow new/undersupplied markets, Provide flexible capital, Engage actively, Send (market and nonmarket) signals. Second, it evaluates the implementation of that impact potential based on the intensity with which financial products action the various impact mechanisms in connection to success factors documented by academic research”. My comment: I try to provide as much impact as possible with my public equity mutual fund, see https://futurevest.fund/

Green demand: Nachfrage nach grünen Finanzprodukten, Teilbericht der Wissensplattform Nachhaltige Finanzwirtschaft im Auftrag des Umweltbundesamtes von Christian Klein, Maurice Dumrose, Julia Eckert vom April 2023: “… In this project report, the development of the sustainable investment market, especially in the retail sector, is presented and the characteristics of sustainable investments are introduced. Retail investor motives for investing in such products and the requirements retail investors have for sustainable investment products are highlighted. Barriers for retail investors and investment advisors are identified in the area of sustainable investments. Finally, based on these findings, recommendations for political action are proposed, which can lead to a reduction of these barriers and thus increase the acceptance of sustainable investments” (abstract). .. “Die Literatur zeigt eindeutig, dass insbesondere die Fehlannahme der Anlageberatenden, Retail-Investierende hätten kein Interesse an Nachhaltigen Geldanlagen und fragen deshalb nicht aktiv im Beratungsgespräch nach diesen, eine Barriere darstellt. Die Untersuchung von Klein et al. zeigt in diesem Zusammenhang deutlich, dass diese Barriere durch eine verpflichtende Abfrage der Nachhaltigkeitspräferenz der Retail-Investierenden überwunden werden kann. Ferner zeigt der aktuelle Forschungsstand, dass insbesondere ein zu geringes Wissen im Bereich Nachhaltige Geldanlage die zentrale Barriere für Anlageberatende darstellt. Hohe Transaktions- sowie Informationskosten, ein fehlendes kundengerechtes nachhaltiges Produktangebot, Zweifel an dem Beitrag, den Nachhaltige Geldanlagen zu einer nachhaltigen Entwicklung leisten, hohe wahrgenommene Komplexität, Wahrnehmung von Green Washing, Angst vor Haftungsrisiken, potentielle Reputationsrisiken und keine einheitliche bzw. gesetzliche Definition des Begriffs Nachhaltige Geldanlage konnten als weitere Barrieren identifiziert werden“ (S. 42/43).

2 ESG types? Sustainable investments: One for the money, two for the show by Hans Degryse, Alberta Di Giuli, Naciye Sekerci, and Francesco Stradi as of April 26th, 2023 (#66): “Analyzing a representative sample of Dutch households, we document the existence of two types of households: those that invest in sustainable products for social reasons (social sustainable investors) and those that do it for financial reasons (financial sustainable investors). The two groups are of equal importance but are characterized by different features. The social sustainable investors have higher social preferences, level of education and trust, and are more likely left-wing and less risk-loving. Reliable labelling, reducing greenwashing concerns, and emphasizing typical left-wing thematic linked to sustainable investments is positively related to sustainable investments by social sustainable investors, whereas hyping the benefit in terms of returns of sustainable investments through social media and word of mouth is positively associated with the investment decisions of financial sustainable investors” (abstract).

Traditional and fintech investment research: Finflucencers

Difficult 1/n?: Is Naïve Asset Allocation Always Preferable? by Thomas Conlon, John Cotter, Iason Kynigakis, and Enrique Salvador as of April 28th, 2023 (#90): “For allocation within asset classes, we find only limited evidence of outperformance in terms of risk-adjusted returns for optimized portfolios relative to the naïve benchmark … we find statistical and economic evidence that a bond portfolio that minimizes risk is the only case that provides outperformance of the 1/n rule. This evidence points to challenges in outperforming the equally weighted portfolio, especially when allocating among equities and REITs. When allocating across asset classes, we find that minimum-variance portfolios that include bonds exhibit higher Sharpe ratios than the equally weighted portfolio. These findings also carry over to downside risk, where optimal strategies have a lower VaR, both economically and statistically, than that associated with the equally weighted approach. Allocations across different asset classes also have lower rebalancing requirements, which means they are less affected by the transaction costs” (p. 26). My comment: My equity portfolios are all equal weighted. The most passive world market portfolio should be uses as reference instead of naïve asset allocation which does not work well because auf unclear asset class definitions, see Das-Soehnholz-ESG-und-SDG-Portfoliobuch.pdf (soehnholzesg.com). Regarding optimization limits see Kann institutionelles Investment Consulting digitalisiert werden? Beispiele. – Responsible Investment Research Blog (prof-soehnholz.com)

Active disaster: How Can Active Stock Managers Improve Their Funds’ Performance? By Taking a Vacation—a Long One by Jeffrey Ptak from Morningstar as of May 2nd, 2023: “While active large-cap managers made thousands of trades worth trillions of dollars over the 10-year period ended March 31, 2023 … The funds’ actual returns were almost identical to what they’d have been had those managers made no trades at all and were worse after adjusting for risk. And that was before fees were deducted”. My comment: With my portfolios/fund I try to trade as little as possible

Wealthtech changes: The Kitces AdvisorTech Map Highlights The Evolving Landscape As It Turns 5 Years Old by Michael Kitces and ben Henry-Moreland as of May 1st, 2023: “… there now 409 different software solutions …  with the total number of solutions more than doubling … Some highlights of these AdvisorTech evolution trends over the past 5 years include: The near-disappearance of the ‚B2B robo‘ tools as advisors demanded better onboarding capabilities but showed an unwillingness to pay for them on top of their broker-dealer or custodial providers … portfolio management tools have increasingly bought or built performance reporting and performance reporters acquired most of the available trading and rebalancing tools in a massive consolidation into what is now the „All-In-One“ category … The growth of the Behavioral Assessments category … The proliferation of specialized financial planning software …The explosion in advisor marketing technology …”

Bad influences: Finfluencers by Ali Kakhbod, Seyed Kazempour, Dmitry Livdan, and Norman Schürhoff as of May 4th, 2023 (#178): “… instead of following more skilled influencers, social media users follow unskilled and antiskilled finfluencers, which we define as finfluencers whose tweets generate negative alpha. Antiskilled finfluencers ride return and social sentiment momentum, which coincide with the behavioral biases of retail investors who trade on antiskilled finfluencers’ flawed advice. These results are consistent with homophily in behavioral traits between social media users and finfluencers shaping finfluencer’s follower networks and limiting competition among finfluencers, resulting in the survival of un- and antiskilled finfluencers despite the fact that they do not provide valuable investment advice. Investing contrarian to the tweets by antiskilled finfluencers yields abnormal out-of-sample returns, which we term the “wisdom of the antiskilled crowd.”“ (p. 40).

Literacy returns: Financial literacy and well-being: The returns to financial literacy by Sjuul Derkx, Bart Frijns, and Frank Hubers as of April 25th, 2023 (#21): “Using a panel data set of Dutch households over 2011-2020, we find that initial (2011) … financial literacy positively affects wealth accumulation for up to four years into the future, showing that there is mean-reversion in financial literacy when one no longer invests in it. Considering different age brackets, we document that financial literacy among the young results in higher income generation, while financial literacy among the old leads to greater wealth accumulation” (abstract).

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

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):

ESG bonus Picture by Pixabay shows suitcase full of dollar bills

ESG bonus: Researchblogposting #109

ESG bonus: 15x new research on inequality, diversity, PRI, greenium, fintech, incompetences, engagement, 1/n and more by Peter Mülbert, David Walker, Malcom Baker, Lucian Bebchuk, Marie Dutordoir, Guofu Zhou, Dirk Zetzsche, David Larcker, Raina Gibson, Pedro Matos et al.

Environmental and social research

Climate action: Adaptation platforms – a way forward for adaptation governance in small cities? Lessons learned from two cities in Germany by Julia Teebken, Nicole Mitchell and Klaus Jacob as of Dec. 7th, 2022 (#6): “… we introduce adaptation platforms as a novel, low-threshold approach to initiate climate adaptation governance in small cities. … In Boizenburg (Elbe) in Northern Germany, an adaptation platform (“Platz-B”) was set up in the municipal administration. In the local authority association of Liebenwerda, in Eastern Germany, the platform (“Lighthouse Louise”) was developed through an association, which is organized by civil society. We present the context conditions for establishing the platforms, their core principles, functions, and some of the adaptation projects which were initiated“ (abstract).

Inequality drivers: Hours Inequality by Daniele Checchi, Cecilia García-Peñalosa, and Lara Vivian as of Dec. 14th, 2022 (#16): “… while the contribution of hours worked to earnings inequality is moderate in France and the US, it explains between 30 and 40 percent of earnings inequality in Germany and the UK. … it could be that individuals with higher wages now work more (supply-side) or that jobs that pay lower wages also provide fewer hours (demand-side) … the increase in female employment observed in all countries tending to increase inequality. … If reduced working hours are the result of individual choices, the increase in leisure may offset the loss in relative income and result in higher welfare. Alternatively, if low-pay workers are unable to work as much as they would like … then a deteriorated income position will be associated with under-employment and hence a loss in utility“ (p. 24).

Advert for German investors: “Sponsor” my research by recommending my article 9 fund. The minimum investment is approx. EUR 50 and 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. The fund typically scores very well in sustainability rankings, see this new tool for example.

… continues on page 2 (# indicates the number of SSRN downloads on December 20th):

Heidebild als Illustration für Green Research

Green research deficits: Researchblogposting #106

Green research: 15x new research on net-zero, healthcare, banking, m&a, ESG, voting, retail investors, private equity etc. by Sandra Nolte, Harald Lohre, Martin Oehmke, Marcus Opp et al.

Social and green research

Climate demographics: The Slow Demographic Transition in Regions Vulnerable to Climate Change by Thang Dao, Matthias Kalkuhl, and Chrysovalantis Vasilakis as of October 21st, 2022 (#7): “We consider how the demographic transition has been shaped in regions that are the least developed and the most vulnerable to climate change. Environmental conditions affect intra-household labor allocation because of the impacts on local resources under the poor infrastructural system. Climate change causes damage to local resources, offsetting the role of technological progress in saving time that women spend on their housework. Hence, the gender inequality in education/income is upheld, delaying declines in fertility and creating population momentum. The bigger population, in turn, degrades local resources through expanded production. The interplay between local resources, gender inequality, and population, under the persistent effect of climate change, may thus generate a slow demographic transition and stagnation. We provide empirical confirmation for our theoretical predictions from 44 Sub-Saharan African countries” (abstract).

Net zero challenges: Neutralizing the Atmosphere by Shelley Welton as of May 5th, 2022 (#151): “Net zero” has rapidly become the new organizing paradigm of climate change law. … To date, critiques have centered on what this Article terms “accounting” risks: that is, risks that pledges in action will fail to live up to pledges on paper. The Article argues that there are two broader normative risks with net zero that are underdiagnosed but may prove more intractable. First, the net zero framework presumes collective disinterest regarding the best way to neutralize atmospheric emissions, with every participating entity left to determine its own preferred strategy. In reality, decisions around how to reach net zero emissions are contested, impactful, and often politically explosive. … The second risk this Article identifies is the “collective achievement challenge”: if the world continues to pursue an atomized approach to net zero, it is likely that entities will over-rely on certain cost-effective strategies—like tree planting—at scales that cannot be collectively achieved, at least not without substantial collateral social consequences. Disjunctive efforts toward net zero thus threaten to undermine the legal, political, and physical foundations of the global project” (abstract).

Advert for German investors: “Sponsor” my research by recommending 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 30st):

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.

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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.

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Heidebild als Illustration für Proven Impact Investing

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.

Pictures shows Fire Icon by Elionas

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

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.

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