Umwelt und Umfeld
Draussen wird man krank: Extending the Heat Index to quantify the physiological response to future warming: a modelling study Yi-Chuan Lua und David M. Romps vom 30. November 2020 (#78): “By 2300, heat exhaustion, heat stroke, and even heat death are frequently the unavoidable consequences of being outdoors, even for healthy adults, over large swaths of Africa, Australia, India, South America, Eastern China, and the Midwestern and Eastern United States” (S. 1).
Metastudie zu Klima und Gesundheit: Systematic mapping of global research on climate and health using machine learning von Lea Berrang Ford, Anne J. Sietsma, Max Callaghan, Jan C. Minx, Pauline Scheelbeek, Neal R Haddaway, Andy Haines und Alan D. Dangour vom 25. Januar 2021 (#191): “We show that climate-health literature is dominated by impact studies, with mitigation and adaptation responses and their co-benefits and co-risks remaining niche topics. Air quality and heat stress are the most frequently studied exposures, with all-cause mortality and infectious disease incidence being the most frequently studied health outcomes. Seasonality, extreme weather events, heat, and weather variability are the most frequently studied climate-related hazards. Geographically, the evidence base is dominated by studies from high-income countries and China, with very limited evidence from the majority of countries that suffer most from the health consequences of climate change” (S. 1).
Klimarisiken sind ist schlecht messbar: Let’s get physical: Comparing metrics of physical climate risk von Linda Hain, Julian Koelbel und Markus Leippold vom 20. April 2021 (#187): “This paper compares six physical risk scores, which rely on either model-based or language-based methodologies. We find a substantial divergence between these scores, also among those based on similar methodologies. Risk scores also lead to different rankings within and across sectors. We show how this divergence causes problems when testing whether financial markets are pricing in physical risks. Our results imply that financial markets may currently not be able to adequately account for the physical risk exposure of corporations using available risk scores. We identify six primary sources of uncertainty that drive the divergence of scores and offer recommendations for improving firm-level physical risk scores” (abstract).
Geringer Support für Klimapolitik? Emphasizing Urgency of Climate Change – No Silver Bullet to Increase Policy Support von Lukas Paul Fesenfeld und Adrian Rinscheid vom 18. September 2020 (#313): “although perceived urgency is key in driving policy support for ‘low-cost’ climate change mitigation, it does not lead to more support for policy measures that make the behavioral implications and costs of mitigation visible. Second, simple temporal reframing does not increase feelings of dread and policy support. The results are particularly relevant for democracies, where ambitious climate policies require the support of citizens” (S. 1).
Interessante Klimakampagne: Count Us In: Major firms team up to rally 100 million staff to take ‚personal climate actions‘ in Business Green vom 4. Juni 2021: “A host of major corporates … have teamed up to launch a campaign today to encourage 100 million employees globally to take „personal climate actions“ by 2025. Dubbed ‚Count Us In‘, the impact of the campaign could help drive down greenhouse gas emissions equivalent to that of Switzerland from now until 2025, the organisers claimed. … Among the practical actions employees are being encouraged to consider include switching their to renewables tariffs for their home energy use, walking and cycling more, eating more plant-based food, and speaking up at work on the issue of climate change”.
Positive Carbon Disclosure Effekte: The Impact of Carbon Disclosure Mandates on Emissions and Financial Operating Performance von Benedikt Downar, Jürgen Ernstberger, Stefan Reichelstein, Sebastian Schwenen und Aleksandar Zaklan vom 28. Mai 2020: “We find that installations of UK companies subject to the reporting regulation exhibit significant reductions in GHG emissions compared to control installations …. We find that, on average, firms reduce emission between 14 and 18% over three post-treatment years, relative to pre-treatment emission levels. … we observe that the emission reductions are permanent rather than transitory and are more pronounced for larger emitters with larger savings potential. Also, firms subject to high analyst coverage achieve above-average emission reductions. … we document that emission reductions come at a significant increase in production costs, as measured by the firms’ COGS. Firms incurred that cost voluntarily, yet they also attained an almost compensating increase in sales …. Taken together, we obtain no evidence that the disclosure mandate had a deteriorating effect on the gross margins of the firms that were subject to the reporting regulation” (S. 28).
Wenige Hauptlieferanten von Einwegplastik: Revealed: Businesses and Banks behind Global Plastic Waste Crisis von der Minderoo Foundation vom 18. Mai 2021: “..just 20 companies – supported by a small group of financial backers – are responsible for producing over 50 per cent of ‘throwaway’ single-use plastic that ends up as waste worldwide … ExxonMobil tops the list – contributing 5.9 million tonnes to global plastic waste – closely followed by US chemicals company Dow and China’s Sinopec. One hundred companies are behind 90 per cent of global single-use plastic production. … Close to 60 per cent of the commercial finance funding single-use production comes from just 20 global banks. A total of US$30 billion of loans from these institutions – including Barclays, HSBC and Bank of America among others – has gone to the sector since 2011. … Twenty asset managers – led by US companies Vanguard Group, BlackRock and Capital Group – hold over US$300 billion worth of shares in the parent companies of single-use plastic polymer producers. … A 30 per cent increase in global throwaway plastic production is projected over the next five years … This growth in production will lead to an extra three trillion items of throwaway plastic waste by 2025 alone …Recycled plastic or feedstocks account for no more than 2 per cent of global single-use plastic production, meaning 98 per cent of these plastics are produced from fuels; … More than 130 million metric tonnes of single-use plastic ended up as waste in 2019 – almost all of which is burned, buried in landfill, or discarded directly into the environment. Nineteen percent of this waste – some 25 million metric tonnes – became pollution, dumped in oceans or on land”.
Klimawandel erfordert Umverteilungen: Combining ambitious climate policies with efforts to eradicate poverty von Bjoern Soergel, Elmar Kriegler, Benjamin Leon Bodirsky, Nico Bauer, Marian Leimbach und Alexander Popp vom 27. April 2021: “Climate change threatens to undermine efforts to eradicate extreme poverty. However, climate policies could impose a financial burden on the global poor through increased energy and food prices. … A continuation of historical trends will leave 350 million people globally in extreme poverty by 2030. Without progressive redistribution, climate policies would push an additional 50 million people into poverty. However, redistributing the national carbon pricing revenues domestically as an equal-per-capita climate dividend compensates this policy side effect, even leading to a small net reduction of the global poverty headcount (−6 million). An additional international climate finance scheme enables a substantial poverty reduction globally and also in SubSaharan Africa” (abstract).
Schulden als Konjunkturbremse? Indebted Demand von Atif Mian, Ludwig Straub und Amir Sufi vom 15. April 2020: “… we proposed a new theory connecting several recent secular trends: the increase in income inequality, financial liberalization, the decline in natural interest rates, and the rise in debt by households and governments. The central element in our theory are non-homothetic preferences, which lead to richer households having greater saving rates out of a permanent income transfer. This gives rise to the idea of indebted demand: greater debt levels mean a greater transfer of income in the form of debt service payments from borrowers to savers, and thus depress demand. We identified three main implications of indebted demand. First, secular economic shifts that raise debt levels (e.g. income inequality or financial liberalization) also lower natural interest rates, which then itself has an amplified effect on debt. Second, monetary and fiscal policy, to the extent that they involve household or government debt creation, can persistently reduce future natural interest rates. … Finally, when the lower bound is binding, the economy is in a debt-driven liquidity trap with depressed output. In this “debt trap”, debt-financed stimulus deepens the recession in the future, whereas redistributive policies and policies addressing the structural sources of inequality mitigate it” (S. 52).
Verantwortungsvolle Investments bzw. Divestments
Nachhaltige Geldanlagen wachsen weiter: Marktbericht Nachhaltige Geldanlagen 2021 Deutschland, Österreich & die Schweiz vom FNG – Forum Nachhaltige Geldanlagen vom Juni 2021: „Deutschland …69% beträgt das Wachstum der nachhaltigen Fonds – verantwortlich hierfür sind enorme Mittelzuflüsse 2020, … 6,4% beträgt der Anteil nachhaltiger Fonds und Mandate am deutschen Gesamtfondsmarkt … 117% Wachstum bei Privatinvestitionen in nachhaltige Fonds …“. Mein Kommentar: Das FNG liefert wieder viele interessante Informationen aber es fehlen auch wichtige Daten, um Greenwashing beurteilen zu können, z.B. detaillierte Zahlen zu Kombinationen von Nachhaltigkeitsansätzen, zu Best-in-Universe Ansätzen etc. vgl. PRISC – Policy for Responsible Investment Scoring: Die Taxonomiealternative von der DVFA – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
Falsche Staatanleihe ESG-Ratings? Demystifying Sovereign ESG von Ekaterina M. Gratcheva, Teal Emery und Dieter Wang von der Weltbank vom 28. Mai 2021 (#17): “… the current sovereign ESG approach is affected by perverse incentives when higher-income countries are rewarded at the expense of lower-income countries, which have larger SDG funding gaps and offer the most potential for making ESG-related improvements. … sovereign ESG challenges are distinct from those of corporate ESG. First, the ingrained income bias permeates the sovereign ESG segment overall, as well as sovereign G and S pillars. Second, the sovereign E pillar is the most challenging, which is consistent with the challenging and opaque data landscape of underlying environmental variables. … Currently, practical solutions adopted by select practitioners to adjust income rely on subjective inputs, assumptions, and nontransparent adjustment to existing data gaps and lags. This approach renders the resulting scores difficult to interpret and compare, presenting significant challenges to investors interested in measurable sovereign ESG outcomes” (S. 47). Mein Kommentar: Ich nutze bewusst keine Staatsanleihen, sondern nur Anleihen von multilateralen Entwicklungsorganisationen.
Klimainvestment-Überoptimierung? EU Paris-Aligned and Climate Transition Benchmarks: A Case Study von Yang Wang, Peter Gunthorp und David Harris von FTSE Russell vom Juni 2021: “ … a benchmark wishing to be classified as an EU Paris-aligned Climate Transition benchmark (PAB) and Climate Transition Benchmark (CTB) meet a comprehensive set of objectives beyond simple reductions in carbon emissions. … A tilt-based target exposure framework is a flexible structure that permits the construction of portfolios with precise exposure objectives to style factors, climate targets, and ESG objectives. This article employs such a framework to construct PAB and CTB portfolios based on the FTSE All-World universe covering large and mid-size companies in developed and emerging markets. We demonstrate that over the simulation period from 2009 to 2019, the resulting PAB and CTB portfolios were able to achieve all the required objectives specified in the TEG report, and examine the sources of outperformance over the period” (S. 99/100). Mein Kommentar: Einfache „Weltverbesserung“ mit verantwortungsvollen Geldanlage-Benchmarks – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
Haben Proxy Advisors zu wenig Ressourcen? Are ISS Recommendations Informative? Evidence from Assessments of Compensation Practices von Ana Albuquerque, Mary Ellen Carter und Susanna Gallani vom 6. Oktober 2020 (#268): “The lack of congruence between market forces that continue to support proxy advisory services and academic evidence suggesting their services may not add value leads us to revisit the question of whether ISS assessments identify firms with suboptimal CEO pay packages. Using data obtained from ISS from 2010 to 2016 for Russell 3000 companies, we find that ISS recommendations are associated with future industry-adjusted accounting performance, but only for non-December fiscal year-end firms. This suggests that when ISS is less busy and able to devote better resources to analyzing firms’ compensation packages, their recommendations are of higher quality and they are better able to identify poorer compensation packages” (S. 30).
Banken haben hohe fossile Risiken: Fossil assets: the new subprimes? How funding the climate crisis can lead to a financial crisis vom Institut Léonard de Vinci vom Juni 2021: “… ending our addiction to fossil fuels will eventually lead financial assets tied to fossil fuels to lose all market value. This report suggests that a conservative estimate of losses caused by these stranded assets would represent €500 billion for the 11 largest banks in the eurozone, representing 95% of their equity on average” (S. 23).
Prognose erwünschter Divestmentergebnisse? Does excluding sin stocks cost performance? von David und Laurens Swinkels von Robeco vom 5. Mai 2021 (#206): We examined the impact of excluding sin stocks on expected portfolio return and risk. … we found that exclusions … leading to lower expected returns. However, if the amount of exclusions is not too drastic it may be possible to offset such undesired factor tilts by increasing the weight of stocks that offer similar factor characteristics. … Although it can be theoretically argued that sin stocks should command a higher average return, there is no strong empirical evidence for the existence of such a sin premium – nor for a sin discount for that matter. Mein Kommentar 1: Das ist spekulativ: “… past data may no longer be representative if exclusion policies become successful at raising the cost of capital of sin stocks, which could create a sin premium in the future. For pension funds we estimate that naively excluding sin stocks gives a return loss that may ultimately translate into 5% lower pensions, due to the combined effects of going against established factors and missing out on a potential sin premium”. Und diese “Unter-“Diversifikationsdefinition ist subjektiv: “From a risk perspective we argued that exclusions lead to under-diversification and an exposure to unrewarded, diversifiable risk, or tracking error. A high tracking error brings along the risk of significant underperformance compared to peers” (S. 14/15) Mein Kommentar 2: Vgl. meinen Beitrag „Divestments bewirken mehr als Stimmrechtsausübungen oder Engagement“ aus dem Buch „Nachhaltige Finanzen – Durch aktives Aktionärstum und Engagement Wandel bewirken“ (kostenpflichtig) von CRIC – Verein zur Förderung von Ethik und Nachhaltigkeit in der Geldanlage vom Dezember 2020
Braucht Sustainable Investing Blockchain? Scaling up sustainable investments through blockchain-based project bonds von Yushi Chen und Ulrich Volz vom 6. Mai 2021 (#28): “ … we explore how fintech can complement conventional capital markets and help to mobilize finance for sustainable infrastructure investments. … it puts forward a proposal for blockchain-based project bonds aiming to finance sustainable investments. It involves the use of a digital crowdfunding platform to raise finance, while the blockchain is able to record transparently and certify the use of proceeds, sustainability impact, and revenue streams of the project. The suggested approach would not only provide investors of different sizes with the opportunity to purchase local-currency assets and issuers such as municipalities to raise funds for sustainable infrastructure investment. It would also facilitate project management once the project is operational by offering easy technical solutions for metering and billing. Last but not least, this approach would create full transparency across the life cycle of the investment, reducing problems of misappropriation of funds.” (S. 12).
Divestments und Investments generell
Sind Researchstudien besser als ihr Ruf (1)? Open Source Cross-Sectional Asset Pricing von Andrew Y. Chen und Tom Zimmermann vom 24. Mai 2021 (#2420): “Our data shows that nearly 100% of the literature’s predictability results can be reproduced, and that predictability survives a number of robustness tests including, out-of-sample performance, monotonicity, and a variety of methodological choices. Being open source, our dataset also shows how these results are achieved. … Our code is written explicitly with the user in mind. The structure is modular and parallel, so that pieces of the code can be easily fixed or improved despite the massive size of the entire package” (S. 29).
Sind (US) Researchstudien besser als ihr Ruf (2)? Is There a Replication Crisis in Finance? von Theis Ingerslev Jensen, Bryan Kelly und Lasse Heje Pedersen vom 5. März 2021 (#3314): “ … we re-visit the evidence on replicability in factor research and … find that US equity factors have a high degree of internal validity in the sense that over 80% of factors remain significant after modifications in factor construction that make all factors consistent, more implementable, while still capturing the original signal … we find highly similar qualitative and quantitative behavior in a large sample of 153 factors across 93 countries as we find in the US. We also show that, within the US, factors exhibit a high degree of consistency in their behavior between their published in-sample periods and in out-of-sample data not considered in the original studies” (S. 48/49).
Heterogene deutsche Stiftungen: Investor Orientation and Endowment Portfolio Investments in German Foundations von Maximilian Kremer und Ann-Kristin Achleitner vom 1. Juni 2021 (#11): “Germany benefits from an especially lively philanthropic sector, with over twenty three thousand active charitable foundations. An empirical assessment of the portfolio preferences of German foundations yields fundamental intragroup differences in their approach to asset allocation. We build on entrepreneurial orientation theory to explore these differences in behavior, motives, rationales and portfolio investment preferences and extract a typology along a commercial and mission orientation in charitable foundations’ investment orientation. We suggest an explanatory model that improves our understanding of the observed differences foundations exhibit in their investment orientation and enables a more structured understanding of the sources of capital for differing commercial and social endeavors” (abstract).
Coin-fear of missing out: FOMO in Digital Assets von Tatja Kärkkäinen vom 4. April 2021 (#134): “Using OECD survey data on attitudes to crypto assets in South-East Asia, we can see evidence of self-reported FOMO motivation to invest with ICOs when this is interacted with the facility to invest e.g. wealth. An alternative explanation for this interaction is that the wealthier group members were targeted by online promoters with a FOMO marketing campaigning. This interaction explains circa 25% of the ICO ownership. This is similar to the effect of owning cryptocurrencies. … negative feelings such as negative financial satisfaction were explaining both awareness of ICOs, but also previous and current ICO ownership. We also see retail investor participation in long-term investing” (S. 14).
Divestments, Behavioral Finance, Vermögensverwaltung und Fintechs
Mehr Geld macht gieriger: What drives investors to chase returns? von Jonathan Huntley, Valentina Michelangeli und Felix Reichling vom 25. Mai 2021 (#28): “We use 18 years of data from single-employee businesses … Compared to the large-employer … investors analyzed in other studies, our sample is populated by more highly educated, wealthier individuals who are more financially educated and have more resources. … we would expect that these investors would be less likely to chase returns. Instead, we find that our investors display a similar behavioral bias, but concentrated in response to exceptionally high returns … The propensity to chase returns appears to be … correlated with age and account size” (S. 34).
Sind Risikobefragungen sinnlos? When it comes to the crunch: retail investor decision-making during periods of market volatility von Chris Brooks und Louis Williams vom 19. Mail 2021 (#39): “We find that .. attitude to risk … lacks strength as a predictor of reaction during periods of market volatility. Instead, we find that previous behaviour, along with emotional, personal and demographic characteristics can contribute to this understanding, highlighting the necessity to incorporate additional measures that can complement risk tolerance assessments …. “
Vermögensverwaltung muss sich ändern: Where will wealth take clients next? 2021 EY Global Wealth Research Report von Ernst & Young vom April 2021: ”The uncertainty and disruption of the past year have brought about profound changes in clients’ values … clients are open to sharing more personal data, are interested in consolidating their relationships, and are willing to pay more for holistic, individualized and meaningful experiences. Set against that, clients’ growing demands for tailoring, diversification, protection, education, sustainability and flexible interactions also pose significant challenges”.
ESG Investing wird differenzierter: Wealth & Asset Management Competing for Growth von Morgan Stanley und Oliver Wyman vom Juni 2021: “For wealth managers, the shift to providing more holistic financial advice and planning requires them to move beyond constructing standardized portfolios, to greater customization that utilises a broader array of product types and technology to deliver it to lower wealth bands. For ultra high net worth (UHNW) and high net worth (HNW) investors we see private markets and ESG as the largest opportunity. For asset managers, the opportunity is in delivering differentiated, in-demand products, increasingly into the retail channel, which offers better economics than institutional and represents an increasing share of total industry assets under management (AUM). Reviewing the outlook for wealth and asset managers together for the first time, we see them competing for common growth opportunities. … By 2025, we expect each to represent a significant opportunity in its own right: • Total private markets fund AUM of ~$13TN • Total ESG fund AUM of ~$6.5TN • Bitcoin ETF AUM ~$0.3TN (one crypto store-of-value use case) • Direct indexing managed accounts AUM of ~$1.5TN (one customization product manifestation) (S. 4). … Beyond screening: In addition to a geographical shift, we observe a strategic shift from ‘less mature’ strategies, such as screening and exclusion, to ‘more mature’ strategies, such as impact and thematic investments. … • Beyond ‘E’: ‘More mature’ strategies will require decomposing ESG and will create an opportunity for managers to differentiate by enabling investors to focus on the specific themes and goals they care about, for example by targeting UN Sustainable Development Goals (SDGs) across E, S and G” (S. 5). Mein Kommentar: Das past zu meinen Ansätzen vgl. Soehnholz ESG GmbH statt Diversifikator – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com) und Conscious Fintech? 5 Jahre Diversifikator – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
Vermögensverwalter müssen sich ändern: When Clients Take the Lead – Global Wealth 2021 von Anna Zakrzewski et al. von der Boston Consulting Group vom Juni 2021: “Although banks and related advisory institutions have talked for years about being client led, most continue to view the world as they always have, seeing clients primarily through the prism of products and serving them as a collection of wallets. By turning the lens around, WMs can access revenue pools that they’ve been missing out on for years. To succeed, they must shake up their current ways of working and digitize their business models, enabling cross-functional teaming and realigning roles, performance measurement, and incentives. Those that adapt their operating model to put clients at the center and fully adjust their processes and ways of working can turn the next five years into a period of unprecedented prosperity” (S. 42).
Banken unter starkem Fintech-Druck: Fintech: What’s Old, What’s New? Von Arnoud Boot, Peter Hoffmann, Luc Laeven und Lev Ratnovski vom 8. Januar 2021 (#140): “This paper provides an overview of the effects of recent innovations in information (data collection and processing) and communication (distribution and connectivity) on the structure of financial (S. 24) intermediation. … The key new development is the abundance of non-financial data, including from digital footprints, which can be used in financial services provision. Thanks to large volumes, these data can be analyzed using machine learning and artificial intelligence, which gives rise to economies of scale in data usage and thus benefits large technology firms and other platform intermediaries … we argue that recent innovations render communication advantages a key competitive factor in financial services by reducing barriers to entry and weakening banks’ traditional role as the “first point of contact” for financial services. New distribution channels enable the entry of specialized financial service providers with a focus on activities that do not require access to deep balance sheets, such as payments and asset management. Furthermore, it allows digital platforms to include financial services into their ecosystems to further reduce search and connectivity costs. These developments pose a formidable challenge to the traditional business model of universal banking … the increasing relevance of cloud computing services enables large technology firms to directly engage with large corporate clients, and thus compete with banks in financial services provision to this clientele as well” (S. 24/25).
Gehälter und Boni
Wenig Einfluß auf Topmanager Überbezahlung: Top Dogs and Fat Cats – The debate on High Pay von J.R. Shakleton vom Instituite of Economic Affairs vom 3. Januar 2021 (#8): “Top pay has risen much faster than average levels of pay in the last twenty years. This is in part the consequence of globalisation and developments in communications technology, but it may also be a result of rigged markets and ‘crony capitalism’. It is asserted that shareholders do not have enough influence on setting executive pay, which is determined by remuneration committees and consultants with a vested interest in boosting top pay. … it does seem that pay reacts (both positively and negatively) to changes in performance, though possibly less than it should” (S. Xiv/Xv). Mein Kommentar: Um Nachhaltigkeit zu fördern, sollen sich Boni nach Meinung vieler Marktteilnehmer an nachhaltigen Zielen orientieren, siehe aktuell z.B. DWS will Führungscrew künftig anders belohnen | Unternehmen | 09.06.2021 | FONDS professionell. Meine Thesen: 1) Variable Vergütung erhöht typischerweise die Gesamtvergütung 2) Wenn variable Vergütung um zusätzliche (Nachhaltigkeits-) Elemente ergänzt wird, erhöht sich die durchschnittliche variable Vergütung. Fazit: Boni für Nachhaltigkeit sind nicht unterstützenswert. Interessante weitere Quellen: Ana Albuquerque, Mary Ellen Carter, Luann J. Lynch: Complexity of CEO Compensation Packages, vom November 2015; Alex Edmans, Xavier Gabaix, Dirk Jenter: Executive Compensation: A Survey of Theory and Evidence, Cesifo Working Papers vom Juli 2017