Diversifikationsgrenzen: Das Bild von Jette von Pixabay steht für Passioninvestments

Diversifikationsgrenzen und mehr neues (ESG) Research


Klimakriege: Climate Change, Armed Conflicts and Resilience von Mariagrazia D’Angeli, Giovanni Marin und Elena Paglialunga vom 8. Februar 2022 (#8): “Our results seem to suggest that, firstly, there is a positive impact of natural disasters on the probability of new conflicts. … the probability that a natural disaster increases the likelihood of conflicts is higher for more vulnerable, less resilient countries … our results suggest that natural disasters occurring in highly vulnerable, low resilient countries with high ethnic fractionalization are more likely to result in new conflicts” (S. 28).

Methanrisiken: Global Methane Tracker 2022 von International Energy Agency vom Februar 2022: “Globally, our analysis finds that methane emissions from the energy sector are about 70% greater than the sum of estimates submitted by national governments. … Satellites are providing a major boost to overall efforts to increase transparency on emissions sources, especially for very large leaks” (Overview).

Klimawandelkosten: Understanding Climate Damages: Consumption versus Investment von Gregory Casey, Stephie Fried und Matthew Gibson vom 14. Januar 2022 (#30): “ … we find that aggregate damage functions will overestimate short-run consumption losses and underestimate long-run consumption losses when investment is more vulnerable to climate change. The opposite implications hold if instead consumption is more vulnerable. We ,,, find that accounting for heterogeneous damages increases the welfare cost of climate change by 4 to 24 percent, depending on the discount factor …” (S. 36).

Klimaeffizienzwachstum: Energy, emissions, renewable efficiency and countries’ productive performance. Is there any link? von Pasquale Foresti, Konstantinos Kounetas, Oreste Napolitano und Nicola Spagnolo vom 30. Dezember 2021 (#): “… our analysis supports the idea that incentivizing energy efficient practices should result in more efficient productive processes and, as a consequence, in further economic growth. However, our results evidence strong heterogeneity across different groups of countries”. Mein Kommentar: In meinem Fonds finden sich zwei Spezialisten für Energiemessgeräte, siehe Fondspositionen in Nachhaltigkeitsreport unter www.futurevest.fund

Veganinfos: How agri-food companies can take advantage of the plant protein revolution von Roland Berger vom 3. Februar 2022: “After years of steady growth, plant-based proteins are expected to take off over the next five years, according to the latest research. With consensus growth estimates ranging between 9-15% per year, we project the segment to grow by 12%. … food companies … must select the most applicable plant-based protein, identify parts of the value chain that capture the biggest value, and understand how to seize these opportunities” (S. 2).


Hohe Fondsmanagementgehälter: Careers in Finance von Andrew Ellul, Marco Pagano und Annalisa Scognamiglio vom 5. Februar 2022 (#119): „Careers in asset management feature higher and steeper pay profiles than those of employees in banking, insurance and non-finance, yet this career premium cannot be explained by higher risk. Labor market entry responds positively to career premia in asset management and high-tech, and these sectors are regarded as substitutes by potential entrants, consistently with high-tech competing with asset management in attracting talent”. Mein Kommentar: Und das, obwohl aktives Asset Management statistisch keine Outperformance bringt.

Finanzgenderdefizit: The Inequality of Finance von Renée Adams und Jing Xu vom 2. März 2022 (#117): “Despite being a young field, we document that finance thought leadership is less gender diverse than fields that are comparably or more math-intensive. But finance thought leadership is also less diverse along other dimensions, such as geographic diversity. … Female thought leaders in finance outperform male thought leaders along important dimensions. Moreover, women’s beliefs have little explanatory power for their representation in finance, but men’s beliefs do. These results suggest that women face greater barriers to entry into finance than men do” (S. 15).

Individualismusrisiken: National Culture and Corporate Risk-Taking around the World von Bart Frijns, Frank Hubers, Donghoon Kim , Tai-Yong Roh und Yahua Xu vom 22. Februar 2022 (#26): “ … We document a positive relationship between individualism and Probability of Default, as hypothesized, which is in line with the argument that individualistic cultures incentivize risk-taking, and promote a self-focus and overconfidence that encourages risk-taking” (S. 19).

Diversifikationsgrenzen: Verantwortungsvolle Investments

ESG-Prämien: Market Price of Systematic ESG Risk von Ick Jin vom 17. Jnauar 2022 (#114): “Our empirical evidence on the monthly returns on US equity mutual funds shows that the exposure to systematic ESG risk is associated with out-of-sample excess returns. … Variations depend on which provider’s indexes we use to construct systematic risk factors and the period. We see that the risk premium … is more effective for the second subperiod than for the first subperiod” (S. 27).

Klimaoutperformance: Climate Solutions Investments von Alexander Cheema-Fox, George Serafeim und Hui (Stacie) Wang vom 11. Februar 2022 (#2752): “… we develop a process to identify a list of publicly traded “pure-play” companies that provide climate solutions products or services and contribute to the transition to a low carbon world. … We find these pure-play climate solutions companies are characterized with lower profitability, higher revenue growth, and higher investment and capital expenditure relative to their industry peers, which is also reflected in their relative lower valuation ratios, such as earnings yield and book-to-market. … find evidence of outperformance of climate solutions portfolios, particularly noticeable in the past four years, in both developed markets and emerging markets excluding China, as well as in energy, fuels, battery and transportation segments” (S. 32/33).

Klimavoting: Say on Climate: Investor Distraction or Climate Action? von Florian Sommer und Harian Tufford von MSCI Research vom 15. Februar 2022: “Most say-on-climate votes in 2021 (58%) were one-time events, with only 24% of votes set to have annual follow-ups. This may fuel concerns that say on climate could be a distraction or facilitate greenwashing. Say-on-climate votes in 2021 were mostly at companies with emission trajectories aligned with the Paris Agreement, but companies with less-aligned paths have set votes in 2022”. Mein Kommentar: Divestments bewirken mehr als Stimmrechtsausübungen oder Engagement | SpringerLink

Mikrokreditkritik: Landverlust und Hunger durch Mikrokredit- und Überschuldungskrise in Kambodscha von FIAN Deutschland vom 17. Februar 2022: „In Kambodscha wuchs der Mikrofinanzsektor im vergangenen Jahrzehnt mit rasanter Geschwindigkeit – jährlich um rund 40 Prozent – und ist heute einer der größten weltweit. Ende 2020 umfassten die 2,8 Millionen ausstehenden Mikrokredite in dem Land mit insgesamt vier Millionen Haushalten satte 11,8 Milliarden US-Dollar. Dazu gehören Mikrokredite von lizensierten Mikrofinanzinstituten (MFI) … Die durchschnittliche Höhe dieser „Mikro“- und Kleinkredite liegt bei 4.280 USDollar (bei) … einem durchschnittlich verfügbaren Pro-Kopf Jahreseinkommen (Median) von lediglich rund 1.150 USDollar.  … Zwischen 2015 und 2020 vergaben die KfW und die DEG über 100 Millionen Euro direkt an kambodschanische Mikrokreditanbieter. An einem führenden Mikrofinanzinstitut ist die KfW als Anteilseigner beteiligt. Das BMZ und die KfW sind darüber hinaus an den Mikrofinanzfonds MEF und MIFA beteiligt, über die mehrere kambodschanische MFI mit über 70 Millionen Euro finanziert werden. … Ende 2020 umfasste die laufende Finanzierung kambodschanischer MFI über deutsche bzw. in Deutschland ansässige Investoren bzw. angebotene Fonds mindestens 170 Millionen Euro. Zu den größten identifizierbaren Investoren, die Kapital deutscher Anleger*innen in Kambodschas Mikrofinanzsektor investieren, gehören laut FIAN-Recherchen Oikocredit, die Triodos Bank und Invest in Visions“ (S. 1, 2)

Diversifikationsgrenzen: Traditionelle Investments

Fonds-Energieschock: Price Sensitivity of the Consumer-Investor: Evidence from Energy Prices and Mutual Fund Fees von Hae Mi Choi und Swasti Gupta-Mukherjee vom 11. Februar 2022 (#30): “… the representative consumer-investor becomes more price sensitive in selecting mutual funds when energy prices are increasing sharply. … we find that flows into actively managed funds, relative to passively managed funds, significantly decrease (increase) when energy prices increase (decrease)“ (S. 9/10).

Hilfreiche große Daten: The Use and Usefulness of Big Data in Capital Markets von Feng Chi, Byoung-Hyoun Hwang und Yaping Zheng vom 15. Februar 2022 (#22): We look at analysts and record when they explicitly reference the use of big data in their written reports. We find that analysts frequently draw from big data, particularly when receiving more timely signals regarding a company’s performance is important, when traditional data are ambiguous, and when analysts lack access to more granular data. Analysts’ use of big data is accompanied by strong improvements in forecast accuracy and heightened stock-market reactions to forecast revisions” (abstract).

Verlust-Framing: Life-Cycle Portfolio Choice with Stock Market Loss Framing: Explaining the Empirical Evidence von Arwed Ebner, Vanya Horneff und Raimond Maurer vom .9. Februar 2022 (#121): “Stock market loss-framing is defined as the additional disutility that a household experiences by the expected shortfall on stock investment return below a benchmark return. … a life-cycle model with stock market loss-framing, per-period participation costs, and heterogeneous agents explains the rise in stock market participation and conditional stock share with financial wealth” (S. 34).

Faktorverluste: Factor Information Decay: A global study von Emlyn Flint und Rademeyer Vermaak vom 11. Februar 2022 (#212): „At its core, a factor-based strategy seeks to construct a portfolio of assets that targets a particular set of factor exposures, subject to a given set of investment constraints. The natural question that arises then is how will these exposures change as one continues to hold the portfolio and as factor information updates? … We find that the target factor exposure distributions of pure factor portfolios tend to display smooth decay profiles over time, although the strength of decay differs greatly per factor. Some of these distributions also display significant dispersion and so target factor mismatch risk can be sizeable even at short holding periods. We also find that the non-target factor exposures of pure portfolios … can display fairly large dispersion in the medium- to long-term” (S. 15).

Diversifikationsgrenzen (1): Is sector neutrality in factor investing a mistake? von Sina Ehsani, Campbell R. Harvey und Feifei Li vom 24. Januar 2022 (#1073): “Our model … predicts that it is unlikely that sector neutralization is beneficial for the long-only investor, and the empirical results are consistent with this prediction. Although our analytical model does not predict the number of sectors an (investor) should use, our empirical results suggest a very small number of industries, such as five, would be a mistake. The results also show diminishing contributions from a large number of industries. In addition, the number of industries that an investor should choose is related to the particular factor” (S. 24). Mein  Kommentar: Länder- und Sektorneutralität schadet nachhaltigen Investments und Konzentration kann gut funktionieren, vgl. Mein Artikel 9 Fonds: Noch nachhaltigere Regeln – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Diversifikationsgrenzen: Alternative Investments

Diversifikationsgrenzen (2): The Myth of Diversification Reconsidered von William Kinlaw, Mark Kritzman, Sébastien Page, and David Turkington vom August 2021: “… we debunk the fallacy that diversification is always beneficial to investors and that correlations are symmetric on the upside and downside. Although diversification is desirable on the downside, investors would prefer that all assets rise in concert and should seek unification on the upside. … we conclude that most pairs of asset classes exhibit unfavorable correlation profiles. Diversification often disappears on the downside when it is most needed, and … it is often present on the upside when it imparts no benefit” (S. 13/14). Mein Kommentar: Vgl. Einfaches Risikomanagement kann erstaunlich gut funktionieren – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com) von 2016

Diversifikationsgrenzen (3): Why Diversifying Your Portfolio Is Getting Harder von Amy Arnott von Morningstar vom 1. März 2022:“…The poor showing for diversified portfolio strategies in 2021 continues a longer-term trend. Although different periods tell a different tale, our test portfolio detracted from risk-adjusted returns over nearly every three-year period going back to the one starting in June 2010. The basic 60/40 portfolio, on the other hand, improved results in more than 90% of the trailing three-year periods. … But … there’s no guarantee that correlations will remain at relatively high levels forever … In addition, portfolio diversification has still added value over some previous periods”.

Diversifikationsgrenzen (4): Do Investors Need Alternative Investments?How commodities and other nontraditional investments have affected portfolios von Jon Rekenthaler von Morningstar vom 24. Februar 2022: “… the common, cheap, and everyday (Sö: traditional) solution outdid every one of Wall Street’s esoteric, expensive, and specialized responses. … I cannot muster any potential enthusiasm for the blue categories. They promised to accomplish what bonds could not. They failed. I see no reason why the future will bring a different result”. Mein Kommentar: Vgl. Das „most-passive“ Anlageportfolio der Welt ist sehr attraktiv – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com) von 2016 und Soehnholz ESG 2021: Passive Allokationsportfolios und Deutsche ESG Aktien besonders gut – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Listed Private Equity Vorteile: Thematic Investing With Big Data: The Case of Private Equity von Ludovic Phalippou vom 7. Februar 2022 (#602): “Using natural language processing, companies globally can be scored based on the frequency with which news articles contain both their names and private equity (PE) related vocabulary. An index can then be created, with the weight of each component set as a function of both their liquidity and their PE exposure scores. This procedure generates a large set of firms whose underlying business is PE-related. Even though the algorithm does not optimize on either return or correlation, we find that the listed PE index is highly correlated to, and has similar performance to, the PE fund market index. This low-cost and scalable process can be generalized to any theme an index seeks to capture” (abstract).

Venturebiases: Venture Capital (Mis)Allocation in the Age of AI von Victor Lyonnet und Léa H. Stern vom 16. Februar 2022 (#99): “We use algorithmic predictions of new ventures’ success to uncover potential sources of inefficiencies in venture capital allocation. Our approach does not rely on the assumption that algorithmic predictions are correct. … First, VCs face frictions in their deal sourcing process that prevent them from selecting the most promising new ventures. … Second, we find evidence consistent with the idea that VCs over-weight some salient features associated with the venture’s founders (gender, education) and under-weight some features of the venture (industry, location)” (S. 27).

Passioninvestments: Persistence in the Passion Investment Market von Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun und Ahniia Havrylina vom 24. Februar 2022 (#5): “Wine prices are found to be highly persistent, whilst stamp prices appear to be only weakly persistent, though they can still be characterised as a long-memory process; as for diamond prices, they can be persistent (Diamonds & Gems), anti-persistent (Diamonds Carat indices) or even random (Polished Prices Diamond Index). … persistence is time-varying and tends to fluctuate around the average. These findings can be explained by the different degree of liquidity of the assets examined. In the majority of cases the evidence appears to contradict the Efficient Market Hypothesis: persistence implies predictability, and anti-persistence more frequent mean reversion than in the case of random series, and in fact in both cases we show that an autocorrelation structure is present in those series” (S. 23).