ESG Analysevielfalt: Viel valide Kritik

ESG Analysevielfalt: Die Fundamentals

McKinsey zu Klimaprognoseschwierigkeiten, der wichtigen Rolle von Methan und mehr: Climate math: What a 1.5-degree pathway would take von Kimberley Henderson et al. Von McKinsey im McKinsey Quarterly Report vom April 2020: „While a number of analytic perspectives explain how greenhouse-gas (GHG) emissions would need to evolve to achieve a 1.5-degree pathway, few paint a clear and comprehensive picture of the actions global business could take to get there. And little wonder: the range of variables and their complex interaction make any modeling difficult. … we sought to cut through the complexity by examining, analytically, the degree of change that would be required in each sector of the global economy to reach a 1.5-degree pathway. What technically feasible carbon-mitigation opportunities—in what combinations and to what degree—could potentially get us there?“ (S. 1).

Erneuerbare Energien können viel Gutes bewirken: Tracking SDG 7: The Energy Progress Report 2020 von der International Bank for Reconstruction and Development und der Weltbank von 2020: “In several countries, expanded off-grid solutions have brought improved access to rural areas. By 2018, renewable off-grid technologies were providing below Tier 1 electricity services to 136 million people around the world, compared with about 1 million people in 2010. These services were provided primarily through standalone home systems and solar lighting, with mini grids having grown from a niche solution to being widely deployed in off-grid areas that offer sufficient demand. …. significant potential to advance on other SDGs—such as on gender, health, and education—” (S. 4). Access to clean cooking solutions: “in low- and middle-income countries, gas (LPG, natural gas, and biogas) has overtaken unprocessed biomass as the dominant fuel since 2010, reflecting its predominance in urban areas. In urban areas, the use of electricity for cooking has also risen. In rural areas, unprocessed biomass remains dominant, though its share is falling” (S. 6). … “This means that nearly a third of the world’s population will continue to be exposed to harmful household air pollution, and many will still be spending many hours gathering fuel. As cooks and fuel gatherers, women and their children are disproportionately susceptible to these negative effects” (S. 7).

Investments generell

Gute Fondperformanceprognosen sind sehr schwer: Mutual Fund Performance at Long Horizons von Hendrik Bessembinder et al. vom März 2020: “We study U.S. equity mutual funds for the 1991 to 2018 period, and show that the percentage of funds that outperform market benchmarks decreases with return horizon” (S. 38). …”We show theoretically and empirically that the sign of the short horizon (e.g. monthly) alpha does not necessarily reveal the sign of the longer horizon alpha” (S. 38; vgl. https://prof-soehnholz.com/investmentphilosophie-prognosefans-sollten-prognosefreie-portfolios-nutzen/).

Active Share hilft nicht sehr: Active Share and the Predictability of Portfolio Performance:  Out-of-Sample Evidence from Separate Accounts von Martijn Cremers, Jon Fulkerson und Timothy Riley vom 20. April 2020: „The results .. suggest that active share by itself does not strongly predict future performance, which should not be surprising. Cremers (2017) discusses how high active share is a necessary, but not sufficient, condition for outperformance. Even a completely uninformed investor can construct a portfolio that is very different from a benchmark” (S. 16). … “There is significant performance persistence for high active share separate accounts. …. Importantly, considering past performance alone is not effective at identifying outperforming separate accounts” (S. 17). … “Results for the mutual funds are similar, with the exception of the outperformance of the high active share and strong past performance portfolio” (S. 18). Danach hilft hohe Active Share fast nur bei SMAs mit fundamentaler Investmentstrategie und bei Small Caps.

Über 3000 unterschiedliche Value Definitionen: Value by Design von Stephan  Kessler, Bernd Scherer und Jan Philipp Harries vom 3. Juni 2020 (nur Abstract verfügbar): „Although academics and practitioners frequently refer in their work to equity value investing, no consensus exists as to what this style exactly encompasses. For a wide range of 3,168 alternative implementations (design choices) of what could all constitute value portfolios, the authors document the impact of parameter perturbations on risk-adjusted returns.“ Mein Kommentar: Es ist schon komisch, dass sich aktive Fondsmanager über uneinheitliche ESG Ratings beschweren.

Risiko für Sparkassenkunden? Produkte, die keiner braucht von Gerhard Schick von der Finanzwende vom 29. Mai 2020 (hier ohne Quellenangaben): “Es gibt so manches Produkt, das vor seiner Markteinführung kein Verbraucher je vermisst hat, und das dann doch hinreichend Abnehmer findet. Weil geniale Verkäufer es wortreich schönreden. Sogenannte Zertifikate zum Beispiel, die unter anderem in deutschen Sparkassen verkauft werden. …. Die Sparkassentochter Deka Bank stieg erst 2013– fünf Jahre nach dem Lehman-Skandal – richtig in den Markt ein, heute ist sie mit einem Anteil von mehr als 20 Prozent Marktführerin. Nimmt man die Landesbanken dazu, deren Miteigentümer die Sparkassen sind und die ebenfalls Tausende Zertifikate ausgeben, kommt man gar auf einen Marktanteil der Sparkassen von rund 50 Prozent. …. Aber es stellt sich auch die Frage, ob Sparkassen, die laut Gesetz dem Gemeinwohl verpflichtet sind, intransparente Finanzprodukte vertreiben sollten, die ihre Kunden nicht durchschauen. Wir meinen: Nein“.

Risikomanagement

Sehr valide Markowitz und Capital Asset Pricing Model Kritik von Morningstar: Warum herkömmliche Risikomodelle häufig daneben liegen von Paul Kaplan von Morningstar vom 26. Mai 2020: „Angesichts der Häufigkeit markanter Marktrückgänge, bei denen Aktien um 20 Prozent oder mehr fallen, sollte man meinen, dass Anlageexperten Renditeverteilungsmodelle verwenden würden, die derartige Rückschläge (und die nachfolgenden Erholungen) berücksichtigen. Aber leider beziehen viele gerade die Gefahr von Extremereignissen nicht in ihre Anlageentscheidungen ein.“ …. „Extreme Ereignisse finden sich in den historischen Aktienrenditen an allen Märkten der Welt. Dennoch existieren diese Extremereignisse in den statistischen Standardmodellen der Finanzwirtschaft nicht“ (vgl. https://prof-soehnholz.com/passive-asset-allokationen-sind-besser-als-aktive/).

Funktionieren Behavioral Finance Erklärungen nur in Krisen? Antinoise von Enoch Cheng und Clemens Struck vom 17. Mai 2020: “Behavioral economics makes numerous empirical observations in financial markets that may result from biased, signal-following traders. It is tempting to assume that these biases create larger systematic patterns in the markets. Yet, when we analyze U.S. equities, we find that the evidence for systematic patterns is rather small” (S. 23). … “With many uncorrelated signals in place, there is a high probability that each signal will face an opposing signal at each point in time” (S. 24). … “However, focusing on the dynamic behavior of the correlations, we find that correlations become more pronounced during episodes of stock market volatility” (S. 24).

Robuste Trendfolge? Adding a 1-Day Lag When Executing TAA Strategies bei Allocate Smartly vom 18. Mai: “We track 50+ public Tactical Asset Allocation (TAA) strategies in near real-time, allowing us to draw broad conclusions about TAA as a trading style. By design, most of those strategies trade just once per month, and most assume that next month’s asset allocation is both calculated and executed on the same day…”.  “Adding a 1-day lag has not significantly impacted performance (to the average strategy, executed on the average day) over the long-term. …. but signaling at EOM and executing at EOM + 1 has performed poorly” (EO = End of month).“ Mein Kommentar: Diversifikator nutzt tagesaktuelle Signale mit einer Signalbestätigung und einem Tag Zeitverzögerung. Das hat sich nach Handelskosten als attraktiv erwiesen, vgl. https://diversifikator.com/de/wp-content/uploads/2017/01/161230%20Diversifikator%20Test%20von%20Risikomanagement-Modellen.pdf).

Leerverkaufsverbote können Herdenverhalten von Anlegern reduzieren: From COVID-19 herd immunity to investor herding in international stock markets: The role of government and regulatory restrictions von Renatas Kizys, Panagiotis Tzouvanas und Michael Donadelli vom 11. Mai 2020: “Our tests support evidence of herding behaviour in the first three months of 2020. We also document that a more stringent government response to the coronavirus crisis mitigates investor herding behaviour … we find that the short-selling restrictions imposed by the national and supranational regulatory bodies in the EU are associated with lower levels of herding behaviour” (S. 14).

ESG Analysevielfalt: Performance

Muss ESG Outperformance bringen? Valuing ESG: Doing Good or Sounding Good? Von Bradford Cornell und Aswath Damodaran vom 20. März 2020: “The potential to make money on ESG for consultants, bankers and investment managers has made them cheerleaders for the concept ….  ESG advocates are on much stronger ground telling companies not to be bad than when they tell companies to be good” (S. 22). “ …in our view, when all is said and done, a lot of money will have been spent, a few people (consultants, ESG experts, ESG measurers) will have benefitted, but companies will not be any more socially responsible than they were before ESG was invented” (S. 23). Mein Kommentar: Man muss gar nicht zeigen, dass ESG höhere Renditen bringt. Vergleichbare Renditen reichen völlig aus, um ESG Investments zu favorisieren (vgl. https://prof-soehnholz.com/verantwortliche-esg-portfolios-brauchen-keine-outperformance-esg-etf-portfolio-mit-sehr-guter-performance/).

ESG ist weder klar unter- noch überwertet: ESG in the COVID-19 recovery von Doug Morrow und William Zerter von Sustainalytics vom 19. Mai 2020 zeigen ein buntes Bild von Über- und Unterbewertungen je nach Land und Branche.

Ist ESG doch noch nicht voll eingepreist? Corporate Environmental Impact: Measurement, Data and Information von George Serafeim et al. vom 6. April 2020: “We find the median environmental impact as a percentage of an organization’s revenues is close to 2% and above 10% in 11 out of 68 industries, suggesting a significant level of ‘hidden liabilities’ and potential for value erosion if environmental impacts are priced.” …. “However, we find that our estimates of environmental intensity contain information different from that in environmental ratings especially when comparing firms within industries” (S. 30). … “Environmental intensity is priced into several industries with large environmental intensity such as construction machinery or chemicals, but it is not for many industries with large and visible environmental intensity such as those in the Utilities and Energy sectors” (S. 31).

Verantwortungsvolle Anleger wollen vor allem negative Externalitäten vermeiden: The Asymmetry in Responsible Investing Preferences von Jacquelyn Humphrey et al. vom 21. Mai 2020: “Our results that responsible investing preferences are driven by aversion to negative externalities rather than affinity for positive externalities are consistent with the prevalence of negative screening – an important component of the majority of responsible investing strategies” (S. 27).

SWFs sind gut für ESG: The Global Sustainability Footprint of Sovereign Wealth Funds von Hao Liang und Luc Renneboog vom Dezember 2019: “This study investigates the relationship between SWFs and their portfolio companies’ ESG scores. ….The positive relationship between SWF ownership and ESG scores of target firms is in line with the existing literature ….(S. 17). We do not find evidence that SWF ownership increases the ESG performance of the firms belonging to the industries concerned …” (S. 18).

ESG Analysevielfalt: Ratings, Engagement und Divestments

Interessant wie immer: Marktbericht Nachhaltige Geldanlagen 2020 Deutschland, Österreich & die Schweiz vom Forum Nachhaltige Geldanlagen vom Juni 2020: „Folgende fünf Haupterkenntnisse zur im verantwortlichen Investment vorherrschenden Investmentstrategie ESG-Integration ergeben sich aus den Umfrageergebnissen: 1. ESG-Integration ist als formal verankerte Investmentstrategie bereits fester Bestandteil in den meisten Fonds der Asset Manager. 2. ESG-Integration deckt einen großen Teil des klassischen Investmentuniversums ab und ist in den Analyseprozessen gut verankert. 3. Da eine Integration in die fachlichen IT-Systeme noch nicht durchgängig gegeben ist, herrschen derzeit noch Insellösungen vor. 4. Obwohl eine ESG-Berichterstattung über verantwortliche Investments noch wenig ausgeprägt ist, gibt es bereits Vorreiter, die über den Marktstandard in Bezug auf Transparenz hinausgehen. 5. Ein systematisches ESG-Engagement ist bislang für verantwortliche Investmentfonds nicht etabliert“ (S. 5).

US Aufseher skeptisch in Bezug auf aggregierte ESG-Ratings: SEC chair warns of risks tied to ESG ratings (kostenpflichtig) in der Financial Times online vom 6. Januar: “Jay Clayton, chairman of the Securities and Exchange Commission (SEC), said any analysis that combined separate ESG metrics into a single ESG rating would be “imprecise”…. “I have not seen circumstances where combining an analysis of E, S and G together, across a broad range of companies, for example with a ‘rating’ or ‘score’, particularly a single rating or score, would facilitate meaningful investment analysis that was not significantly over-inclusive and imprecise,” said Mr Clayton”. Mein Kommentar: Das sehe ich ähnlich, vgl. https://prof-soehnholz.com/prisc-policy-for-responsible-investment-scoring-die-taxonomiealternative-von-der-dvfa/.

Schlechte ESG Analyse von guten Quants: Do tobacco share owners finance the tobacco business? von David Blitz und Laurenz Swinkels von Robeco vom 28. Mai 2020: “Tobacco firms have not used the stock market for raising fresh capital to scale up their business activities …These findings indicate that divesting from tobacco stocks, i.e. selling one’s tobacco stocks to another investor, has no obvious benefits for society and is ineffective at achieving sustainability goals at the macro level” (S. 15). Mein Kommentar: Tabakaktionäre haben in den letzten Jahren erhebliche absolute und im Vergleich zu anderen Märkten auch relative Verluste erlitten (vgl. https://www.msci.com/documents/10199/fbbc98b0-584c-463f-93a9-76606eda3c8a). Warum sollten Anleger mit beschränktem Anlagevolumen (also alle) in Tabakaktien anlegen? Es gibt genug bessere Alternativen!

Divestment und Engagement gehören zusammen: ESG Engagement and Divestment: Mutually Exclusive or Mutually Reinforcing? Von Noel Amenc et al. von Scientific Beta vom Mai 2020: “We have argued that both divestment and engagement are actions that promote change, and we have seen from the empirical results of academic studies that both approaches can be effective. We have also seen that these two strategies are entirely compatible: the rise of collaborative engagement campaigns, in which current and potential shareholders combine their forces, are testimony to the fact that divestment does not put an end to an investor’s possibility to engage with a company.  …. And a shareholder who engages with a company without signalling a willingness to draw a red line – an exit in case engagement fails to produce the desired outcome – will enter the negotiation in a weak position: divestment is in that sense a prerequisite for effective engagement. Conversely, engagement can make divestment campaigns more effective: noisy exists can be more impactful than silent ones. Therefore, far from being mutually exclusive, engagement and divestment are mutually reinforcing. … Even at its simplest, ESG reweighting dilutes the impact of the divesting over a larger number of stocks and may lead to divesting from companies with better ESG performances than filtering does” (S. 25).

ESG Analysevielfalt: Fintechs und SDG

Fintechs können die SDG etwas voranbringen: The FinTech Dividend:  How Much Money Is FinTech Likely to Mobilize for Sustainable Development? Von Bryane Michael vom 15. März 2020: “Roughly 3%-13% of funding required for the UN’s Sustainable Development Goals (SDGs)– or around $50 billion to $125 billion — could come from a ‘FinTech Dividend.’ Such a dividend derives from the use of FinTech platforms to increase savings and investment (overall), channel resources into publicly funded as well as privately-funded SDG-related activities and policies, and encourage the use of internet platforms, which deliver novel goods and services that relate to the seventeen SDGs …” (abstract).

B2B Robo- und Maschine Learning Probleme und Direct Indexing:  The Latest In Financial Advisor #FinTech (June 2020) von Michael Kitces. “ …many robo-advisors pivoted away from the prohibitively-high-acquisition-cost direct-to-consumer channel to become B2B “robo-advisor-for-advisors” solutions instead… only to find that, while advisory firms did have a pain point with onboarding, they largely expected their already-“free” custodians to fix the problem by improving their technology, and weren’t necessarily willing to pay an additional cost themselves to solve the problem”. ….” There are currently 33 portfolio management platforms targeting the RIA market with full technology stacks and end-to-end workflow solutions. And that doesn’t include the 40+ turnkey asset management platforms (TAMPs) where RIAs can outsource part or all of their investment management so they can focus on the business of growing their business.” …” Vise.ai does imply that they use machine learning to customize portfolios for clients as well, but it’s not clear how they can possibly have enough data on clients to do so… and in practice, the rise of Direct Indexing suggests that the future of portfolio customization for clients may be more about clients expressing their own preferences in their portfolios with an advisor’s help (not what an AI algorithm thinks they’ll want to invest in).” …. (Kitces verweist zu Portfoliomanagementplattformen u.a. auf Are There Too Many Portfolio Management Systems? von Craig Iskowitz vom 11. Mai; vgl. auch https://prof-soehnholz.com/direct-esg-indexing-die-beste-esg-investmentmoeglichkeit/).

Offene rechtliche Blockchain-Fragen: Digitale Zwillinge im Assetmanagement – Die Blockchain hat bei Sachwerten mit Schwierigkeiten zu kämpfen – Normen und Standards fehlen von Frank Dornseifer vom Bundesverband Alternative Investments in der Börsenzeitung am 6. Juni 2020.

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