ETF-Kritik

ETF-Kritik und neues Nachhaltigkeitsresearch

Umwelt und Soziales Umfeld

Unternehmen können Gutes tun: Net Positive von Paul Polman und Andrew Winston:
… former Unilever CEO Paul Polman and sustainable business guru Andrew Winston explode fifty years of corporate dogma. They reveal, for the first time, key lessons from Unilever and other pioneering companies around the world about how you can profit by fixing the world’s problems instead of creating them. To thrive today and tomorrow, they argue, companies must become “net positive”—giving more to the world than they take. A net positive company: Improves the lives of everyone it touches, from customers and suppliers to employees and communities, greatly increasing long-term shareholder returns in the process. Takes ownership of all the social and environmental impacts its business model creates. This in turn provides opportunities for innovation, savings, and building a more humane, connected, and purpose-driven culture. Partners with competitors, civil society, and governments to drive transformative change that no single group or enterprise could deliver alone” (“about the book”).

Grüne Innovationswirkung: The Environmental Impact of Green Innovation von Ming Gao und Xuelin Li vom 10. November 2021 (#70): “We study the environmental impact of green innovations by combining detailed firm-level toxic release data with patent-level measures of environmental technologies. … We document robust evidence that green innovations significantly reduce the developing firm’s pollution in a nine-year window after patent filing dates. The environmental benefit of these technologies positively correlates with their relevance to previous green innovations, and increases with the firm’s pollution tendencies and intangible capital. However, external environmental pressures decrease these innovations’ effectiveness, and non-green technologies may generate environmental costs by releasing toxic chemicals” (abstract).

Rentable Transparenz: Firm Transparency and Asset Prices von Derek Horstmeyer vom 14. Dezember (#17): “… we find that firm transparency is positively associated with abnormal returns. … the measures considered here look at firm transparency from the client or customer point of view …. In particular transparency on cost, standards and accountability, have the biggest and most appreciable effect on excess returns” (S. 9). Mein Kommentar: Haben Fondsanbieter Angst vor ESG-Reportingtransparenz? – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Positive ESG-Regulierung: The power of ESG transparency: the effect of the new SFDR sustainability labels on mutual funds and individual investors von Martin G. Becker, Fabio Martin und Andreas Walter vom 15. Dezember 2021 (#140): “… we compare funds affected by the legislation (EU-based funds) with unaffected funds (U.S.-based funds). Our results show a significantly higher increase in sustainability ratings for the EU-based funds after the announcement of the SFDR. … Funds with classifications indicating a more advanced level sustainability integration experience significantly higher net fund flows after the public disclosure of fund labels” (S. 8). Mein Kommentar: Nachhaltigster Aktienfonds? – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Juristengrün: Climate Conscious Lawyering Hon Justice von Brian J Preston vom 28. Dezember 2021 (#14): How can lawyers implement a climate conscious approach in their daily legal practice? Lawyers may have scope in their daily legal practice to bring into accordance their advice and actions with their moral convictions. … The first way to do this is through moral counselling with clients … A second way is to promote human rights in business. … A third way is for lawyers to encourage industry actors to engage in and advance efforts towards sustainable business models that mitigate their contribution to climate change and adapt to the consequences of climate change. … A fourth way is for lawyers to encourage action by the Executive, legislative and judicial branches of government to address the climate crisis …  A fifth way is for lawyers to engage in intellectual activism … A sixth way is for lawyers to provide pro bono or reduced fee services” (S. 63/64).

ETF-Kritik: Nachhaltige Investments

Sündige Outperformance? Shunned Stocks and Market States von Xing Han, Youwei Li, und Olena Onishchenko vom 6. Dezember 2021 (#37) “We find that the sin stock anomaly is robust during the extended sample period from 1963 to 2018. It generates a monthly return of 43 basis points per month for the full sample after properly accounting for the risk exposures. … The risk-adjusted performance even enlarges in the most recent decade (i.e., 2009–2018) …” (S. 17). Mein Kommentar: Komisch, dass nachhaltige Portfolios trotzdem oft outperformt haben, vgl. NYU-RAM_ESG-Paper_2021 Rev_0.pdf

Heterogene ESG Renditeeinflüsse: ESG features explain one bit of idiosyncratic price returns von Jérémi Assael, Laurent Carlier und Damien Challet vom 20. Dezember 2021 (#28): “We found in particular that the relationship between controversies and price return is the most robust one. The average influence of all the other ESG scores depends much on the capitalization of a company: strikingly, most of the statistically significantly influential ESG scores weigh negatively on price returns of small or mid-size companies. Large-capitalization companies on the other hand have significantly advantageous ESG score types” (S. 19).

Heisse Renditen: The Temperature Effect and Sovereign Bond Returns von Renatas Kizys, Wael Rouatbi, Zaghum Umar und Adam Zaremba vom 28. Dezember 2021 (#21): “… we examine four decades of bond data from 31 countries. … A 10°F rise leads to an increase in sovereign bond returns between 0.22 and 0.85 basis points”.

Grüner Anleihestress: Sustainable investing in times of crisis: evidence from bond holdings and the COVID-19 pandemic von Serena Fatica und Roberto Panzica vom 27. Dezember 2021 (#20): “We consider a specific class of sustainable financial instruments – green bonds – that have emerged as the ‘star of climate finance’ in recent years. Our sample period spans from the third quarter of 2018 to the second quarter of 2020, and covers the period of severe and sudden stress experienced by financial markets as pandemic-related events, including major policy responses, unfolded. We do not find evidence of significant differences in net sales of green bonds with respect to conventional bonds in normal times, i.e. until the end of 2019. However, during the COVID outbreak, i.e. the first quarter of 2020, green securities experience consistently lower sales than equivalent conventional bonds. … We document that green bond ownership is more concentrated than that of conventional bonds in normal times, and that concentration has increased during the COVID outbreak …” (S. 32).

Stimmrechtsenttäuschungen: Voting Matters 2021 Are asset managers using their proxy votes for action on environmental and social issues? von ShareAction vom 15. Dezember 2021: “The very largest asset managers’ voting records provide particular cause for concern. Eighteen additional resolutions would have received majority support if one or more of the world’s three largest asset managers had switched to vote in favour of them. The six largest asset managers also vote more conservatively than the recommendations of their proxy advisors. Many asset managers are not exercising their voting rights, with seven assessed managers voting on fewer than 60 per cent of resolutions. Five of these are members of Climate Action 100+ (CA100+). … CA100+ and NZAM initiative members voted against almost a third of environmental resolutions. …Only 15 per cent of all social resolutions received majority support (13 out of 89). … Resolutions with a stronger focus on action or changing corporate behaviour struggled to achieve more than 30 per cent shareholder support. … Eleven assessed asset managers voted against human rights-related shareholder proposals at companies supplying weapons to states engaged in conflict with a record of alleged human rights violations” (S. 7/8). Mein Kommentar: Vgl. Divestments bewirken mehr als Stimmrechtsausübungen oder Engagement | SpringerLink

ETF-Kritik: Traditionelle Investments

Ungesunde Aktieninvestments? Financial wealth shocks and health von Declan French vom 9. Dezember 2021 (#9): “Wealth shocks are identified from Health and Retirement Study reports of stock ownership along with significant negative discontinuities in high-frequency S&P500 index data. We find that a one standard deviation change in cumulative shocks over a year changes the probability of high blood pressure by 10.2% and the cholesterol ratio by 7.4% of average values for those whose wealth is all in shares” (abstract).

Übles Anlegerverhalten: Risk-Taking under Limited Liability: Quantifying the Role of Motivated Beliefs von Ciril Bosch-Rosa, Daniel Gietl und Frank Heinemann vom 16. Dezember 2021 (#16): “Using a novel experimental design, we show that …. For the same investment opportunity, subjects invest more and are significantly more optimistic about the success of the investment if their failure can harm others. … we show that motivated beliefs are formed subconsciously and can lead to the paradoxical result of investors taking larger risks when their investment can harm a third party than when it cannot” (abstract).

Kleinfondsbias: Small Fund Size Matters von Gelly Fu vom 20. Dezember 2021 (#13): “Since it is easier to generate high performance with smaller funds due to decreasing returns to scale and since high performance is heavily rewarded in the mutual fund industry, I find that mutual fund managers prioritize their smallest fund when they manage more than one fund. These findings indicate that a fund’s performance output or fund skill depends not only on the size of the fund itself, but also on the size of the other funds of the same corresponding manager” (S. 19). Kommentar: Mein Fonds ist auch klein, vgl. FutureVest Equity Sustainable Development Goals R – DE000A2P37T6 – A2P37T

Schlechte ETF-Modellportfolios? Advising the Advisors: Evidence from ETFs von Jonathan Brogaard, Nataliya Gerasimova und Ying Liu vom 7. Dezember 2021 (#55): “Despite the increasing number of model recommendations, little is known about how they influence the investment choices of financial advisors. …. we analyze recommendations of ETF issuers and strategists to third-party financial advisors over the period 2010 to 2020. We find that these recommendations have a large and significant effect on ETF flows. … Asset managers tend to include their own ETFs. These affiliated ETFs, on average, have lower past returns and higher fees than unaffiliated funds. We also do not find evidence that the affiliated ETFs provide superior performance after they are recommended. … financial advisors may not be able to fully judge whether these recommendations add value … financial advisors might use these recommendations to reduce their reputation concerns … they might still be better off using these recommendations than using none ….” (S. 24). Mein Kommentar: Soehnholz ESG 2021: Passive Allokationsportfolios und Deutsche ESG Aktien besonders gut – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Custom-Indexing Argumente: Should Passive Investors Actively Manage Their Trades? Von Sida Li vom 29. Dezmebr 2021 (#527): “I find that 56% of ETFs follow mechanical trading strategies that abruptly rebalance at the closing price of an index reconstitution date, although their trading dates and tickers are both publicly known 5 days before a reconstitution. These ETFs experience a hefty 67 bps execution shortfall for their trades. … Self-indexing ETFs choose to track private indices to hide their trading interests. Opaque ETFs camouflage their rebalancing schedules and use alternative rebalance paces. The savings per trade involved with these two approaches are about 30–34 bps, which translates to about 9.6 bps per year of AUM” (S. 24/25).

Komplexitätsoutperformance? The Virtue of Complexity in Machine Learning Portfolios von Bryan Kelly, Semyon Malamud und Kangying Zhou vom 17. Dezember 2021 (#438): “Building on recent advances in the theory of high complexity models from the machine learning literature, we demonstrate a theoretical “virtue of complexity” for investment strategies derived from machine learning models” (49/50). Mein Kommentar: Einfaches Risikomanagement kann erstaunlich gut funktionieren – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Sind gute Immobilienlagen schlecht? Superstar Returns von Francisco Amaral, Martin Dohmen, Sebastian Kohl und Moritz Schularick vom 27. Dezember 2021 (#76): “This paper constructed a novel data set covering long-run house prices, rent and housing return series for 27 national superstar cities. The historical data shows that the superstars tend to under-perform the rest of the country in terms of total returns. … The data suggest that housing risk decreases with city size, … Large cities have more liquid housing markets and returns are less correlated with income risk. Both factors make superstar real estate a safer investment and investors willing to accept lower returns” (S. 37).

Naïve Outperformance: Why Naıve 1/N Diversification Is Not So Naıve – 1/N, and How to Beat It? von Ming Yuan und Guofu Zhou vom 5. Janaur 2022 (#60): „… the estimated Markowitz portfolio rule and most of its extensions underperform the naıve 1/N rule (that invests equally across N risky assets) in many practical data sets. In this paper, we provide a number of analytical insights on why the estimated rules perform poorly and why the 1/N is hard to beat”. Mein Kommentar: Passive Asset Allokationen sind besser als aktive – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

ETF-Kritik: Alternative Investments und mehr

Mikrofinanzforschung: Long-Term Relationships, Group Lending, and Peer Monitoring in Microfinance: Experimental Evidence von Simon Cornée und David Masclet vom 29. November 2021 (#10): “Microfinance is generally associated with high repayment rates. … Our findings indicate that group lending alone, in absence of peer sanctioning mechanism induces free riding and is not sufficient to mitigate ex ante and ex post moral hazards. In sharp contrast, we find that individualized long-term relationships perform significantly better than group lending mechanisms with or without peer sanctioning. … we observe differences across subject pools with social bankers making fairer credit offers than commercial bankers and students” (abstract).

Grüne Venturewirkung: Are Cities Venturing Green? A global analysis on the impact of green entrepreneurship urban centres on air quality von Cojoianu, T.F., Hoepner, A.G., Hu, X., Ramadan, M., Veneri, P. ud Wójcik, D. vom 8. November 2021 (#24): “On an extensive sample of 12,834 urban centres from around the world, we show that during the period 2010 – 2019, cities with larger cumulative number of green start-ups have decreased air pollution (proxied by PM 2.5). We also find evidence, albeit weaker, that the total cumulative number of VC backed start-ups in an urban centre is also conducive to better air quality. Looking closely at the subsectors that drive the results, we observed that the urban centres which hosted increased numbers of innovators in smart grid technologies, energy efficiency and wind energy generation (the low carbon energy sector overall) also experienced a decrease in air pollution over the 2010 – 2019 period” (S. 11).

In eigener Sache – Interview von Alexander Heftrich: „Regulierung legt nur Mindestanforderungen fest und kann Greenwashing nicht verhindern“ | Intelligent Investors (intelligent-investors.de) „Anbieter und Anleger sollten nicht anstreben, möglichst ähnlich wie traditionelle Indizes zu investieren. Gerade zu hohe Diversifikationsanforderungen sind oft ein Problem, besonders für große Fonds bzw. Anbieter. Dafür müssen meist zu viele Nachhaltigkeitskompromisse gemacht werden. Überspitzt könnte man sagen, dass ETF-Investing der größte Nachhaltigkeitsfeind ist“

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