ESG-Themen: BVI ESG-Kritik und neues Research

ESG-Themen: Umwelt/Umfeld

Kritische Klimamigration: Grid 2021 – Internal displacement in a changing climate vom Internal Displacement Monitoring Centre und Norwegian Refugee Council von 2021: “The number of people worldwide living in internal displacement has reached a record 55 million as of 31 December 2020. More than 85 per cent have fled conflict and violence. Around seven million have been uprooted by disasters but given the incomplete data this is likely to be a significant underestimate. The convergence of conflict and disasters led to many people being displaced for a second or even third time, increasing and prolonging their vulnerability. … Around 40.5 million new displacements were recorded in 2020, the highest figure in ten years. Disasters triggered over three times more displacements than conflict and violence. … Weather-related events were responsible for 98 per cent of all disaster displacement recorded in 2020. … The global cost of one year of displacement was nearly $20.5 billion in 2020, a figure that covers support for IDPs’ housing, education, health and security needs, and accounts for their loss of income” (S. 3 und 4).

Positives Carbon Capture Storage (CCS): Assessing Interactions between Carbon Capture and Storage and the Sustainable Development Goals (#23) von Tom Mikunda, Eirini Skylogianni , Logan Brunner , Juliana Monteiro , Lydia Rycroft und Jasmin Kemper vom 24. März 2021: “When evaluated against the SDGs, CCS shows several positive ‘enabling’ interactions …. The main ‘inhibiting’ impacts are predominantly due to the requirement for extra energy per unit of electricity produced and the environmental impacts associated with the use of some capture systems. None of the inhibiting impacts identified had ‘cancelling’ interactions against the SDGs covered in this assessment” (abstract).

Braune investments dominieren: Cleaning up their act? G7 fossil fuel investments in a time of green recovery von Lucile Dufour, Tom Moerenhout, Angela Picciariello und Estan Beedell von International Institute for Sustainable Development und dem Overseas Development Institute vom 2. Juni 2021: “… between January 2020 and March 2021, G7 nations committed more than US$189 billion to support coal, oil and gas, while clean forms of energy received only $147 billion (S. iii). … Support for the transport sector, which received two-thirds of all commitments, illustrates this dynamic. Although some support benefited cleaner transport, such as public transport infrastructure or electric vehicles, the G7 also threw massive lifelines to the airline and car sectors, to the tune of $115 billion – more than 80 per cent of which came with no conditionalities to limit future emissions (S. iv). … The climate crisis will top the agenda at the 2021 G7 Leaders’ Summit … While eight out of 11 countries substantially improved the greenness of their plans over the last year, at the time of writing only four (Canada, France, Germany and the UK) have developed plans that will cause more environmental good than harm” (S. v).

Unternehmen können Klimaregulierung überlisten: Pollution permits and financing costs (#98) von Fabio Antoniou, Manthos D. Delis, Steven Ongena und Chris Tsoumas: “We theoretically show that loan spreads depend positively on permit prices and on the number of costly allocated allowances. However, our theoretical and empirical results suggest that once firms anticipate regulatory stringency, market forces work proactively, which reduces corporate loan (and corporate bond) spreads. … we identify a fall in loan spreads among treated firms (those participating in the EU ETS) of approximately 25% … we show that had the response in loan spread been neutralized, CO2 emissions would have fallen further by almost 8%. Our findings uncover a strategic role for commitment through permits storage or equivalent actions …. Without disputing the proclaimed advantages of permits storage, such as cost-smoothing over time, the strategic incentive presented here can be detrimental in terms of pollution” (S. 34).

Biodiversität meßbar machen: Nature-related Financial Risks – Key concepts and a framework for identification von Grant Rudgley und Nina Seega vom University of Cambridge Institute for Sustainability Leadership vom 1. März 2021: To make this handbook immediately useful to practitioners we: 1. Define key concepts 2. Detail transmission channels that make nature loss a financial risk 3. Outline a framework that banks and asset managers can use to identify nature-related financial risks” (S. 4).

Kapitalismusverbesserungen: Capitalism for Everyone von Michael Falk und Joachim Klement von der CFA Institute Research Foundation vom 18. Mai 2021: „The simplest and most straightforward way to make capitalism more inclusive—to in fact bring about capitalism for everyone—is to take into account the interests of all stakeholders. And we think the best way to do this is to give these stakeholders a seat at the tables of capitalism, right in the boardroom. Giving employees representation on the board of directors might sound radical, but it has worked in Germany for decades—and it can work in other countries as well. Giving the general public (not only public shareholders) a stake in each listed company above a certain size might sound like a wild idea, until you realise not only that SWFs already do this in many countries but also that these entities can be successfully shielded from political interference” (S. 19).

Ein Denkrahmen für nachhaltige Unternehmer: Sustainable entrepreneurship under market uncertainty: Opportunities, challenges, and impact (#31) von Brandon Lee, Panikos Georgallis und Jeroen Struben vom 31. März 2021: “As climate change threatens the future of humanity, many look to sustainable entrepreneurship to create markets that balance economic with social and environmental sustainability. As sustainable entrepreneurs venture into these markets they (S. 30) face substantial uncertainty, but the implications for entrepreneurs and for sustainability are not well understood. In this chapter, we advance a framework to characterize sustainable markets across the dimensions of supply and demand uncertainty. The framework allows for a more comprehensive understanding of the challenges facing entrepreneurs, and of their potential sustainability impact” (S. 31).

ESG-Themen: Verantwortungsvolle Investments

Soziales wird wichtiger: Passive Investing 2021 – Rise of the social pillar of ESG von Create und DWS vom Mai 2021: “We are gradually coming to the realisation that a more holistic understanding of fiduciary duty is critical to preserving capital over the long term. Issues such as climate change or social disruption caused by inequality pose long-term systemic risks that ultimately affect our fund performance, and these risks cannot be hedged away through traditional portfolio diversification.” von Hiro Mizuno Former CIO of the Government Pension Investment Fund of Japan … The survey aims to address four issues: Adoption: what is the current state of adoption of socially related passive funds in pension plans’ portfolios? Coverage: which asset classes and vehicles are being used to access them? Outcomes: how have they performed since the big market dislocation in March 2020? Future growth: what are its prospects in the post-pandemic world? The survey attracted responses from 142 pension plans in 17 jurisdictions with a collective AuM of €2.1 trillion. Forty of them were also involved in post-survey interviews” (S. 7/7).

Nicht alle ESG-ETFs sind nachhaltig: Fund ESG Transparency Quarterly Report 2021 Q1 Spotlight: ETFs von Rumi Mahmood von MSCI ESG Research vom Mai 2021: “There is room for product expansion in North American and Asian-focused ETFs, where investors would be hard-pressed to find an ESG ETF that is rated as a leader … ETFs with an emerging market focus on average exhibit a carbon intensity almost twice (x1.65) that of developed market focused ETFs” (S. 4). Mein Kommentar: Vgl. Auch Verantwortungsvolle Investments im Vergleich: SRI ETFs sind besser als ESG ETFs – Verantwortungsvolle (ESG) Geldanlage (

Zu wenig ESG-Transparenz: Online Retail Investors: Can’t see the wood for the trees von Peter Elwin und John Willis von Planet Tracker vom März 2021: “… our survey of 22 investment websites showed just how difficult it is for investors to find sustainability-linked investments that match their criteria. Although 78% of mutual fund providers and 64% of ETF providers we surveyed offered ESG investments, the actual choice on offer was small. On average ESG investments accounted for only 7% of the investments available. We could not find a single fund that specifically excluded deforestation risk. Our review of investment websites suggests asset managers and investment platform providers are missing an opportunity to provide investors with ESG investment choices that fully match their requirements and reflect their values. We also believe that asset managers may be underselling the products they already provide as a result of the poor-quality investment selection tools offered on many investment websites” (S.2).

BCG pro ESG-Individualisierung: A Blueprint for Leading in Sustainable Investing von Vinay Shandal et al. der Boston Consulting Group vom 20. April 2021: “… one-third of US asset managers reported that they lost or were at risk of losing over 20% of their institutional mandates because of their inadequate ESG capabilities … Over the next few years, the ability to create a truly personalized portfolio that reflects how a client thinks about sustainable investing will transform the ESG product landscape”. Mein Kommentar: Vgl. Direct ESG Indexing: Die beste ESG Investmentmöglichkeit auch für Privatkunden? – Verantwortungsvolle (ESG) Geldanlage (

Staatsanleihe ESG-Risiken: Measuring and Managing ESG Risks in Sovereign Bond Portfolios and Implications for Sovereign Debt Investing von Lionel Martellini und Lou-Salomé Vallée vom EDHEC-Risk Institute vom März 2021: “… we find that higher Environmental scores for developed countries and higher Social scores for emerging countries are associated with lower costs of borrowing for issuers and consequently with lower yields for investors. We also confirm that negative screening leads to more diversified portfolios and lower levels of tracking error, while positive screening leads to higher levels of improvement in ESG scores, at the cost of an increase in absolute and relative risk budgets” (S. 17).

Privatmarkt-ESG wird wichtiger: A year of disruption in the private markets – McKinsey Global Private Markets Review vom April 2021: “… more GPs and in particular LPs are now tracking environmental, social, and governance (ESG) metrics in earnest. Some—a small but growing minority—have begun to use these “nonfinancial” indicators in their investment decision making. Whether this trend ultimately proves a boon for investment value (in addition to investors’ values) remains to be seen, but one thing is becoming clear: our research increasingly suggests that the individual companies that improve on ESG factors also tend to be the ones that improve most on total return to shareholders (TRS). That, plus growing pressure from customers and shareholders alike, suggests that more focus here is likely” (S. 4).

Traditionelle Analysten vernachlässigen ESG-Incidents: ESG Incidents and Shareholder Value (#1586) von Simon Glossner vom 17. Februar 2021: „I find that firms with high ESG incident rates are associated not only with more future incidents and weaker profitability, but also with lower risk-adjusted stock returns. A portfolio with high ESG incident rates generates abnormal stock returns of −3.5% per year in the United States and −2.5% per year in Europe …. Negative analyst surprises suggest that these abnormal returns arise from markets underreacting to firms’ past ESG incident rates. In fact, about three-fifths of the underperformance of firms with high ESG incident rates materializes around earnings announcements and subsequent ESG incident news (S. 32). … The market underreaction results in stock overvaluations and too optimistically forecasted earnings for firms with high ESG incident rates, which in turn may explain why these firms ignore ESG practices” (S. 33).

Selektionskriterien für Themenfonds: Thematic Universe – How to harness the power of megatrends in your portfolio? von Pierre Debru und Elvira Kuramshina von Wisdom Tree vom 22. April 2021: “Thematic investments promise to harness long-term growth by turning structural, world-changing shifts into potentially compelling investment ideas. … The first challenge is the complete absence of a recognised nomenclature to organise thematic investments. … To help fill that gap, we have developed the WisdomTree Thematic Classification that splits the universe into 35 investment themes across four main clusters: + Social & Demographic Shifts + Technological Shifts + Geopolitical Shifts + Environmental Pressures … such comparison is sorely needed as the dispersion in performance between funds claiming to harness the same theme can be incredibly wide” (S. 4). Mein Kommentar: Vgl. Drittes SDG ETF-Portfolio: Konform mit Art. 9 SFDR – Verantwortungsvolle (ESG) Geldanlage (

Dirk Söhnholz zu Impactinvestments: Viel potenzielle Impact-Investment-Kritik in Exxec News Institutional vom 27. Mai 2021: „Ich erwarte eine klare Trennung in Fonds mit Unternehmen, die ihre Aktivitäten „nur“ nach ökologischen, sozialen und Governance-Kriterien gut ausführen („Wie-Frage“ oder Artikel-8-Fonds) und andererseits in Fonds, die zusätzlich nur in SDG-kompatiblen Segmenten aktiv sind („Was-Frage“ oder Artikel-9-Fonds). Es wäre schlecht, wenn Artikel-9-Fonds nicht auch sehr gut nach ESG-Kriterien wären“ (S. 3). Mein Kommentar: Vgl. ESG SDG: Sehr konsequente Aktienportfolios – Verantwortungsvolle (ESG) Geldanlage (

ESG-Themen: BVI ESG-Kritik

BVI ESG-Kritik: How Taxonomy-Aligned are ESG-Strategy Funds? A practical example von Lorena Vinueza-Peter vom Bundesverband Investment und Asset Management vom 1.6.2021: “We use the FTSE World Total Return Index … It covers 90 to 95 percent of the investable global market capitalization. The index has 2,568 securities as of November 2020 (S. 6) ..the minimum exclusion criteria given by the German target market concept for sustainable financial products screens out 4.3% of index weight or 85 companies of the FTSE World Index, which has a minor impact on the investment universe (S. 7). … . Given that best-in-class is among the most common strategies for building a sustainable portfolio, we use this approach for the purpose of the portfolio construction in this study. The best-in-class approach guides the stock selection towards the best-performing companies of an industry with regard to their overall ESG risk ratings and has the advantage of keeping a broad investment universe … This strategy reduces our investable universe to 1,011 securities from 993 companies, representing a reduction of 59% of number of issuers with respect to the previous step (S. 8). … Application of a ‘value’ investing strategy … we end up with 475 stocks … This basket of firms represents a reduction of 52% in the number of issuers concerning the previous step … (S. 9) … The implementation of minimum exclusion criteria together with an ESG-Strategy results in better sustainability features for a portfolio, i.e. a weighted average ESG risk score that is 19% lower than that of the market index (S. 11).  Meine positive Kritik: Diesen Aussagen stimme ich zu: “the current version of the EU Taxonomy cannot be interpreted as the only measure of the sustainable qualities of an ESG-Strategy portfolio … the still narrow scope of the current Taxonomy framework is the main source for low Taxonomy alignment … we see the use of estimations as necessary to assess Taxonomy alignment until actual data is available … sustainable portfolios can be constructed in practice …” (S. 18). Meine negative Kritik: Ich kann mir vorstellen, dass das vom BVI konstruierte Beispiel von Fondsanbietern als Benchmark genutzt wird. Es wäre gut gewesen, wenn auch eine ambitioniertere Nachhaltigkeitsstrategie gerechnet worden wäre: 1.) Bei einem größeren Anlageuniversum könnten härtere Nachhaltigkeitskriterien genutzt werden (ich selbst nutze ESG Rating für ca. 30.000 Unternehmen und damit vor allem Midcaps). 2.) Die BVI-Ausschlüsse sind meiner Ansicht nach zu lax gewählt (ich schließe statt 4% ca. 15% bis 20% aller Unternehmen aus). 3.) Die Nutzung von separaten und damit strengeren E, S und G Ratings auf erheblich strengerer Best-in-Universe Basis führt bei mir zu einer wesentlich stärkeren Reduktion der Wertpapiere als beim BVI Beispiel. 4.) Mit ökonomischen Kriterien kann ich weitere 25% reduzieren, um auf ein diversifiziertes Portfolio von ebenfalls ca. 500 Aktien zu kommen. Das Ergebnis sind bei mir um ca. 50% (statt 20% beim BVI) verbesserte Nachhaltigkeitsratings (zu den Regeln vgl. Kapitel 3: Das-Soehnholz-ESG-und-SDG-Portfoliobuch.pdf (

Traditionelle und alternative Investments

Hohe und teure Indexingmacht: Index Providers: Whales Behind the Scenes of ETFs (#12) von Yu An, Matteo Benetton und Yang Song vom 1. Juni 2021: “We find that the index providing market is highly concentrated among only a few large index providers, and about one-third of the ETF management fees are paid as index licensing fees to index providers. Moreover, we find that ETF investors care about the identities of index providers, although the identities of index providers explain little variation in ETF returns. Through a structural model that incorporates the two-tier competition between index providers for ETFs and between ETFs for investors, we show that index providers have very strong market power and about 75% of index licensing fees are markups charged by index providers. Eliminating the market power of index providers can reduce ETF management fees by 26%” (S. 33).

Buch/Markt funktioniert nicht mehr: Going by the Book: Valuation Ratios and Stock Returns (#168) von Ki-Soon Choi, Eric C. So und Charles C.Y. Wang vom 28. Mai 2021: “We study the use of firms’ book-to-market ratios in value investing …. We show B/M has become increasingly detached from common alternative valuation ratios over time, while also becoming worse at forecasting returns and growth in both an absolute and relative sense. Despite these trends, some major U.S. stock indexes and funds continue to rely on B/M when identifying value stocks and forming portfolios. … our findings highlight a form of institutional inertia in financial markets, where some key participants shape market outcomes by continuing to rely on signals that previously worked well, despite a steady decline in signal content” (S. 24).

Faktorinvestments sind nicht sehr smart: Size, Value, Profitability, and Investment Effects in International Stock Returns: Are They Really There? (#46) von Nusret Cakici und Adam Zaremba vom 25. Mai 2021: “We demonstrate that the Fama-French (2015) model’s factors lack robustness and are primarily insignificant in relation to large companies …. The size effect is not significant in any region, and the investment premium does not exist in large firms anywhere. There is no value effect for the large companies representing 90% of the market capitalization, except in Japan. Moreover, the profitability effect is present for large companies only in the aggregated Global sample and partly in the North America region. We observe that these factor premia are primarily driven by small companies representing, at times, as few as several percentiles of the total market capitalization. These findings cast doubt on the overall reliability of the five-factor model” (S. 22). Mein Kommentar: Vgl. Faktorinvestments sind schwierig. – Verantwortungsvolle (ESG) Geldanlage (

Keine Private Equity Outperformance: Institutional allocation to private equity – A maturing industry calls for a differentiated approach von Willis Towers Watson vom 5. Mai 2021: “Becoming a public company is less desirable than before – as evidenced by the declining number of listed companies, particularly in the U.S. – and private companies are staying private for longer. … Average buyout returns have steadily declined over the past three decades. A recent Bain study suggests that for the last 10 years U.S. public equity returns have essentially matched returns from U.S. buyouts, at around 15%. … we outline several key considerations we believe are vital in managing a successful private equity investment programme: A diverse line-up of a small number of high-conviction bets to avoid the peril of over-diversification. A focus on mid-market segment where there is a larger opportunity set (sub-$500mn private equity deals account for almost 90% of all private equity deal volume)” (S. 3).

Reduzieren gesellschaftliche Normen Renditechancen von Frauen? Risk attitude and capital market participation: is there a gender gap in Germany? (#12) von Jan-Christian Fey, Oliver Lerbs, Carolin Schmidt und Martin Weber vom 17. Mai 2021: “Our results confirm the common view that women are not very active in the capital market. However, their limited capital market participation can only be explained to a small extent by their gender and much more by their relatively low risk tolerance. … The remaining effect could be explained by conservative gender identity norms that may prevail in the married household and which may make women feel that they should be less concerned with “male” domains such as investing … we document that women … they choose their risky assets differently than men. While men more often invest in individual, listed shares and certificates, their female counterparts prefer to diversify by investing higher fractions of their wealth in fund shares …” (S. 38).

Schulden sind wichtiger als Vermögen: Debt and Stock Market Participation (#55) von Scott Jones vom 19. März 2021: “I find that debt has a greater impact on stock market participation than assets, suggesting that, in addition to participation costs, debt captures impulsivity and moral licensing. … I show that even for the wealthiest individuals, debt is a significant determinant of stock market participation while wealth and assets are not. … my results have implications for wealth inequality because policies aimed at increasing stock market participation may help slow the widening of the wealth gap“ (S. 10).

ESG-Themen und Fintech

Fintech kann helfen: Fintech Development and Savings, Borrowing, and Remittances: A Comparative Study of Emerging Economies (#228) von Angela Lyons, Josephine Kass-Hanna und Ana Fava vom 25. Mai 2021: “Our results showed that a country’s level of fintech development is highly related to improvements in financial inclusion in emerging economies. Nevertheless, heterogeneities were found across populations and regions. Also, for some financial behaviors (such as savings), more developed fintech ecosystems were found to translate to greater access, but not necessarily to greater usage of those financial services. … Our work identifies those at-risk populations that could be best helped by public and private sector efforts to expand fintech development. … these populations are likely to require additional enabling support that goes beyond digital infrastructure and fintech development to include regulation, supervision, consumer protections, and financial and digital literacy” (S. 22/23).

(Öko-)Kritik an künstlicher Intelligenz: The AI Gambit — Leveraging artificial intelligence to combat climate change: opportunities, challenges, and recommendations (#347) von Josh Cowls, Andreas Tsamados, Mariarosaria Taddeo und Luciano Floridi vom 25. Mai 2021: “AI … can help improve and expand current understanding of climate change and it contribute to combatting the climate crisis effectively. However, the development of AI also raises two sets of problems …: the possible exacerbation of social and ethical challenges already associated with AI, and the contribution to climate change of the greenhouse gases emitted by training data and computation-intensive AI systems. … We find that the carbon footprint of AI research may be significant …” (abstract).

Direct ESG Indexing wird kommen: Prepare for sustainability-driven disruption indexing von John Willis von Planet Tracker und Paul Spence von Fudoshin Consulting vom Mai 2021: “An oligopoly of major index providers – MSCI, FTSE Russell, S&P Dow Jones and Bloomberg – are being challenged by innovative competitors. The index ‘majors’ are some of the most powerful players in the financial markets. If the drive towards self-indexing continues – and financial institutions have been positioning themselves for such a move – investors of all types will be able to choose from a much wider range of products. The sustainable investor could be the catalyst for this change, providing them with the opportunity to invest in line with their personal principles, rather than taking the templates on offer. And for the braver ones, direct indexing is becoming more widespread. As for the corporates, being included in a popular sustainable index could provide them with a cost of capital advantage. Things are looking up for sustainable investors and sustainable companies (S. 2). …. Presently, it appears that only financial institutions and ultra-high net worth individuals (UHNWIs) are reaping the full customisation benefits. … One can easily imagine an investor submitting their ESG preferences and goals online and then the platform providing the best matched investments” (S. 10).

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