Umfeld und ESG Reporting

Wiederholt sich 2008 durch unverantwortliche Kreditemissionen? Is COVID Revealing a CMBS Virus? Von John M. Griffin und Alex Priest vom 1. Dezember 2020: The current COVID crisis has led to a sudden and dramatic increase in the levels of distressed loans. … pre-COVID underwriting quality appears to play a large role in the ability of assets to withstand distress. … There are substantial similarities between the decline in underwriting standards identified by the last financial crisis, such as income and appraisal overstatement in RMBS, and those observed in 2013-2019 …” (S. 33).

Weltraumfinanzen und ESG: Spatial Finance: Challenges and Opportunities in a Changing World von WWF und der Weltbank vom 1. Dezember 2020: “… the financial sector needs to differentiate commercial actors more accurately on their climate and environmental performance. A potential breakthrough to help in this challenge is the emerging field of ‘Spatial Finance’, the independent assessment of the location of a company’s or a country’s assets and infrastructure using ground data, remote sensing observations and modelled insights, offers a potentially transformative means to gain improved quantitative ESG insights. … In this report, we outline a possible taxonomy and hierarchy for spatial finance, ….illustrated with case studies from practitioners and data providers, and explore potential future developments” (S. 6).

ESG Reporting und Rating

Auch freiwillige ESG Reportingstandards können wirken: Capital markets effects of ESG materiality standards von Theresa Spandel, Frank Schiemann und Andreas Hoepner vom 17. September 2020: “Our results indicate that the publication of the sector-specific SASB standards triggered a market reaction for firms in the respective sector. … As we show that the capital market reaction to the standards’ publication is negative for low-performing firms and positive for high-performing firms” (S. 29).

Systematische Herunterrechnung von Emissionen (EDM): Detecting Carbon Emission Disclosure Management von Thomas Kaspereit und Kerstin Lopatta vom 7. Dezember 2020: “We contribute to the literature by providing the first quantitative empirical-archival evidence of EDM around environmental controversy events. Our results indicate that in close temporal proximity to such events, firms more frequently understate their carbon emissions, potentially to regain legitimacy and to avoid further losses. External assurance does not mitigate EDM. Our findings have implications for the audit profession, which should revise its practice of proving only limited assurance levels on CSR reports and should start to transition from a mere labelling to a thorough auditing process. Our results imply that investors and other stakeholders should treat CSR disclosures with caution” (S. 19).

Mehr Durchblick im ESG Reportingchaos: A new dawn for mandatory ESG reporting: how it came about … and what to expect next von Carlos Tornero von Responsible Investment vom 22. Dezember 2020: “In the short to medium term we might see two speeds and two camps in ESG reporting. A European camp, who can’t wait for the IFRS Foundation to set global standards, and approves the inclusion of more stakeholder-centric models of reporting (i.e. in line with the GRI). An Anglo-Saxon camp, which waits and sees, and for now favours building ESG reporting upon investors‘ needs (i.e. in line with SASB) and particularly around climate risk.”

Steht Venture Capital neuerdings für schlechte Governance? Venture Capital’s Role in Financing Innovation: What We Know and How Much We Still Need to Learn Josh Lerner Ramana Nanda von 2020: “Academics and practitioners have effectively articulated the strengths of the venture model. At the same time, venture capital financing also has real limitations in its ability to advance substantial technological change. Three issues are particularly concerning to us: 1) the very narrow band of technological innovations that fit the requirements of institutional venture capital investors; 2) the relatively small number of venture capital investors who hold, and shape the direction of, a substantial fraction of capital that is deployed into financing radical technological change; and 3) the relaxation in recent years of the intense emphasis on corporate governance by venture capital firms”.

ESG-Quants sollten viel rechnen: ESG Materiality Factors^SM in the Fourth Industrial Revolution Measuring Stakeholder Externalities via Dynamic Materiality von TruValueLabs vom Dezember 2020: “Empirical evidence in this paper indicates that materiality has distinct country, industry, and company size characteristics for which the majority of conventional ESG models do not capture. The fundamental reasons for these materiality differences can be attributed to local regulations, physical climate characteristics, cultural values, economic factors, the size of the company, and industry specific attributes” (S. 34). “Just as materiality changes over time across various ESG Materiality Factors such as industry, country, and company size (i.e., Dynamic Materiality), we observe that Impact does as well” (S. 29). Mein Kommentar: Auch ohne zu quantifizieren kommt bei konsequenten ESG bzw. SDG Portfolios Gutes raus, vgl. www.diversifikator.com

Falsche Benchmarkdenke: 2021 ESG Trends to Watch von Lindea-Eling Lee, Meggin Thwing Eastman und Arne Klug von MSCI ESG Research vom Dezember 2020: “Recent track records have not inspired confidence: Over the past five years, only 3% of the 8,900+ constituents of the MSCI ACWI IMI have reduced direct and indirect carbon emissions by an average of 8% or more per year” (S. 7). …  “If companies don’t decarbonize enough, investors could be left with a dwindling investment universe of companies that meet the 2°C or 1.5°C targets. This could lead to highly concentrated portfolios constructed either through quantitative techniques that shift significant weights toward those few companies or through bottom-up securities selection” (S. 8). Mein Kommentar: 40% (2 Grad Ziel) und selbst 10% (1,5 Grad Ziel) von ca. 8300 Aktien des MSCI Universums sind immer noch mehr als genug für die meisten Anleger.

ESG Reporting und Performance

Dimensional findet keine finanziell materiellen GHG Effekte: Greenhouse Gas Emissions and Expected Returns von Wei Dai und Philipp Meyer-Brauns von Dimensional Fund Advisors vom 17. November 2020: “We find no compelling evidence that a firm’s GHG emission intensity, emission level, or emissions change enhances our prediction of its future profitability, nor does it contain reliable information about expected stock or bond returns” (S. 10).

Unterschiedliche CSR Ratings: CSR in Times of Crisis: Evidence from the COVID-19 Pandemic von Kee-Hong Bae, Sadok El Ghoul, Zhaoran Gong und Omrane Guedhami vom November 2020: “… we find some evidence that environmentally friendly firms enjoy higher returns during the crash period” (abstract) … “we find that the results depend on the CSR rating series used” (S. 22).

Interessante ESG Rechnungen der OECD: ESG Investing: Practices, Progress and Challenges von Boffo, R., and R. Patalano von der OECD Paris vom Dezember 2020: “… there is growing evidence that the sustainability of finance must incorporate broader external factors to maximise returns and profits over the long-term, while reducing the propensity for controversies that erode stakeholder trust” (S. 6). “…this ESG report seeks to bridge the gap in knowledge by exploring concepts and definitions; key actors in the ESG ecosystem and their functions; and, challenges with respect to the investment ratings, fund categorisations, and performance. It sought to identify and understand where ESG rating differences could contribute to different ESG scores that lead to divergences in high-ESG indices and portfolios. … (S. 7)” … “The predictive power of ESG scores is inconsistent, and there is evidence that while some high ESG indices and portfolios can outperform the market, the same is true for low-ESG portfolios. Using different providers’ data, OECD secretariat found an inconsistent correlation between high ESG scores and returns, such that different providers lead to different results. This does not mean that all ESG portfolios underperformed the traditional market: however, many high-scoring ESG portfolios did underperform, and a number of low-scoring ESG portfolios outperformed the markets …. the analysis of maximum drawdown risk showed that ESG portfolios have a lower drawdown risk when compared to non-ESG portfolios” (S. 8). Mein Kommentar: Interessant, obwohl methodisch nicht sehr anspruchsvoll und nur wenige Ratinganbieter und Indizes abgedeckt werden.

Noch ein aktueller ESG Researchüberblick: ESG Investing: What Does the Research Say? Von Stefano Piu von Man AHL vom Dezember 2020.

ESG Reporting, Impactangebote, Voting und Engagement

Potential für Impactfonds und analytischer Knieschuß? How far is the sustainable fund market in Europe? On the Competitive Position of the German Asset Management Industry vom BVI vom Dezember 2020: “For the fund industry, the integration of the sustainability dimension into the investment process represents additional costs. … The results of this analysis show that Germany is one of the biggest sustainable fund hubs in Europe together with France, Sweden, the Netherlands, Switzerland, the UK and Norway. Sustainable funds in these countries show cost advantages compared to conventional funds. According to our analysis, the difference in costs can be mainly attributed to the fact that a large proportion of sustainable funds have been issued in recent years, when funds costs were lower than before”…. “In particular, we see further potential for German asset managers to grow in the area of more sophisticated ESG approaches, such as impact investing” (S. 34). Mein Kommentar: Bedeutet das nicht auch, dass deutsche Anbieter mit den (großen) alten traditionellen Fonds überproportional viel Geld verdienen? vgl. SDG ETF-Portfolio: Innovativer Megatrendansatz mit guter Performance – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Blackrock und Vanguard mit sehr schlechtem Abstimmungsverhalten: Equity in the Boardroom How asset manager voring shaped corporate action on racial justice in 2020 von Majority Action vom Dezember 2020: “In 2020, 48 resolutions to improve corporate policy influence disclosures received more than 20% shareholder support across the S&P 500. BlackRock and Vanguard voted against every single one. At least 19 of these resolutions would have received majority support had BlackRock and/or Vanguard voted in favor. … BlackRock and Vanguard voted overwhelmingly against proposals that were directly related to issues of racial justice in a company’s operations and/or governance, including board diversity, workforce issues, pay disparities, and civil rights issues in the United States. Of the 25 such proposals that received substantial shareholder support across the S&P 500, BlackRock supported only four, Vanguard only five. By contrast, Legal & General and PIMCO voted for 100% of all of the policy influence disclosure and the racial justice resolutions reviewed in this report” (S. 5).

Voting und Engagement sind nur selten erfolgreich, zeigt die Jahreszusammenfassung:  Record breaking votes, divisive climate pledges and new engagement trends have defined responsible investment in 2020 von Paul Verney von Responsible Investor vom 17. Dezember 2020.

Geldanlage generell

Rebalanzierungen sind noch nicht tot: Does balancing still makes sense? von Nancy Holden und Warren DeKinder von Intech vom Dezember 2020: “Our research continues to show the long-term outperformance potential that can be derived from active diversification and systematic rebalancing … The S&P 500 Index is currently at a historically high level of capital concentration risk, more so than even at the height of the tech bubble in 2000. Deviations from long-term market capital concentration averages tend to revert back to the average over time, as evidenced by the stability of market capital distribution. Market leadership also has consistently changed through the years, with today’s largest stocks notably different than those from 10 years ago and longer” (S. 1).

Infrastruktur ist nicht gleich Infrastruktur: Listed infrastructure: the winners and losers since COVID von Chris Vass und Sergiy Leys von FTSE Russell vom 11. Dezember 2020: “Oil and Gas companies have already been in a secular downwards trends for years as global investors put more emphasis on pro-climate investments, so the March sell-off was harsh on the Pipelines sector. The Transport sector has kept up with the broader equity market, as the exposure is mainly tied to commercial and not personal transportation. Telecommunications has thrived in the current environment as the need for data infrastructure has increased”. Vgl. Neues ESG-Portfolio aus weltweiten Kern-Infrastrukturaktien ist attraktiv – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Schweiz mit noch weniger Fondstransparenz als Deutschand: Global Investor Experience Study: Disclosure von Morningstar vom Dezember 2020: “Germany’s grade of Average for Disclosure stems from its alignment to the standards of the European Union. There is no centralised website for fund documents, nor any requirement for a monetary illustration of fees in fund literature. The reporting of manager names is less common in Germany than in most markets in this study. On the plus side, Germany’s regulatory authority has begun to press for the disclosure of environmental, social, and governance risks to help investors understand and compare products” (S. 40). … “Switzerland’s lack of a regulation or code that requires the disclosure of stewardship activities for fund firms sets the market apart from European peers and drops the country’s Disclosure grade to Below Average. Switzerland does not require a monetary illustration of fees, and Swiss fund firms lag most markets in timely reporting of portfolios” (S. 82).

Advicetech und Wealthtech

Künftig stärker personalisierte Robo-Portfolios? Customer experience: learning from online personal finance conversations von der Economist Intelligence Unit vom 12. November 2020: “We analysed over 10m online conversations about finance and banking dating back to 2013” (S. 2). “According to a survey of 305 global banking executives carried out by the EIU, investments (self-executed or robo-advisory) are the number one area where new entrants are expected to gain market share in the coming years” (S. 3). “In the global banking survey conducted by the EIU as part of this research programme, improving customer experience and engagement, including personalisation, was cited as the top strategic priority through to 2025 and a top three factor impacting banks” (S. 5). Mein Kommentar: Ich denke, dass die heute vorherrschenden Ein-Produkt Robo-Advisors künftig durch individualisierbare Modellportfolioplattformen abgehängt werden, vgl. Direct ESG Indexing: Die beste ESG Investmentmöglichkeit auch für Privatkunden? – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Charles Schwab, Fidelity, Goldman Sachs, Morgan Stanley und Blackrock: A Pivotal Year for Direct Indexing Major asset managers made big moves in the direct indexing space in 2020. Will advisors follow along? von Diana Britton vom 14. Dezember 2020:  “In a tidal wave of deals, some of the biggest players in asset management and financial services made broad inroads— essentially betting that the technology to create customizable portfolios for individual clients without, theoretically, abandoning the rules-based characteristics or risk profile of an index is an option that will resonate with investors”.

Direct Indexing ist auch für Firmen interessant, die keine Aktien von Kunden kaufen dürfen: Custom Indexing is THE Investing Mega Trend of 2021 von Joshua M Brown vom 14. Dezember 2020: “financial advisors are about to fall head over heels in love with the ability to create custom index solutions for every high net worth family they serve”. …”if somebody works at an energy company. Not only is their livelihood tied to energy, but their retirement might also be if they get company stock. Building a portfolio that is able to exclude their company and their competitors is huge”.