ESG Auswüchse und weiteres aktuelles Investmentresearch

Umfeld und ESG Auswüchse

Klimawandel schwächt in den meisten Ländern das Wachstum: The impact of climate conditions on economic production. Evidence from a global panel of regions von Matthias Kalkuhl und Leonie Wenz vom 4. August 2020: “By using a comprehensive data set of economic activity at the subnational level with almost global coverage, we empirically analyze the climate–growth nexus at various time scales. Consistent with existing evidence on labor productivity and agricultural yields, we find strong evidence that changes in annual mean temperatures affect economic output in a non-linear way. Increases in temperature tend to increase gross regional product (GRP) in cold regions (where annual mean temperature is below 5 ◦C) and reduce GRP in hot regions” (S. 18).

Internationale Klimaabkommen können (doch) gut sein: Have international pollution protocols made a difference? Von Elisabeth Thuestad Isaksen vom 15. Juli 2020: “Results from the empirical estimation suggest that the international protocols induced sizable emissions reductions of all three pollutants. For ratifying countries, SO2 emissions were on average 22% lower than the synthetic control group ten years after the intervention, while the corresponding numbers for NOx and VOC emissions were 18% and 21%, respectively. Additionally, I find that the protocol targets went beyond a “business as usual” scenario (i.e., the synthetic control), and that countries on average either met or exceeded the protocol targets. These results suggest that international protocols can be an effective tool to induce countries to lower their emissions, contrasting the often gloomy predictions from the game theoretical literature” (S. 23).

Plastikabfall ist auch im besten Fall ein großes Problem: Evaluating scenarios toward zero plastic pollution von Winnie Lau, Yonathan Shiran , Richard Bailey, Ed Cook , Martin Stuchtey  und Julia Kosk vom 23. Juli 2020: “78% of the plastic pollution problem can be solved by 2040 using current knowledge and technologies and at a lower net cost for waste management systems compared to BAU. However, with long degradation times, even a 78% reduction from BAU pollution rates results in a massive accumulation of plastic waste in the environment. Moreover, even if this system change is achieved, plastic production and unsound waste management activities will continue to emit large quantities of GHGs“ (BAU=business as usual, GHG=greenhouse gas, S. 12).

Nachhaltig vermarktete Konsumgüter (CPG) werden sehr wichtig und noch teurer: Sustainable Market Share Index™ Research on 2015-2020 IRI Purchasing Data Reveals Sustainability Drives Growth, Survives the Pandemic von Randi Kronthal-Sacco und Tensie Whelan vom 16. Juli 2020: “Sustainability-marketed products delivered 54.7% of CPG market growth (2015-2019) despite representing only 16.1% share of the category ($) in 2019 …. Sustainability-marketed products grew 7.1x faster than products not marketed as sustainable …. Sustainability-marketed branded products enjoy a significant price premium of 39.5% vs. their conventionally-marketed branded counterparts, with a widening premium of +5.3 pts vs. 2014” (S. 2).

EU Regulierungsmythen: Myths about the EU #1: The EU Defines Sustainable Investments von Roland Kölsch vom August 21, 2020 und #2: The Planned EU Ecolabel Will Identify Sustainable Investments vom 28. August von Roland Kölsch. Mein Kommentar: Gefällt mir gut, ich warte gespannt auf die Fortsetzungen (vgl. und

Traditionelle Investments

Asset Allokationen von Großanlegern sind nicht optimal: Social trust and institutional investment biases von Wolfgang Drobetz, Marwin Mönkemeyer, Ignacio Requejo und Henning Schröder vom 14. Juli 2020: “ we investigate the role of social trust in institutional investment choice and investment bias in international institutional investor portfolios. …Investors from low-trust countries exhibit stronger home bias as apposed to their counterparts headquartered in high-trust countries. …our investigation provides novel evidence for global investors underweighting foreign markets that are characterized by low-trust societies” (s. 23/24).

Institutionelle Anleger erwärmen sich spät aber schnell für Klima: Klimawandel wandelt auch die Portfolios von Tobias Bürger vom 27. August 2020: „Mit großer Sorge betrachten institutionelle Anleger den Klimawandel und die damit verbundenen Investitionsrisiken. Eine aktuelle Studie der Beratungsgesellschaft Mercer zur strategischen Vermögensallokation von Großanlegern in Europa zeigt, dass bereits mehr als die Hälfte (54 Prozent) der für die Untersuchung befragten Investoren aktiv die Auswirkungen solcher Risiken bei der Allokation ihrer Kapitalanlagen berücksichtigen – im Vergleich zu nur 14 Prozent im Jahr 2019“.

Noch geringere Illiquiditätsprämien als gedacht? Unsmoothing Returns of Illiquid Funds von Spencer Couts, Andrei Goncalves und Andrea Rossi vom Februar 2020: “..we find that traditional return unsmoothing methods used to recover economic return estimates from observed returns of illiquid assets … understate systematic risk exposures and overstate riskadjusted performance. …. They also raise the possibility that some previously estimated alphas of funds that invest in illiquid assets are partially due to mismeasured systematic risk” (S. 30).

Aktive Fonds ohne Vorteile: Busting the Myth That Active Funds Do Better in Bear Markets von Ben Johnson von Morningstar vom 27. August 2020: “… 51% of active funds both survived and outperformed their average index peer during the first half of the year. …. In general, actively managed funds have failed to survive and beat their benchmarks, especially over longer time horizons. Only 24% of all active funds topped the average of their passive rivals over the 10-year period ended June 2020” ( vgl.

Gutes Faktorinvesting ist sehr schwierig: Interacting Anomalies von Karsten Müller and Simon Schmickler vom 5. August 2020: “Interactions of stock market anomalies have been extensively studied, but the large number of candidate anomalies creates a potentially severe data mining problem. … We present the full results for hundreds of thousands of strategies based on more than 10,000 anomaly (S. 19) combinations on …. At least in their current form, machine learning methods may be less uniquely useful for creating profitable equity portfolios than previous work suggests” (S. 20).

Verbesserungspotential für den europäischen ETF-Handel: ETFs: unlocking further potential – Developing Europe’s ETF trading infrastructure to drive improvement and growth into the future von PWC vom 10. August 2020: “… several critical factors preventing the smooth execution of ETF trading in European markets have the potential to prevent the industry harnessing the opportunity of this increased demand. For ETFs to flourish even further in Europe, pragmatic solutions are needed. These solutions should address the current lack of ETF specific rules and some of the nuances of ETFs – such as transparency, venue choice, clearing and settlement. They should also look to further protect investors and also provide greater choice” (S. 2).

Viele betrügerische Fondsanbieter und naiver Morningstar? Don’t Take Their Word For It: The Misclassification of Bond Mutual Funds con Huaizhi Chen, Lauren Cohen und Umit Gurun vom 10. August 2020: “… we show that investors’ reliance on Morningstar has resulted in significant investment based on verifiably biased reports by fund managers that Morningstar simply passes on as truth. We provide the first systematic study that compares fund reported asset profiles provided by Morningstar against their actual portfolio holdings, and show evidence of significant misclassification across the universe of all bond funds. A large portion of bond funds are not passing on a realistic view of the fund’s actual holdings to Morningstar and Morningstar creates its risk classifications, and even fund ratings, based on this selfreported data. Up to 31.4% of all funds in recent years, are reported as overly safe by Morningstar. This misreporting has been not only persistent and widespread, but also appears to be strategic. We show that misclassified funds have higher average risk – and accompanying yields on their holdings – than their category peers. We also show evidence suggesting the misreporting has real impacts on investor behavior and mutual fund success. Misclassified funds reap significant real benefits from this incorrectly ascribed outperformance in terms of being able to charge higher fees and receiving higher flows from investors” (S. 28/29).

Kleinanleger sind gieriger als Reiche: Do the Rich Gamble in the Stock Market? Low Risk Anomalies and Wealthy Households von Turan Bali, Doruk Gunaydin, Thomas Jansson und Yigitcan Karabulut vom 17. August 2020: „We propose a low risk anomaly (LRA) index with high values indicating high-risk stocks with high-beta, high-volatility, and high-lottery-payoffs. We document a significantly negative crosssectional relation between the LRA index and future returns on individual stocks trading in the U.S. and international countries. We show that the high-LRA stocks are subject to significant overpricing and primarily held by retail investors” (abstract).

Auch mit Bigtech kann man viel verlieren: Even Great Investments Experience Massive Drawdowns von Larry Swedroe vom 20. August 2020 zu Riesenverlusten mit Apple, Amazon, Valueaktien und mehr.

Braune Geldanlagen lohnen sich nicht: Is There a Green-to-Brown Premium? Von Guillermo Cano und Gaurav Trivedi von MSCI vom 25. August 2020: „From December 2013 to May 2020, “green” companies performed approximately in line with the MSCI ACWI Investable Market Index (IMI), while “brown” companies underperformed the index. Over a shorter period, from September 2018 to May 2020, green companies outperformed the MSCI ACWI IMI, and brown companies once again underperformed”.

CSR – Corporate Social (Un-)Responsibility und ESG Auswüchse

Bigtech mit erheblichen ESG Risiken? The rise pf ESG investing: How Aggressive tax avoidance affects corporate governance & ESG analysis von Jacob Fonseca vom 16. Juni 2020: “However, considering the popularity of ESG investing and its strong ties to financial performance, it is possible that firms such as Google, Facebook, Microsoft, and Apple may face adverse effects for their aggressive tax avoidance practices in the form of lower investment inflow or exclusion from ESG-driven portfolios” (S. 18).

Schlechtes Verhalten mit guten Absichtserklärungen kompensieren? Do the Socially Responsible Walk the Talk? Von Aneesh Raghunandan und Shivaram Rajgopal vom 18. Juni 2020: “In this paper, we attempt to verify whether the ideals related to environmental, social and governance espoused by signatories to the 2018 letter from the Business Roundtable (BRT) are matched by their “fundamentals” based track record. We perform a similar validation exercise for stocks in the largest ESG ETF and mutual fund, respectively. …. We find that Business Roundtable signatories exhibit worse records with respect to labor and the environment than their peers. …Finally, we find no evidence that firms’ fundamental records with respect to “E” and “S” predict their inclusion in key mutual funds that purport to be ESG-oriented” (S. 37).

Greenwashing kann nach hinten losgehen: The Agency of Greenwashing von Marco Ghitti, Gianfranco Gianfrate und Lorenza Palma vom 10. Juli 2020: “Firms are under pressure to disclose more and more ESG data, while the regulation for ESG disclosure remain mostly lax and the enforcement for the existing rules remains weak. Moreover, globalization has led to further confusion, with global companies being subject to various sustainability frameworks and international standards. Therefore, environmental disclosure is still mostly voluntary. …we show that greenwashing leads to a decrease in firm value. This result can be interpreted as an indication of investors’ ability to penalize firms not able to deliver on their environmental footprint commitments (S. 23).

ESG Investing und ESG Auswüchse

Greenwashing-Risiken von ESG-Labels: ESG und ETF: zwei Kürzel, ein Dilemma von Patrick Eisele vom 21. Mai 2020: „Anlegern steht eine wachsende Zahl an nachhaltigen ETFs zur Verfügung. Dabei handelt es sich meist um Best-inClass- Ansätze mit geringem Tracking Error. Wenn deshalb jedoch in den europäischen Varianten ein Ölunternehmen zu den größten Positionen zählt, ist dies für die Klimaziele kontraproduktiv.“ … „Praktisch jeder europäische Nachhaltigkeits-ETF, der nicht explizit fossile Energien ausschließt, führt in seiner Top-10-Liste Aktien des Ölunternehmens Total auf“. … „Wir führen Total wegen Korruptionsfällen, Menschenrechtsverletzungen und zuletzt auch wegen Umwelt klagen in den USA und Frankreich auf unserer Warn-Liste“ (Frieder Olfe von der Ratingagentur Imug/Vigeo Eiris).  … „Vom Ziel, keinen allzu großen Tracking Error zu fahren, können sich allerdings auch aktive Nachhaltigkeitsfonds meist nicht lösen. So hält der Allianz Stiftungsfonds Nachhaltigkeit ausweislich des Jahresberichts 2018 neben französischen Staatsanleihen Aktien der Unternehmen British American Tobacco, Diageo, Carlsberg, Antofagasta, Total, Repsol, Carnival, Tui und Coca-Cola“ (vgl.

Viel Verbesserungspotential für nachhaltige ETFs: Fonds im Fokus: (4) Nachhaltige ETFs: Green oder Greenwashing? von Faire Fonds vom 16. und 22.7.2020: „Unseren strengen Ansatz (inkl. Kriterien) sehen wir bei passiv gemanagten, indexbasierten Fonds (ETFs) eher nicht erfüllt. …Es gilt also auch für ETFs: je mehr Ausschlusskriterien (also auch kompletter Ausschluss von Branchen mit hohen ESG-Risiken) ein Index hat, desto breiter werden sozial-ökologische Aspekte berücksichtigt. So sind zum Beispiel die Fonds iShares MSCI World SRI UCITS ETF EUR Acc (Weltweiter Fokus) und iShares MSCI Europe SRI UCITS ETF Acc (Europa-Fokus) (beide basierend auf dem MSCI SRI Select Reduced Fossil Fuels Index) zumindest in keine Gas-/ Öl-/ Kohlekonzerne sowie keine Rüstungsunternehmen investiert. Somit liegen diese Fonds näher an unserem Nachhaltigkeitsverständnis, auch wenn nicht alle Kriterien (z.B. Emissionen, Plastikverschmutzung durch Fast Moving Consumer Goods Konzerne wie PepsiCo oder Unilever) erfüllt sind“.

Heteroge ESG Ratings: Inside the ESG Ratings: (Dis)agreement and performance von Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino und Loriana Pelizzon vom 31. Juli 2020: “We provide evidence that heterogeneity in rating criteria can lead agencies to have opposite opinions on the same evaluated companies and that agreement across those providers is substantially low. Those alternative definitions of ESG also affect sustainable investments leading to the identification of different investment universes and consequently to the creation of different benchmarks” (abstract).

Best-in Class versus Best-in-Universe ESG Ratings: Comparing Risk and Performance for Absolute and Relative ESG Scores An Empirical Analysis Using MSCI ESG Scores von Ankit Sayani und Bentley Kaplan von MSCI ESG Research vom August 2020: “… two ESG score types contained within the MSCI ESG letter rating — specifically the absolute (weighted average key issue score) and industry-relative scores (industry-adjusted score). The industry-relative score provides a “best in class” approach while the absolute score offers an aggregated view of a company’s total potential risks but may not differentiate as well between members of the same industry. …  A fundamental analysis showed that both scores correlated with higher profitability characteristics and lower levels of idiosyncratic and stock-specific risk. The industry relative score had a stronger correlation with factors linked to cash-flow, including gross profitability. The absolute score was more useful for differentiating companies’ exposure to idiosyncratic risk” (S. 3). “Investors more interested in signals from idiosyncratic risks, and particularly tail risks, may be better served by the absolute ESG score (WAKIS). By contrast, investors looking to identify ESG outperformers, irrespective of how risky their industries might be, may be better served by an industry-relative score (IAS)” (S. 15).

Mehr ESG Fokus sinnvoll? How material is a material issue? Stock Returns and the Financial Relevance and Financial Intensity of Materiality von Costanza Consolandi, Robert G. Eccles und Giampaolo Gabbi vom 25. August 2020: “The results of the analysis, based on a large sample of U.S. companies included in the Russell 3000 from January 2008 to July 2019 show that not only do ESG rating change (ESG momentum) have a consistent impact on equity performance, but also that the market seems to reward more those companies operating in industries with a high level of ESG materiality concentration. The implication is that the equity premium of listed companies is better explained by the concentration of material issues (i.e., the Gini index) than by the ESG momentum” (abstract). “The market does not believe that having too many material targets is credible. Better fewer, but better“ (S. 22,  vgl.

ESG hat in ersten Halbjahr 2020 doch nicht geholfen: ESG Didn’t Immunize Stocks Against the Covid-19 Market Crash von Elizabeth Demers, Jurian Hendrikse, Philip Joos und Baruch Lev vom August 2020: “… our results … provide robust evidence that firms with higher ESG scores do not experience superior returns (i.e., smaller losses) during the pandemic-induced selloff in the first quarter of 2020 once industry affiliation, and accounting- and market-based determinants of returns have been properly controlled for. Furthermore, our findings show that ESG scores are negatively associated with returns during the COVID recovery period in Q2 of 2020” (S. 23).

Voting kann wirken, muss aber ausgebaut werden: Corporate Social Responsibility, Shareholder Value, and Competition by Fernando Martins vom 14. August 2020. “A large number of CSR shareholder proposals were sponsored during the last two decades, however, only 103 out of the 4,624 CSR shareholder proposals in the sample were approved” (S. 43). … “Altogether, these results corroborate the existence of a positive relationship between CSR and shareholder value which is partially explained through improved competitiveness” (S. 44).

Klimarisiken für Infrastrukturinvestments: Will infrastructure bend or break under climate stress? Vom McKinsey Global Institute vom Juni 2020: “Infrastructure is the backbone of the global economy, a critical enabler of prosperity and growth. It helps to connect people, enhances quality of life, and promotes health and safety. Infrastructure assets typically include buildings and facilities that enable the delivery of power, transportation, water, and telecommunications services. Today the world spends roughly $5 trillion a year on infrastructure, about the same amount as global outlay on real estate” (S. 9). …. “In this case study, we examine four critical infrastructure systems—the electric power grid; water storage, treatment, and purification; transportation; and telecommunications—to determine how vulnerable global infrastructure is to a changing climate”. …” Overall, we find that climate change could increasingly disrupt critical systems, increase operating costs, exacerbate the infrastructure funding gap, and create substantial spillover effects on societies and economies. We find that there is a range of unique vulnerabilities of different types of infrastructure assets to different categories of climate hazards. Few assets will be left completely untouched. In certain countries, heat-related power outages could increase in severity and may push the grid to cascading failure; aircraft could also be grounded more frequently as both planes and airports cross heat-related thresholds“ (S. 10). …”Overall, we find that many assets could expect a small to moderate increase in risk from climate hazards by 2030. These are risks that will likely result in costs over the lifetime of the asset if not addressed” (S. 12).

CFA und DVFA sollten kooperieren: CFA Institute startet Konsultation zu ESG-Standards in vom 20. August 2020: „Das Papier sieht ESG-Elemente als Komponenten oder Fähigkeiten von Anlageprodukten, die Anbieter unterschiedlich kombinieren können“. Mein Kommentar: Diese 6 Elemente sind im DVFA Policies for Responsible Investment Scoring Concept bereits berücksichtigt (vgl.

Wealthtech, Robo-Advice und Advisortech

Modellportfolios für Finanzberater: Advisor Sentiment Survey – Coronavirus, Third-Party Models & In-house Portfolio Management von YCharts vom August 2020: Biggest advantage of third party model portfolios: More time. Biggest disadvantages: “Portfolio management is part of our firm’s value proposition”. “We don’t like turning over control of client assets”. “Clients expect a more personalized service” (S. 2). 39% are interested in a model marketplace to access portfolio strategies (S. 4).

Modellportfolios machen Aufwand: Against Recommendations, Advisors Are Spending More Time Playing Portfolio Manager von Michael Thrasher am 19. August 2020 auf über einen (kostenpflichtigen) Cerulli Report: “The average team potentially capable of creating custom portfolios for clients has an average of nine people and those practices are often supported by a centralized investment group, according to Cerulli”.


Bringt mehr Finanzwissen nichts? Financial Literacy, Risk and Time Preferences – Results from a Randomized Educational Intervention von Matthias Sutter, Michael Weyland, Anna Untertrifaller und Manuel Froitzheim vom August 2020: “In this paper, we have presented a field experiment in German high schools that was intended to examine whether teaching financial literacy has an effect on the participants’ risk and time preferences” (S. 25). ….”We have found that the financial literacy intervention makes subjects more patient and more frequently time-consistent. Concerning risk preferences, the intervention per se has moved the aggregate towards more risk aversion. However, larger improvements in financial literacy countervail this effect and shift risk preferences back towards risk neutrality. … We have also seen that risk and time preferences are related to health issues (like smoking), risk-taking (gambling), and consumption behavior (online shopping) in meaningful (and expected) ways” (S. 26; vgl.

Vielleicht hilft Finanzwissen doch: Trading by Professional Traders: An Experiment von Marco Cipriani, Roberta De Filippis, Antonio Guarino und Ryan Kendall vom 28. Juli 2020: “We have studied how professional traders behave in laboratory experiments (a trading game and a guessing game) which are informative of financial market behavior. We have found that, compared to undergraduate students, choices made by professional traders more closely align with equilibrium predictions. In a trading experiment with traders subjects, prices are closer to the fundamental value and bubbles do not occur. Moreover, private information is aggregated to a greater extent. In the guessing game, traders exhibit a higher ability to reason strategically. The differences between traders and students are not due to differences in cognitive abilities, risk aversion, or confidence” (S. 25).

ESG Finanzbildung kann positiv sein: Determinants of Individual Sustainable Investment Behavior – A Framed Field Experiment von Gunnar Gutsche, Heike Wetzel and Andreas Ziegler vom August 2020: “This paper investigates revealed preferences for sustainable and conventional equity funds among financial decision makers in German households. … This paper investigates revealed preferences for sustainable and conventional equity funds among financial decision makers in German households (S. 32) … we reveal a substantial, robust, positive relationship between financial literacy and sustainable investment behavior …. disclosure of information on the relevance of climate change on financial markets and financial stability, but also vice versa, i.e. on the impact of investments on climate change could be crucial measures to foster sustainable investments. … significant positive relationship between perceived expectations of the social environment and the amount invested in sustainable funds” (S. 33).