ESG Researchnews und neue Wealthtech-Entwicklungen wie Direct Indexing

ESG Researchnews: Corporate Social Responsibility (CSR)

McKinsey sagt, dass sich Inklusion und Diversität auszahlen: Diversity wins. How inclusion matters von Vivian Hund et al. von McKinsey & Co. vom May 2020. “The business case for I&D remains strong; companies should act with urgency. … Companies will typically require a step change in the level of courage and boldness they have displayed so far” … ”greater diversity, in terms of both gender and ethnicity, is correlated with significantly greater likelihood of outperformance. More than that, fostering a diverse and inclusive culture is a critical success factor” (S. 47).

Differenzierte Emissionspolitikwirkungen: Your Emissions or Mine? Examining How Emissions Management Strategies, CSR Performance, and Targets Attract Equity Capital von Joseph Johnson, Jochen Theis, Adam Vitalis und Donald Young vom 27. März 2020. “Using a controlled experiment, we predict that investors will react more favorably if firms mitigate direct rather than indirect emissions because reducing direct emissions will be perceived as more socially responsible; however, due to the diminishing marginal utility of CSR investment (Flammer 2013, 2015), investors’ will only react when firms’ prior CSR performance is poor versus good. We also predict that adopting an external emissions target will make firms’ efforts to reduce indirect emissions seem less sincere and therefore negatively effect investor reactions. Our results are consistent with our predictions …“ (S. 25).

McKinsey zeigt Unternehmen, wie man den Wasserfußabdruck reduzieren kann: Water: A human and business priority von Thomas Hundertmark et al. vom Mai 2020. Interessant: Shifting to renewables could save water (Exhibit 2). “As with other key components of climate change, the time has come to address the water crisis head-on. Businesses have a key role to play.” (vgl. von Dennis Fritsch et al.).

Es gibt nur wenige Unternehmen mit hohem positiven Impact: ISS SDG reveals holistic SDG impact rating von Elena Johansson vom 6. Mai. “The SDG Impact Rating has assessed an initial universe of more than 6,500 companies across all industries holistically and found that, so far, only 3% of them have a significant positive impact on the SDGs” (vgl.

Das ESG-Reporting selbst der 50 größten europäischen Unternehmen muss besser werden: Falling short? Why environmental and climate-related disclosures under the EU Non-Financial Reporting Directive must improve vom Climate Disclosure Standards Board vom Mai 2020. “Only 3 in 10 companies fully disclose the environmental and climate-related aspects of their business model” (S. 2).

Non-financial Incentives sind wichtiger als Boni: Cooperation in a Company: A Large-Scale Experiment von Marvin Deversi, Martin G. Kocher und Christiane Schwieren vom März 2020. “This paper provides novel evidence on how cooperative attitudes of employees are related to professional behavior and rewards within a large company. We observe high levels of cooperation among employees …. In addition, we document a robust negative nexus between cooperative attitudes and financial appreciation, and a positive nexus between cooperative attitudes and non-financial rewards” (S. 27/28).

Neues zu generellen Geldanlagethemen

Wenige Aktien treiben die US-Märkte an: Do Stocks Outperform Treasury bills? von Hendrik Bessembinder vom 28. Mai 2018 (nach Hinweis von Klement on Investing am 13. Mai).  “While the overall US stock market has handily outperformed Treasury bills in the long run, most individual common stocks have not.” … “The positive performance of the overall market is attributable to large returns generated by relatively few stocks.”… “ Rates of underperformance are highest for small capitalization stocks and …for stocks that have entered the database in recent decades”….. “slightly more than 4% of the firms account for all of the net stock market gains” (S. 33). …”the actual skewness in long horizon CRSP stock returns is strong” (S. 34; CRSP = Center for Research in Securities Prices).

Drei große Faktorinvestmentprobleme: Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing von Rob Arnott et al. vom 11. April 2019: “Factor investing …. success is compromised by three problems that are often underappreciated by investors. First, many investors develop exaggerated expectations about factor performance as a result of data mining, crowding, unrealistic trading cost expectations, and other concerns. Second …. factor returns can experience downside shocks far larger than would be expected. Finally, investors are often led to believe their factor portfolio is diversified” (abstract).

Lieber Momentum-ETFs statt managed Futures Fonds kaufen? When it pays to follow the crowd: Strategy conformity and CTA performance von Nicolas Bollen, Mark Hutchinson und John O’Brien vom 19. Juni 2019: “Funds that are more unique tend to underperform, after controlling for risks and styles, irrespective of holding period. …. In summary, the best performing CTAs trade largely on momentum, and offer investors exposure to this strategy” (S. 18; CTA sind Commodity Trading Advisors bzw. Managed Futures Fonds).

Eine gute Investment Philosophie ist wichtig: A Viral Market Update VIII: A Crisis Test – Value vs Growth, Active vs Passive, Small Cap vs Large! vom Investment-Philosophie-Spezialisten Aswath Damodaran vom 13. Mai: “I don’t believe that artificial intelligence and big data will rescue active investing, since any investment strategies built purely around numbers and mechanics will be quickly replicated and imitated. Instead, the future will belong to multidisciplinary money managers, who have well thought-out and deeply held investment philosophies, but are willing to learn and quickly adapt investment strategies to reflect market realities” (vgl.

Finanzbildung kann wirken: Financial Education Affects Financial Knowledge and Downstream Behaviors von Tim Kaiser, Annamaria Lusardi, Lukas Menkhoff und Carly Urban vom April 2020 ist “ …a meta-analysis of 76 randomized experiments with a total sample size of over 160,000 individuals. The evidence shows that financial education programs have, on average, positive causal treatment effects on financial knowledge and downstream financial behaviors. Treatment effects are economically meaningful in size, similar to those realized by educational interventions in other domains and are at least three times as large as the average effect documented in earlier work. ….We conclude with a discussion of the  cost-effectiveness of financial education interventions.”

Alternatives-Anlagen sind schwierig, nicht nur für nachhaltige Anleger

Riesige Sektorunterschiede bei Immobilienaktien: Analysis: What are REITs saying about private real estate? vom von Christopher O’Dea vom IPE Real Asset Magazine May/Juni. „Cap rates are indicating vulnerability for hotels, casinos, senior housing, and malls” …. „Sectors benefiting from the uptick in demand for connectivity and data usage, such as cell towers and data centres” (vgl.

Beitrag zu grünem Gold und weitere gute Beiträge: Run auf Gold – aber wie? Von Susanne Bergius vom 8. Mai 2020 im Handelsblatt Business Briefing Nachhaltigkeit Seite 2 -5.

(Teure) Liquid Alternatives haben nur für sehr gute Strategieprognostiker funktioniert: 4 Pain Points for Liquid Alternatives in 2020’s First Quarter von Erol Alitovski und Bobby Blue vom 4. Mai 2020 zur Coronakrisenperformance: “not all alternative strategies struggled. Managed-futures strategies, which held up well in the global financial crisis, generated positive returns, on average, whereas most other strategies were negative. …. Some of the exposures that performed the worst in liquid alternatives portfolios include the value factor within risk premium strategies, event-driven strategies, structured credit, and options strategies.”

Wealthtechnews: Fractional Shares, Direct Indexing und mehr

Aktienbruchstückkäufe können ETFs Konkurrenz machen: As Motif exits stock-bundle game, Schwab piles in with ‚Slices,‘ fulfilling a pledge to offer free fractional shares von Brooke Southall vom 6. Mai 2020. “selling investors fractional stock shares with zero trading costs …. Schwab was first to announce its entry into the market in late 2019, but Fidelity beat it to the punch by introducing fractional shares in February”. … „The only few firms that have provided this, historically, were Folio, Apex Clearing [formerly Penson Clearing], and Interactive Brokers,“ says Sanjeeb Rajput, chief revenue officer of Empaxis Data Management, Inc. “. … “RBC now does it on a limited omnibus account level basis for firms like Acorns and Wealthfront.” Mein Kommentar: Mit kostenlosen Käufen von Bruchstücken von Aktien kann man sehr günstige diversifizierte Aktienportfolios erwerben und braucht dafür keine ETFs mehr.

Motif ist an Themen ETFs und Direct Indexing Konkurrenz gescheitert: The Latest In Financial Advisor #FinTech (May 2020) von Michael Kitces vom 4. Mai 2020: „as it turns out, the approach of thematic investing was so popular that Motif wasn’t the only platform to pursue it… so did the ‘entire’ domain of ETFs, which in the 10 years since Motif launched grew from $1T to over $4T of AUM, and more than 2,000 new ETFs were launched (with a net gain of more than 1,000 ETFs even after others were merged or closed)”. …”the theme was already shifting away from creating pre-packaged baskets of thematic portfolios – from motifs to ETFs – and into creating ‘custom’ direct indexing solutions, where companies like Ethic Investing began to offer alternatives to thematic ETFs by allowing investors (or their advisors) to establish their own ESG screens and create their own custom basket of stocks (managed, thanks to technology, almost as easily as simply buying an ETF or motif)” (vgl.

Schwab will Direct Indexing anbieten: To leapfrog ahead in direct indexing, Schwab to buy Motif technology and hire Hardeep Walia and much of his staff von Brooke Southall vom 8. Mai 2020. “The Charles Schwab Corp. announced today (May 7) that it will pay cash for the technology and intellectual property of Motif, a data-driven thematic portfolio firm that will give Schwab the capability to do direct indexing without a mutual fund or ETF.” ….” Motif will catapult Schwab to the head of a growing movement toward direct indexing, a way to sell indexes both more cheaply and in more customized fashion than many ETFs.”… „We intend to leverage Motif’s platform to build on Schwab’s existing capabilities and help accelerate our development of thematic and direct indexing solutions for Schwab’s retail investors and RIA clients,“ says Neesha Hathi, Schwab’s executive vice president and chief digital officer.” … “The technology and intellectual property Motif had built was unique. For example, direct indexing directly to retail investors with as little as $10,000 who otherwise wouldn’t have acces), thematic investing capabilities, and the ability to set up ESG- and SRI-screened filters, which is huge for millennials and for women investors,“ he explains (Sanjeeb Rajput, chief revenue officer of Empaxis). “The Schwab-Motif deal bears similarities to Fidelity’s acquisition last year of direct indexer, Ethic, a New York City startup.” …“The other big RIA custodians do not currently have the capability to setup ESG- and SRI-screened filters, and some of them do not believe in thematic investing as they believe it is controversial.“ (Josh Levin von OpenInvest). …. ““Passive and custom passive asset management will soon become an embedded service on wealth platforms across the industry. In the post-fund world, account-level personalization becomes seamless and low-cost, which is great news for clients, advisors, and ESG advocates alike.“

Goldman Sachs kauft ESG Robo: Goldman Sachs buys Folio to gain an RIA-custody toehold, and gets robo-advisors in the bargain, days after Schwab buys Motif von Oisin Breen vom 15. Mai:“Goldman bought ESG manager Imprint Capital Advisors in 2015 and this deal extends that purchase.  „Folio owns the largest ESG only RIA firm – First Affirmative and the SRI Conference, which is the largest and longest running ESG conference in the world,“ Rajput says. „Goldman Sachs will be able to utilize these current hot trending items in the market to go after millenniums, women investors, and new investor clients.“

Direct Indexing und ESG sind für US Robo-Advisors attraktiv: Bringing Transparency to Robo Investing vom 4. Mai 2020 (Edition 15 of the Robo Report© First Quarter 2020). “Many of the SRI portfolios tracked in the Report outperformed their non-SRI counterparts on a net-of-fees basis in the first quarter, as well as the one- and two- year trailing time periods. Those that did underperform their non-SRI portfolios at the same provider did not underperform by a wide margin” (S. 3).

“Fractional shares have also opened the door to a strategy called direct indexing. Direct indexing involves buying the underlying shares of an index instead of an ETF or fund that tracks that index. Prior to fractional shares, this technique required a large account balance, but this is no longer the case. Direct indexing offers three advantages. The first is it increases the opportunities for tax-loss harvesting. The second is it creates the ability to customize a portfolio to include or exclude certain assets from an index. For example, an investor may want to own the S&P 500 but exclude tobacco companies. The third benefit is that it can reduce costs, by eliminating the need to purchase a mutual fund or ETF.  While direct indexing is being implemented at some firms, like Interactive Advisors and Wealthfront, it has yet to become widely adopted. We do not expect direct indexing to have significant impacts on the investment management market in the near- or mid-term, but it may have profound impacts on the fund industry in the long-term“ (S. 16).

ESG Researchnews: Angebot und Nachfrage steigen

ESG-Fonds haben sich dieses Jahr gut gehalten: Nachhaltigkeitsfonds können doch nicht auf Wasser gehen (aber fast)  von Ali Masarwah von Morningstar vom 28. April 2020. „Abflüsse im März können positives Gesamtquartal nicht ganz eintrüben. Vermögen marktbedingt allerdings rückläufig. Aktiv verwaltete ESG-Fonds werden weniger vom Trading-Verhalten getroffen als ESG-Indexfonds.“

ESG bringt Assets: Sustainability and Private Wealth Investment Flows von Amir Amel-Zadeh, Rik Lustermans und Mary Pieterse-Bloem vom 15. April 2020. “Our main results …. show significantly larger investment flows into assets with a high sustainability rating compared to those with low sustainability rating. Furthermore, …. we find that investors who regularly receive information about the sustainability ratings of their portfolio assets, react to changes in these ratings by rebalancing their portfolios towards assets with higher sustainability rating” (S. 30; vgl.

Gute Corona-Analyse von Rockefeller Capital Management: 5 ESG Implications from COVID-19 von  Casey Clark vom 6. Mai 2020. “1.  Accelerates growth as ESG strategies outperform …  2. Shines aspotlight on the “S” in ESG … 3. Underscores the importance of shareholder engagement …. 4. Acts as a tailwind for long-term “green” policies … 5. Generates concern about data security and privacy”.

Das ESG-Nachfragepotential ist hoch: Nachhaltiges Leben 2020 Marken und Medien in der Pflicht von Spiegel Media und Polycore vom Dezember 2019“ fokussiert sich … auf eine »gehobene Dialoggruppe«, die sich stark mit nachhaltigen Themen beschäftigt“ (S. 2). „Durch die gesamte Studie zieht sich der Wunsch der Dialoggruppe nach mehr Unterstützung und Orientierung“ (S. 3). „Eine zentrale und wieder bestätigte Erkenntnis aus der Basis-Studie ist, dass nachhaltige Konsumenten per se keine Werbe- und Konsumverweigerer sind. Ganz im Gegenteil: Sie sind überaus daran interessiert, Partnerschaften mit den richtigen Marken einzugehen“ (S. 4). „Ca. 50 % geben an, keine nachhaltigen Finanzinstitute zu kennen. Dafür könnten sich fast 60 % der Finanz-Interessierten einen Wechsel vorstellen, unter den Frauen sogar 66 %. … Insgesamt ist die Gen Z in diesem Bereich informierter und aktiver: 26 % sind bereits Kunde bei einer nachhaltigen Bank“ (S. 25).

Kann braun grün sein? Wie klimafreundlich sind Klimafonds? Von Hortense Bioy von Morningstar vom 20. Mai 2020. ….„viele Climate Clean Energy/Tech-Portfolios in stärker diversifizierte Unternehmen, die auch kohlenstoffintensive Geschäfte betreiben, investieren“ ….“eine Mehrheit der Ex-Fossil Fonds (60%) in gewissem Umfang an fossilen Brennstoffen beteiligt sind“ …“Am bemerkenswertesten ist die große Rolle vom Geschäft mit Thermalkohle bei Green Bond-Fonds.“ …. „Die Fondsgruppen mit dem niedrigsten Carbon Risk Score sind Ex Fossil Fuel und klimafreundliche Fonds, gefolgt von Low Carbon Fonds. Auf der anderen Seite weisen Climate Solutions und Clean Energy/Technologoy-Fonds tendenziell mehr Kohlenstoffrisiko auf.“

Asset Manager sollten die Basics beachten und Menschenrechte wichtiger nehmen: Point of No Returns Part II – Human Rights An assessment of asset managers’ approaches to human and labour rights von Felix Nagrawaia von Share Action vom April 2020. “The number of modern slavery victims in global supply chains today is believed to stand at around 16 million, roughly the same number of enslaved people as during the transatlantic slave trade in the 18th century” (S. 4). ….“84 per cent of asset managers do not have a policy to exclude sovereign bonds issued by countries under international sanctions for human rights abuses.” (S. 6). … “47 per cent of the world’s largest asset managers, with over US$45 trillion in assets under management, lack policy commitments prohibiting investments in controversial weapons banned by international arms treaties. Controversial weapons include weapons of mass destruction such as nuclear, chemical and biological weapons, and weapons that cause indiscriminate or excessive harm, such as cluster munitions and anti-personnel mines” (S. 11). …“Many asset managers that state they have controversial weapons exclusions in fact only cover cluster munitions and anti-personnel mines, while weapons of mass destruction (chemical, biological and nuclear weapons) appear far less frequently” (S. 12). … 54% per cent of asset managers with sole “reliance on external data providers for ESG data” (S. 19). Rankingbeispiele: Robeco (1), BNP (2), L&G (3), Allianz (18), DWS (19), Union Investment (23), Blackrock (47), DEKA (59), Vanguard (69), Dimensional (70) vgl. 22ff.

ESG Researchnews: Voting, Engagement und Wertpapierleihe

Sollten Indexfonds kein Engagement betreiben? The uncertain stewardship potential of index funds von Jill Fisch vom 1. Januar 2020. “Index funds offer their investors broad diversification at low cost, a model that is in tension with demands for high quality firm-specific engagement.  Further, to the extent that stewardship encompasses pursuit of broad societal goals or balancing economic and non-economic objectives, index funds lack the tools to do so in a way that is faithful to the interests of their beneficiaries” …. (S. 125).

Indexfonds nutzen Stimmrechte: (Black)Rock the Vote: Index Funds and Opposition to Management von Joseph Farizo vom 13. Mai 2020: “I find that index funds are more aggressive when voting their proxies on these Family Does Not Hold Actively  shares than when voting on Family Holds in Active & Index shares that are held in both the family’s active and index funds“… showing that index funds engage in governance through proxy voting” (S. 28).

Verantwortungsvolle Anleger sollten ihre Aktien nicht verleihen: Beyond Mechanics: The Intersection of Securities Lending and ESG Investing von Bridget Realmuto La Perla und Travis Whitmore von State Street Asscociates vom ….: “short selling, facilitated by securities lending, improves market efficiency and allows for the proper allocation of capital, ….. While research indicates that short selling does not destroy a company’s long-term value, the relationship between short selling and material ESG performance is unclear” (S. 2). … “a body of academic evidence indicates that short sellers are informed in that they anticipate price declines. However, they are not responsible for driving asset prices down” (S. 4). … “Currently, lender to borrower transparency is limited due to privacy agreements between brokers and borrowers” (S. 7). Mein Kommentar: Mir fällt kein überzeugender Grund ein, warum ernsthaft verantwortungsvolle Anleger Leerkäufe der von ihnen gehaltenen Aktien unterstützen sollten. Kein Anleger, der sein Geld nur guten ESG-Unternehmen gibt, sollte seine Aktien verleihen, nur um seine Kosten geringfügig zu senken.

Unzufrieden mit bestehenden ESG Benchmarks? Self ESG Indexing nimmt zu: Shell’s Dutch scheme introduces own ESG benchmark von Leen Preesman vom 18. Mai auf „Last week, the €8.7bn Dutch Pensioenfonds PostNL announced it had developed its own tailormade sustainable index for European equity” (vgl.

ESG Researchnews: Performance

ESG ist gut für Unternehmen und Anleger: Bei ESG-Fonds kommt die Performance auf Umwegen von Ali Masarwah von Morningstar vom 19. Mai 2020. Er findet „…16 von 21 Nachhaltigkeitsindizes höhere Werte beim Financial Health Faktor gegenüber ihren Nicht-ESG-Äquivalenten aufweisen. Das bedeutet, dass die Gefahr geringer ist, dass diese Unternehmen in finanzielle Schieflagen geraten als die Unternehmen im Nicht-ESG-Index. Allerdings sind hier die USA und Großbritannien prominente Ausnahmen“ und dass sie …. „weniger als ihre Nicht-ESG-Äquivalente während Abwärtsmärkten verloren haben“. …“ESG-Portfolios haben Eigenschaften, die Investoren mögen und das dürfte langfristig zu vorteilhaften Ergebnissen führen.“

Sozial zu sein, zahlt sich für alle aus: Investing in firms with better record on social issues pays, finds study von Jasper Jolly am 18. Mai in The Guardian. “BlackRock’s analysis, co-authored by the company’s vice-chairman Philipp Hildebrand, suggested that companies with stronger “social” scores on factors such as better customer relations and better workforce management did better in the turmoil, as did those whose boards were judged to be more effective and independent”.

ESG hilft beim Risikomanagement: Sustainability in the time of uncertainty von Ola Mahmoud und Julia Meyer vom 11. Mai 2020. “We provide evidence that during one of the worst stock market crashes in history, sustainably rated stocks have proven most resilient from both a stock market risk and return perspective. At the same time, we show that in the subsequent rebound period, ESG metrics do not prove as good predictors of stock market performance. … “we are therefore capable to provide causal evidence on the efficiency of ESG scores to predict future stock market risk and return during a period of increased uncertainty. … These findings indicate that firms as well as investors should approach sustainability as a key resilience property complementing traditional risk factors” (S. 45).

US Unis profitieren von ESG-Investing: Financial Performance of Sustainable Investing vom Intentional Endowments Network vom Februar 2020: The studies and examples in this report show that sustainable investing strategies can yield strong financial performance.  Like any investment strategy, some approaches will be more successful than others, depending on a variety of complex factors, from portfolio construction to the skill of individual managers (S. 28).

Aber muss ESG Investing so kompliziert sein? Optimal Strategies for ESG Portfolios von Fabio Alessandrini und Eric Jondeau vom Swiss Finance Institute vom April 2020. “Maximizing the portfolio (inserted: ESG) score while maintaining the tracking error, the turnover, and the regional, sectoral, and risk factor exposures within stated limits would have allowed investors to generate a substantially higher score with no deterioration in the risk-adjusted performance of the portfolio, while controlling for the risk exposures. This main result holds for the four main regions and the worldwide investment set, for the main ESG criteria, and for different sample periods (2007–2018, 2007–2012, and 2013–2018)” (S. 24/25; vgl.

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