Archiv der Kategorie: Titelselektion

Faultier auf dem Sofa um eine regelbasierte nachhaltige Geldanlage zu illustrieren

Artikel 9 Fonds: Sind 50% Turnover ok?

Artikel 9 Fonds mit klaren Nachhaltigkeitsregeln

Für meinen Artikel 9 Fonds FutureVest Equity Sustainable Development Goals R versuche ich, nur die verantwortungsvollsten 30 Aktien zu nutzen (vgl. 30 stocks, if responsible, are all I need – Responsible Investment Research Blog (prof-soehnholz.com).

„Verantwortungsvoll“ definiere ich dabei auf Basis eines transparenten Konzepts (vgl. 220901_Nachhaltigkeitsinvestmentpolitik_der_Soehnholz_Asset_Management_GmbH-9d76c965ab447b9ff4e1f04e62dffaa12e12f064.pdf (futurevest.fund).

Die Regeln für meine Portfolios können einmal pro Jahr geändert werden. Dabei versuche ich, die Nachhaltigkeitskriterien immer strenger zu fassen. Das hat Anfang 2022 zu einem Austausch von 15 der 30 Aktien meines Fonds geführt (für 2022 vgl. Mein Artikel 9 Fonds: Noch nachhaltigere Regeln – Responsible Investment Research Blog (prof-soehnholz.com).

Für den Fonds ist das die diesjährige Selektionsstatistik: Von über dreissigtausend Aktien liegen für etwas mehr als die Hälfte aussagekräftige E, S und G Ratings vor. Etwa 2.300 erfüllen meine E, S und G Mindestanforderungen. Davon fallen weitere knapp 400 durch meine Rule-of-Law Länderausschlüsse heraus, ungefähr 1.100 entfallen durch Aktivitätsausschlüsse und 100 weitere durch angekündigte Übernahmen, andere Delisting-Gründe oder ineffiziente Zugangsmöglichkeiten. Damit bleiben nach Ausschluss der 25% Aktien mit den höchsten Kursverlusten ungefähr 500 für meine Portfolios zulässige Aktien übrig. Ungefähr 10% davon erfüllen zudem meine Anforderungen an Vereinbarkeit mit den Nachhaltigen Entwicklungszielen der Vereinten Nationen (UN SDG).

Auf Seite 2 geht es weiter:

FutureVest ESG SDG Einjahresperformance als Grafik

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:

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

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.

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30 stocks are enough too diversify

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. 21st, 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 7th, 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 8th, 2022

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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Nachhaltigkeitsfragen als Screenshot einer Präsentationsfolie

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:

Picture by SugarHima shows wooden fake wind generator to illustrate benchmarking problems

Benchmarking problems (Researchpost #88)

Benchmarking problems: Almost 20x new research on tax avoidance, net-zero illusions, brown and unsocial banks and mutual funds, negative ESG bonus, plastics, real estate, panic, monetary policy, missing data, wrong benchmarks, institutional herding, and fintechs

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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