Umwelt

Schlechte Luft tötet: State of Global Air 2020 – A special report on global exposure to air pollution and its health impacts, vom Health Effects Institute vom Oktober 2020: “In 2019, air pollution ranked 4th among major mortality risk factors globally, accounting for nearly 6.75 million early deaths and 213 million years of healthy life lost. … . In 2019, particulate matter air pollution … contributed to the deaths of nearly 500,000 infants in this age group. The reality is that despite the explosion in data in recent years that have brought intense focus on air pollution, little or no progress has been made toward reducing air pollution and its associated health burden in many regions of the world” (S . 25).

Auch in Berlin et al.: Luftverschmutzung verursacht viele frühzeitige Tode: Health costs of air pollution in European cities and the linkage with transport von Sander de Bruyn und Joukje de Vries Delft von CE Delft vom Oktober 2020: “For all 432 cities in our sample (total population: 130 million inhabitants), the social costs quantified were over € 166 billion in 2018. In absolute terms, London is the city with the highest social costs. In 2018, the loss in welfare for its 8.8 million inhabitants totalled € 11.38 billion. London is followed by Bucharest, with an annual loss in welfare of € 6.35 billion and Berlin, with an annual loss of € 5.24 billion. …. Most of these costs relate to premature mortality“ (S. 5).

Guter Überblick zum Biodiversitätsstand in Europa: State of nature in the EU Results from reporting under the nature directives 2013-2018 vom Oktober 2020: “Agricultural activities (and abandonment) and urbanisation are the major pressures for habitats and species, followed by pollution” (S. 8).

ESG Action und ESG Inaction

Banken gegen Biodiversität: Bankrolling extinction: The banking sectors role in the global biodiversity crisis von Portfolio Earth vom Oktober 2020.: “This report shows how banks are funding the destruction of nature. In 2019, the world’s largest banks invested more than USD 2.6 trillion (equivalent to Canada’s GDP) in sectors which governments and scientists agree are the primary drivers of biodiversity destruction. Importantly, none of the banks assessed have chosen to put sufficient systems in place to monitor or measure the impact of their loans on biodiversity, nor do they have comprehensive policies to halt it. …. This report calls for: Banks to disclose and radically reduce their impact on nature and stop finance for new fossil fuels, deforestation, overfishing and ecosystem destruction. Governments to stop protecting the role of banks in biodiversity destruction and rewrite the rules of finance to hold banks liable for the damage caused by their lending” (S 7).

Anti-Green EU: Decarbonising is easy – Beyond market neutrality in the ECB’s Corporate QE von Yannis Dafermos, Daniela Gabor, Maria Nikolaidi, Adam Pawloff und Frank van Lerven von Greenpeace vom 20. Oktober 2020 (Einleitung): „Weit mehr als die Hälfte der von der Europäischen Zentralbank (EZB) erworbenen Unternehmensanleihen (63 Prozent) stammt aus wenigen Sektoren, die mit ihrem CO2-Ausstoß massiv zur Klimakrise beitragen. …. Ausgangspunkt für die Analyse sind die von der EZB im Rahmen ihres Ankaufprogramms CSPP erworbenen Bestände an Unternehmensanleihen mit einem Umfang von 242 Milliarden Euro Ende Juli“.

Klimafinanzierung mit Tücken und Lücken: Climate Finance Shadow report 2020 – Accessing progress towards the $100 billion commitment von GROW und Oxfam vom Oktober 2020: “Over a decade ago, developed countries committed to mobilize $100bn per year by 2020 to support developing countries to adapt to the impacts of climate change and reduce their emissions. The goal is a critical part of the grand bargain that underpins the Paris Agreement” (S. 2). “The dubious veracity of reported numbers, the extent to which climate finance is increasing developing country indebtedness, and the enduring gap in support for adaptation, …. are grave concerns. Meeting the $100bn goal on these terms would be cause for concern, not celebration” (S. 3).

Unternehmen mit staatlicher Beteiligung sollten ESG Vorreiter sein: Sustainable and Resilient Finance – OECD Business and Finance Outlook 2020 vom 29. September 2020: “This edition of the OECD Business and Finance Outlook analyses current tools and practices with an emphasis on private finance and investment towards long-term value creation. …. In some cases high “E” scores correlate positively with high carbon emissions, due to the multitude of diverse metrics on different environmental factors and the weighting of those factors. ….Around one-fourth of the largest global companies are entirely or largely state-owned enterprises (SOEs), and these companies can and should serve not only long-term value but also the fulfilment of widely held public policy priorities, including on sustainability measures” (S. 15/16).

Ist Nahrungsmittelspekulation gut? Food Prices, Ethics and Forms of Speculation von Don Bredin, Valerio Poti und Enrique Salvador vom 26. Oktober 2020: “We adopt a behavioural model and data from traders to formally examine the role of speculation in food commodities during the period of financialization. Our results indicate that speculators and manipulators play a consistent, yet relatively minor, role throughout our sample. …. All indications point to a food price spike occurring as a result of the COVID-19 pandemic … Speculators short-term actions are price correcting, while manipulators will push prices away from their fundamental value. While our results point to some indications of a growing role being played by manipulators, it is important to emphasize that it is very small in relation to food price determination” (S. 12/13).

ESG Action und Impact Basics

Gute Einordnung von ESG Definitionen: Finding the Opportunity in ESG – ESG disclosures: the bedrock of the sustainable finance agenda von Invesco vom Oktober 2020: Guter Überblick auch zu UN Global Compact, Sustainable Development Goals, International Integrated Reporting Council, Sustainability Accounting Standards Board, Global Reporting Initiative, CDP Worldwide (formerly Carbon Disclosure Project), Taskforce for Climate-related Financial Disclosures.

Mehr als Voting und Engagement: The Investor’s Guide to Impact – Evidence-based advice for investors who want to change the world von Florian Heeb und Julian Kölbel vom CSP vom Oktober 2020: “By investing in corporations, investors might principally seek a financial return, but they are implicitly and explicitly also participating in the impact of their companies on employees, communities, and the planet. … HOW CAN I HAVE INVESTOR IMPACT? … Screen your public equity and debt holdings for transparent ESG criteria. Screening out companies that lag behind on widely accepted business norms (e.g., no child labor and setting climate goals) is more likely to cause companies to improve than screening out entire industries” (vgl. S. 5 und auch https://prof-soehnholz.com/prisc-policy-for-responsible-investment-scoring-die-taxonomiealternative-von-der-dvfa/).

ESG Action und Asset Management

Kommt eine ESG-Welle oder Flut? 2022 The growth opportunity of the century – Are you ready for the ESG change? von PWC Luxemburg vom Oktober 2020: “ESG is nothing less than an all-encompassing shift in the investment landscape; placing financial and nonfinancial performance criteria on a level playing field. It might have the same, if not a greater, impact than the introduction of UCITS or AIFMD standards. Indeed, the emergence of Sustainable Finance policy in Europe will see a significant impact not only on products (UCITS, AIFs, Discretionary Mandates), but on financial agents (MiFID firms, Insurance brokers) and fiduciary investors (Insurance companies, pension funds) at the same time. The rapid uptick of ESG products is ushering in a paradigm shift across the greater European AWM industry. In Europe alone, in our best-case scenario, we expect ESG fund assets under management (AuM) to account for over 50% of total European mutual fund assets by 2025. This will represent a staggering 28.8% compound annual growth rate (CAGR) from 2019 to 2025” (S. 6). “We believe that, … the performance gap between ESG and non-ESG products will continue to widen, as ESG investment processes become more sophisticated and the increasing impact and social acknowledgment of sustainability risks further shifts investor sentiment in favour of ESG investments” (S. 7). 77% der institutionellen Investoren wollen schon bald (24 Monate) nicht mehr in nicht-ESG Produkte investieren (S. 34). „Our survey indicates that 37% of institutional investors are willing to pay a premium for ESG products, with the majority of them ready to pay between 21 and 40 bps” (S. 35).

Fintech ist gut für Berater: Tech-HeavyRIAs Rise to the Top von Michael Thrasher von RIAIntel vom 19. Oktober 2020: “Most financial advisors “do not use technology extensively” but the ones who do, are more efficient and manage more money, according to a study by Cerulli Associates, a Bostonbased research and consulting firm”, (vgl. https://prof-soehnholz.com/hybridmodelle-worauf-traditionelle-finanzdienstleister-bei-robo-advisors-achten-sollten/).

CO2 Scores sind vertriebsrelevant: Are investors aware of climate-related transition risks? Evidence from mutual fund flows von Juan Reboredoa und and Luis Otero vom 21. Oktober 2020: “The evidence suggests that investors …. allocate more money to funds with low CRS (Carbon Risk Score) values and less money to funds with high CRS values. … We find that low star-rated fund flows are sensitive to climate-related transition risk, whereas flows for four-star and five-star funds occur independently of carbon risk. We also find that flows of SRI funds and of high sustainability funds are more sensitive to climate-related transition risk than other funds” (S. 26/27).

Portfoliomanagement generell, auch ohne ESG Action

Ist Konzentration besser als Diversifikation? Long-term shareholder returns: Evidence from 64,000 global stocks von Hendrik Bessembinder, Te-Feng Chen, Goeun Choi und K.C. John Wei vom 21. Oktober 2020: “We also document that the majority, 56.6% of U.S. stocks and 61.3% of non-U.S. stocks, underperform one-month U.S. Treasury bills in terms of compound returns over the full sample. Focusing on aggregate shareholder outcomes, we find that the top-performing 1.5% of firms account for all of the $US 56.2 trillion in net global stock market wealth creation from 1990 to mid-2020. Outside the US, less than one percent of firms account for the $US 20.1 trillion in net wealth creation” (abstract). Mein Kommentar: Obwohl man nur wenige Aktien richtig selektieren müsste, scheinen aktive Manager das nicht gut zu können und passive Fonds zu breit zu diversifizieren.

Entfällt bei richtiger Messung ein weiterer Faktoreffekt? Momentum? What Momentum? Von Erik Theissen und Can Yilanci vom 24. Oktober 2020: “ “Momentum portfolios are characterized by high turnover. As a consequence, the factor exposure of momentum portfolios varies over time … The risk-adjusted return of momentum strategies is usually estimated by running a full sample regression of the portfolio returns on a set of factors. This procedure is based on the implicit assumption that the factor exposure of the momentum portfolio is constant. Essentially, the procedure adjusts for the average factor exposure, which may well be close to zero. We propose to adjust for risk at the stock level rather than at the portfolio level. … When we apply it to a broad sample of US stocks covering 1963-2018 we find no significant momentum effect in the full sample or in sub-samples of large, small and micro caps. … Our results imply that the momentum effect may actually be much weaker than previously thought, and that the returns to momentum strategies may, to a large extent, be a compensation for risk” (S. 25, vgl. https://prof-soehnholz.com/faktorallokation/).

Guter Einstieg in Faktoranalysen: Factor Exposure Analysis 101 – Testing the effectiveness and sensitivity of linear regressions von Factor Research vom Oktober 2020: “Linear regression is widely used for factor exposure analysis However, a high R2 and low p-value can be misleading”.

Analysten können richtig liegen: Analyst recommendations and anomalies across the globe von Vitor Azevedoa und Sebastian Müller vom 13. Oktober 2020: “We reexamine the value of analyst recommendations and their relation to anomalies using an international dataset over a sample period from 1994 to 2019. Our first central message is that analyst recommendations are much more valuable for international stocks than US stocks. Thus, our evidence suggests that analysts are more sophisticated than previously thought. The breath of our data also allows us to show that recommendations are more predictive of future returns in markets that are less developed and in markets with higher limits-to-arbitrage, as evidenced by short-sale restrictions” (S. 28). …. “analysts are indeed prone to favor overvalued stocks in individualistic countries like the US or in the presence of market-wide sentiment” (S. 29). Mein Kommentar: Wenn das stimmt, warum gibt es dann so viel Underperformance aktiver Fonds? Vertrauen Fondsmanager Analysten nicht?

Auch Andrew Lo kann “den Markt” nicht schlagen: Dynamic Indexing and Allocation: Do they Dominate Simple Static Indexing? Von Joseph McCarthy und Edward Tower vom 22. September 2020: “Andrew Lo in his book, Adaptive Markets, advocates an investment product that he names a “dynamic index.” He has facilitated the operation of a variant of this dynamic indexation, “dynamic allocation,” by founding a company, AlphaSimplex. … On average AphaSimplex funds underreturn portfolios of Vanguard index funds with the same style by 2.54 % age points per year. Some of that is because of expense ratios. Gross of expense ratios the average underreturn is 1.51 % age points/year” (abstract).

Textanalyse kann helfen oder schaden: Do Short Sellers Use Textual Information? Evidence from Annual Reports von Hung Wang Kot et al. vom 16. Oktober 2020: “Using textual data from annual reports and daily shorting volume data from NYSE/Amex/Nasdaq over 2009-2015, we find that more uncertainty and negative words in annual reports are associated with greater abnormal shorting volume. Short selling motivated by textual information negatively predicts stock price reaction around the filing date of 10-Ks. Further analysis shows that textual information used by short sellers are related to the revisions of analysts’ earnings forecasts, changes in firm fundamentals, as well as increasing crash risk subsequently. Our results suggest that textual information in annual reports forms an important part of short sellers’ information advantage” (S. 26). Mein Kommentar: Ich bin nicht sicher, was Korrelation ist und was kausal ist. Textanalyse z.B. für Nachhaltigkeitsbeurteilungen von Unternehmen halte ich jedenfalls für sinnvoll.

Trustlose Finance Professionals: The Death of Trust Across the Finance Industry von Peter Limbach, Raghavendra Rau und Henrik Schürmann vom 15. Mai 2020: “we document that the level of generalized trust among finance professionals has uniquely declined, significantly more so than the decline of trust in the general U.S. population.  The relative decline of trust appears at least partly related to changes in economic conditions in the U.S., the professional environment in the finance industry, and to the level of socialization among finance industry professionals” (S. 24/25).

Anlegerverhalten generell

Anleger beachten Schwanz-Risiken: Do Investors Care About Tail Risk? Evidence from Mutual Fund Flows von Yong Chen und Wenting Dai vom 13. Oktober 2020: “… we observe how fund flows respond to the variation in tail risk across individual funds …. From a sample of more than 3,800 mutual funds over the period 1991-2019, we find strong evidence that investor flows are sensitive to tail risk, in that a high tail risk is associated with significantly lower subsequent fund flows in the cross section. …. Our evidence suggests that investors care about tail risk as a separate factor in the decision-making, over and above the impacts of fund performance” (S. 23/24).

Passiv ist weder völlig gut noch schlecht: The Shift from Active to Passive Investing: Potential Risks to Financial Stability? Von Kenechukwu Anadu, Mathias Kruttli, Patrick McCabe und Emilio Osambela vom 19. Mai 2020: “The past couple of decades have seen a significant shift from active to passive investment strategies .. Some passive strategies amplify market volatility, and the shift has increased industry concentration, but it has diminished some liquidity and redemption risks. Finally, evidence is mixed on the links between indexing and comovement of asset returns and liquidity” (abstract).

Aktien- gegen Anleiheanleger? Bondholders´ returns and stakeholder interests: When are they ligned? von Maretno A. Harjotoa, Andreas G. F. Hoepner, Marcus A. Nilsson vom 26. Oktober 2020: “The bondholders’ interests are not aligned with the stakeholders’ interests when firms engage in CSR investments (strengths). This result is aligned with the view that bondholders view such investments as a risk shifting by the shareholders” (S. 32). Mein Kommentar: Konzeptionell interessant aber m.E. nicht sehr praxisrelevante Studie.

Anleihefonds im Covid-Stress: Financial Fragility in the COVID-19 Crisis: The Case of Investment Funds in Corporate Bond Markets von Antonio Falato, Itay Goldstein und Ali Hortaçsu vom 3. August 2020: “In order to understand the fragility of the asset management sector, we have used rich high-frequency microdata on individual fund flows, returns, and holdings of corporate debt funds and ETFs, and the COVID-19 crisis as a laboratory to evaluate different forces that lead to fragility. We have shown evidence that funds were under severe stress in the COVID-19 crisis and particularly so those that were illiquid and vulnerable to fire-sales” (S. 25/26).

Unerwünschte Effekte: Mehr “Attention” von (Groß)Anlegern reduziert freiwillige Informationen von Unternehmen: Disclosure and Investor Inattention von Jeremy Bertomeu, Peicong (Keri) Hu und Yibin Liu vom 30- September 2020: ”Investors have a finite capacity to organize all information they receive from financial disclosures. ….. for high levels of attention, more attention better identifies, and therefore deters, unfavorable voluntary disclosure. …. using institutional ownership as a proxy for investor attention” (abstract).

Politischer Aktivismus von Großunternehmen zahlt sich aus: Political Activism and Market Power von Elia Ferracuti, Roni Michaely und Laura Wellman vom 10. August 2020: “we document that politically active firms sustain an exceptional increase in market power following periods of high policy uncertainty; this increase in market power eventually translates to higher profitability. Moreover, these effects persist for up to two years. To the extent that increased profit margins over long periods of time may be costly to consumers, our results indicate a potential distortion in competition between politically active and inactive firms. …. we also observe that large, politically active firms sustain the most significant gains in market power, thereby indicating that the increasing difficulty faced by small firms in competing with large firms is at least partially explained by political activism. …. In sum, our results posit that the ability to strategically time large capital investments provides politically active firms with a competitive advantage over inactive industry peers” (S. 30/31).

Sonstiges

Gut gegen Verschwörungstheorien: Katharina Nocun und Pia Lamberty: Fake Facts: Wie Verschwörungstheorien unser Denken bestimmen, Bastei Lübbe 2020: Kapitel 5: Wenn Klimamythen die Zukunft der Welt bedrohen.  Kapitel 14: Papa glaubt an Chemtrails? Tipps und Strategien zum Umgang mit Verschwörungsgläubigen.