Braune Diversifikation

GDV ESG Kritik und neues Research

GDV ESG Kritik

Meine GDV Kritik: Auswirkungen von ESG-Konzepten und nachhaltigen Investments auf das Rendite-Risiko-Profil von Kapitalanlagen vom Gesamtverband der deutschen Versicherungswirtschaft vom 14. April 2021: „Die moderne Portfoliotheorie beschreibt den Zusammenhang zwischen der Rendite und dem Risiko einer Anlage. Durch Streuung (Diversifikation) kann die risikoadjustierte Rendite optimiert werden. Eine Einschränkung des Investmentuniversums, insbesondere wenn diese auf nicht-finanziellen Faktoren beruht, erhöht demnach das unsystematische Risiko, mindert Diversifikationseffekte und ist mit zusätzlichen Kosten (z. B. durch Research) verbunden. Je stärker das Investmentuniversum verkleinert oder von der Benchmark (Marktportfolio) abgewichen wird, desto stärker fallen demnach die negativen Effekte aus“ (S.3).  … „Smart-Beta-Strategien, die gezielt in Risikoprämien investieren, können zur Optimierung des Rendite-Risiko-Profils eingesetzt werden (S. 5). … “In der bisher umfangreichsten Studie zur erzielbaren Rendite grüner Anleihen zeigen Kapraun und Scheins (2019), dass grüne Anleihen am Primärmarkt durchschnittlich eine geringere Rendite aufweisen als klassische Anleihen desselben Emittenten“ (S. 8/9). Meine Kommentare: 1) Zahlreiche Untersuchungen zeigen, dass der Grenznutzen zusätzlicher Diversifikation schnell stark abnimmt (vgl. z.B. hier und unter dem Punkt Diversifikation weiter unten). 2) Es gibt sehr viele Untersuchungen, die zeigen, dass angebliche Outperformancestrategien keine Outperformance bringen (und Smart Beta Strategien schränken die Diversifikation übrigens auch ein, lieber GDV). 3) Es wäre gut, jeweils auch die aktuellsten Studien zu nutzen, z.B. diese ESG Metastudie und diese zu Green Bonds 4) Da das Streben nach Outperformance eher riskant als sinnvoll ist, sollten auch und gerade deutsche Versicherungen versuchen, besonders nachhaltig anzulegen. 5) Gutes Nachhaltigkeitsresearch muss nicht teuer sein (ich helfe gerne!). Dafür kann man sehr viel unnützes teures outperformanceorientiertes Research einsparen (vgl. hier). 6) Meine konzentrierten und (fast) nur nach ESG (und SDG) Kriterien selektierten Portfolios performen meist so wie traditionelle Benchmarks (vgl. 7) Siehe auch meine Kritik an Benchmarkklebern „PureESG“ und „Reverse-ESG-Integration“: Beweisumkehr nötig! – Verantwortungsvolle (ESG) Geldanlage (


Von Dänemark lernen: Climate Mitigation Policy in Denmark: A Prototype for Other Countries von Nicoletta Batini, Ian Parry und Philippe Wingender vom 24. Februar 2021: “This paper makes a variety of recommendations for elements of this strategy including: Apply a domestic carbon surcharge to emissions covered by the EU ETS, … tax schemes to discourage the overconsumption of meat and dairy and increase that of plant-based diets, … structural reforms fostering healthy nutrition and reducing food waste …” (S. 45/46).

Frauen sind besser fürs Klima: Gender and Climate Action von Niklas Elert und Erik Lundin vom 3. August 2020: „Swedish women not only worry more about climate change and perceive it to be a bigger threat than men do; they also report a greater willingness than men to support climate policies, and that they engage more in voluntary actions that mitigate climate change” (S. 17).

Fossile Energieimporte statt Produktion? Interdependencies Between Countries in the Provision of Energy von Doina Radulescu und Philippe Sulger vom 24. Februa 2021: “… the intermittency of renewable energy provision has increased the volatility of electricity prices. These developments make investments in domestic energy capacities unattractive such that countries … instead import electricity from abroad. In this paper we scrutinise the interdependencies between countries in the provision of energy. … our results show that countries partially substitute domestic fossil energy production for imports. … A possible policy-implication could be the implementation of a tax on energy imports that have been produced with fossil energy resources” (S. 24).

Gute chinesische Manager sind sehr wichtig für die Klimawandelbekämpfung: Management Practices and Climate Policy in China von Yong Soo Keong; Ulrich Wagner, Peiyao Shen; Laure de Preux; Mirabelle Muulsk, Ralf Martin und Jing Cao vom 15. März 2021: “firms regulated under the ETS (emissions trading schemes) reduced their consumption of fuels with a high carbon content more strongly than unregulated firms, and that this is statistically significant only for … well-managed firms. … We attribute this result to the fact that understanding the trade-off between using, selling or banking a pollution permit is more demanding than simply complying with a quota or standard. An implication of this result is that complementary policies are needed to enhance the effectiveness of the nation-wide ETS …” ( S. 27).

Hohe Sozialkosten durch Klimawandel: Geo Economics Chapter 9: The Impact of Climate Change von Joachim Klement von der CFA Institute Research Foundation vom 18. März 2021: “The economic cost of weather extremes such as cyclones is high and, even in the long run, comparable to the effects of a currency crisis or civil war. … Both economic and social damages from climate change accrue primarily in poor countries close to the equator, whereas richer countries in the Northern Hemisphere suffer a smaller impact … Climate change’s main geopolitical risk is thus not necessarily triggered by economic damages but instead by its social impact. … the event of dramatic warming or flooding in vulnerable areas, increased violence, famines, and rising poverty would all conspire to create large migrant flows from the poor countries of the global south to the rich countries in the north” (S. 38).

Weg mit Gas: Fossil Natural Gas Exit – A New Narrative for the European Energy Transformation towards Decarbonization von Christian von Hirschhausen, Claudia Kemfert und Fabian Praeger vom 4. September 2020: “The .. narrative of fossil natural gas as a bridge fuel towards other, decarbonized gases, offers a perspective for the incumbent fossil natural gas industry to transform gradually, and to convert most of its assets in the future energy system, where methane somewhat magically decarbonizes, and everything else, including profits, remain the same. Rather than putting industry interests first, trying to maintain the largest possible paths of the industry and treat climate effects as a secondary constraint, we suggest to invert the priorities, i.e. place climate objectives first, and industry structure second, at the risk of not saving much of that structure, mainly sunk costs. … the fossil natural gas industry has embraced a climate protection rhetoric, to present itself as “more climate friendly as coal and oil” … If, as we have shown, methane cannot decarbonize, fossil natural gas exit is the logical consequence of an ambitious climate policy” (S. 40/41).

Klimawandel braucht besseres Accounting: Recovery from Covid-19 towards a low-carbon economy – a role for accounting technologies in designing, implementing, and assessing stimulus packages von Binh Bui und Charl de Villiers vom 17. Dezember 2020: “the relatively small economic benefits compared with significant mitigation costs, and in particular, the significantly higher costs of pursuing a 2°C target compared to a 1.5°C target, have justified relative inaction/ insufficient climate action by governments. … We argue that the reliability of accounting technologies (or lack thereof) may contribute to the action (inaction) at the international and national levels, and have underlined the domination of the economising logic over ecological one. We also argue that carbon pricing, as a proxy for the social cost of carbon, have not been effective in stimulating effective carbon mitigation …. the reality of current stimulus packages is that green investments account for only ‘loose changes’ and bailout and funding for polluting sectors still dominate in the packages. Part of this is caused by the failure to incorporate accounting technologies, i.e. carbon-focused indicators, metrics, and criteria, in the planning of the package, and assessment and approval of specific budget allocations …” (S. 25).

GDV Beitrag: Investments generell

Kann die Bundesbank doch etwas bewirken? Toothless tiger with claws? Financial stability communication, expectations, and risk-taking von Johannes Beutel, Norbert Metiu und Valentin Stockerl von der Deutschen Bundebank vom 19. März 2021: “Individuals receiving a warning from the central bank expect a higher probability of a financial crisis. We … show that higher perceived risks cause individuals to reduce their demand for risky assets. … In addition, these individuals deposit a smaller fraction of their savings at riskier banks” (abstract).

Zentralbanken haben Wirkung: Tracking ECB’s Communication: Perspectives and implications for financial markets von  Roberta Fortes und Théo Le Guenedal vom 22. März 2021: “We then used both of these signals, topics and sentiment, to measure the impact of central bank communication on asset prices, especially on the euro. We analyzed in an “agnostic” way the main signals of influence on the currency, whether or not they are related to monetary policy. Our results show that both signals are significant drivers for the euro’s return. … Consistently with the literature, our sentiment variables suggest that tone matters and that delivering clear messages is key. We showed that meaningful topics change over time and encompass a broad range of subjects: from the development and enlargement of the euro area, to fiscal policies, liquidity risk and banks’ profitability. As a whole, this implies that financial markets are sensitive to a large and diverse scope of the ECB’s communication, well beyond the traditional thematic of monetary policy” (S. 36).

Potential in Indien: The Emerging Asia Pacific Capital Markets: India von Rajendra Kalur und Shwetabh Sameer von der CFA Institute Research Foundation vom 18. März 2021: “The Indian capital markets … boasts two of the world’s largest stock exchanges—NSE and BSE—and is considered one of the most preferred investment destinations for international capital … In order for Indian markets to achieve their full potential, stakeholders need to come together and take steps that can remove bottlenecks and ensure that the huge amount of savings available in the economy is harnessed sufficiently to power the growth engine, as the Indian economy grows toward achieving the $5 trillion target” (abstract). Mein Kommentar: Indien, Malaysia und Thailand gehören zu den wenigen Entwicklungsländern, deren Unternehmen in meine Portfolios aufgenommen werden

(Fintech-) Potential in Malaysia: The Emerging Asia Pacific Capital Markets: Malaysia von Jin Yoong Chong von der CFA Institute Research Foundation vom 18. März 2021: “Malaysia has one of the most open economies in the world … The nation’s stock exchange, Bursa Malaysia Berhad, … is home to more than 900 listed companies … Peer-to-peer lending and crowdfunding are seeing increasing traction in line with the changing demographics of the investor base” (abstract).

GDV Beitrag: Diversifikation und Konzentration

Relativ wenige Assets können ausreichen: Measuring the Benefits of Diversification Across Portfolios von Dilip Madan und King Wang vom 29. März 2021: “Two measures of portfolio diversification are introduced as the ratio of an equivalent number of independent assets to the number of assets. The equivalence if defined as attaining the same diversification value or spread benefit. The diversification benefit is the difference in value of a value maximizing portfolio less the maximum value of the components taken individually. The spread benefit is the percentage reduction in the spread attained by a spread minimizing portfolio relative to lowest component spread. … International diversification across global indices does not appear to be as strong as what one may have expected. This could be due to rising correlations on account of globalization. However the index does rise with the investment horizon“ (S. 16). Mein Kommentar: Vgl. Soehnholz ESG GmbH statt Diversifikator – Verantwortungsvolle (ESG) Geldanlage (

Wenige Aktien können ausreichen: Asset Selection via Correlation Blockmodel Clustering von Wenpin Tang, Xiao Xu und Xun Yu Zhou vVom 29. März 2021: “This paper aims to identify a smaller set of stocks that achieve adequate level of diversification compared with the whole universe of stocks. We achieve this by clustering financial assets via the correlation structure” (22). Mein Kommentar:  Vgl. z.B. ESG SDG: Sehr konsequente Aktienportfolios – Verantwortungsvolle (ESG) Geldanlage (

Vorteile konzentrierter Portfolios: How Portfolio Construction Impacts the Reliability of Outcomes von Jack Vogel auf AlphaArtitect vom 16. April 2021: “We test various factor portfolios against the 50-stock, equal-weight, 3-month rebalance Value or Momentum portfolios. The model suggests that adding more stocks decreases the probability of beating the 50-stock portfolio. Also, we highlight some additional benefits of more concentrated models—lower correlation to the market portfolio, and thus the potential for stronger diversification benefits for a global multi-asset portfolio”. Mein Kommentar: Meine Portfolios sind konzentriert und haben trotzdem meist ähnliche Performances wie traditionell Indizes vgl. Q1 ESG: Pure globale Aktien ESG Portfolios mit besonders guter Performance – Verantwortungsvolle (ESG) Geldanlage (

Überkonfidenz nach guter Performance: Managerial Behavior in Fund Tournaments – The Impact of TrueSkill von Alexander Swade, Gerrit Köchling und Peter Posch vom 29. März 2021: “… we present a way to model the positive correlation of prior performance and new investment decisions. The impact of good performance in recent years seems to lead to an over-confident investment style of managers, who are shifting their portfolio risk towards the higher tercile of the peer group in the second half of the year” (S. 24)

GDV Beitrag: ESG

Klimarisiko kostet schon jetzt: The energy transition and changing financing costs von Xiaoyan Zhou, Christian Wilson und Ben Caldecott vom April 2021: “While climate-related transition risks in the energy sector are sometimes viewed as distant, long-term risks, the impacts of which will not be felt for decades to come, we find this does not reflect reality. In energy production, we find that there is a clear increase in loan spreads for coal mining across the entire period and over the past decade, increasing 54% from 2007-2010 to 2017-2020. … However, in oil & gas, the picture is more mixed. Although loan spreads have risen since 2000, in the past decade loan spreads in oil & gas services and oil & gas production have remained largely stable, at +3% and +7% respectively. This suggests that financial constraints on oil & gas companies have not materialised in the same manner as coal. … In power generation, we find that loan spreads for renewables are falling, while loan spreads for fossil fuels are rising either marginally in the case of gas, or sharply for coal power, where loan spreads increased 38% in the past decade” (S. 51).

Divestment-Ankündigungen und Green Banking funktionieren oft nicht: Do Fossil Fuel Divestment Commitments and Green Finance Policies Impact Fossil Fuel Investment Brokerage within and between Financial Centres? Von Cojoianu, T.F., Hoepner, A., Schneider, F., Urban, M., und Wójcik, D. vom 12. März 2021: “… using a global dataset of over 840,000 equity, bond and syndicated loan investment banking deals … We find that several financial centres shift their fossil fuel investment brokerage profiles substantially, including the asset classes which they are active in, and that divestment commitments and green banking policies fail to restrain fossil fuel investment, in particular the inter-financial centre brokerage of fossil fuel finance. Finally, we highlight the importance of bonds and syndicated loans to global fossil fuel financing and conclude that a substantial impact on climate change mitigation can be made if bankers from 5 key cities, New York, London, Toronto, Tokyo and Paris, decide to de-fund fossil fuels” (S. 13/14).

Social Washing? Walking the Walk? Bank ESG Disclosures and Home Mortgage Lending von Sudipta Basu,  Justin Vitanza, Wei Wang und Xiaoyu (Ross) Zhu vom 14. April 2021: “We find that high-ESG banks issue fewer home mortgages—in both number and dollar amount—in poorer counties than do low-ESG banks. Even in the same county, high-ESG banks lend less in poorer tracts compared to low-ESG banks … A similar pattern of lending disparity with respect to bank ESG is observed for small business lending. The evidence suggests that a social wash effect is at play: firms engage in ESG to project an image of social altruism while shunning the tangible actions that create true social goods” (S. 33).

ESG Rating Detailanalyse: ESG scores and beyond Part 2: Contribution of themes to ESG Ratings: a statistical assessment von Kevin Ratsimiveh und Ruben Haalebos von FTSE Russell vom April 2021: “Climate Change, Anti-Corruption, Labour Standards, and Human Rights and Community themes are relevant to all industries. When we reconstruct the final ESG rating with these four themes, we get a result strongly related to the original ESG rating” (S. 3), branchenabhängig kommen Umwelt- und soziale Aspekte der Lieferkette als besodners wichtig hinzu.

GDV Beitrag: Alternative Investments

Besser keine Hedgefonds: No Hedge Funds, No Cry von Javier Estrada vom 2. April 2021: “…the performance of the hedge fund industry has been nothing if not a major disappointment. As shown here, extremelysimple strategies that combine stocks and bonds, which can be implemented with just two index funds or ETFs, have outperformed hedge funds in terms of return and riskadjusted return over the last 10, 15, and 20 years” (S. 7/8).

Guter Private Equity Home Bias: Home bias and local outperformance of Limited Partner investments: Evidence from private equity fund manager selection von Stefan Morkoetter und Tobias Schori vom 24. März 2021: “Based on a sample of 114,098 investments committed by 12,258 limited partners into 20,473 private equity funds … We find that limited partners overweigh their investments with fund managers domiciled in the same geographical region by 45% on average. The home bias in local fund manager selection holds across investor types, fund characteristics as well as market regions. Investments committed with locally domiciled fund … perform better than investments with fund managers domiciled in foreign market regions. We argue that limited partners benefit from information advantages and better fund access when selecting private equity funds within their home market region”.

Frauen haben niedrigere Venturerenditen: Gender Gaps in Venture Capital Performance von Paul Gompers, Vladimir Mukharlyamov, Emily Weisburst und Yuhai Xuan vom 2. September 2020: “Investments by female venture capital investors have significantly lower success rates than investments by their male colleagues …. The gender differences in investment outcomes are … largely attributable to female investors receiving less benefit from the track records of their colleagues. Performance differences disappear in older, larger firms and firms with other female investors.”


Gute Fintechs für gute Mitelständler: How Does Peer-to-Business Lending Affect Financial Policy of SMEs? von Afonso Eca, Miguel Ferreira, Melissa Porras Prado und Emanuele Rizzo vom 4. März 2021: “We find that firms that borrow through FinTech platforms are larger, more profitable, have strong sales growth and higher bank debt as compared to those who borrow from traditional financial intermediaries. … After obtaining P2B financing, SMEs increase the number of lending relationships, reduce their dependence on the largest lender, and reduce borrowing cost net of the premium paid to the P2B platform. … We find that SMEs are more likely to use the P2B platform if they have lending relationships with less profitable banks, banks with less stable funding, and banks with more liquidity constraints. … The existence of market-based systems that SMEs can access appears to be welfare enhancing as it allows SMEs to diversify their lending relationships and reduce the overall cost of funding” (S. 16/17).

Grüne Gründer: Green Startup Monitor 2021 von Klaus Fichter und Yasmin Olteanu vom Borderstep Institute für Innovation und Nachhaltigkeit und dem Bundesverband Deutsche Startups vom April 2021: “Deutsche Startups werden zunehmend grüner und wirkungsorientierter. … Grüne Startups haben eine höhere aber stagnierende Gründerinnenquote. … Ein Exit ist nur für die Hälfte der grünen Gründungsteams interessant. … Grüne Startups sprechen sich für eine Förderlinie ‚Sustainability‘ und mehr staatliche VC-Finanzierung aus“ (S. 7). Mein Kommentar: Diesem Segment fühle ich mich auch zugehörig vgl. Conscious Fintech? 5 Jahre Diversifikator – Verantwortungsvolle (ESG) Geldanlage (

Erklärbare AI für Robos: Robo-Advising: Less AI and More XAI? Augmenting algorithms with humans-in-the-loop von Milo Bianchi und Marie Brière vom 13. April 2021: “As discussed previously, incorporating more complex AI into robo-advice (and more generally into financial services) faces three key challenges. Firstly, while highly personalised asset allocations have the great potential of accommodating an individual’s needs, they are also more exposed to measurement errors of relevant individual characteristics and to parameter uncertainty. Secondly, to the extent that increased AI is associated with increased opacity, the risk is to miss some key promises of increased accountability and financial inclusion. Third, trust is key for technology adoption, even more so in the domain of financial advice. These challenges, in our view, call for algorithms that can be easily interpreted and evaluated. …. Another potentially interesting development would be to strengthen the interactions with clients” (S. 19).

Behavioral Finance

Eine Crowd kann funktionieren: Should Retail Investors Listen to Social Media Analysts? Evidence from Text-Implied Beliefs von Chukwuma Dim vom 29-März 2021: “Non-professional social media investment analysts (SMAs) … beliefs about individual stocks … while about half of SMAs are able to generate just positive abnormal returns following belief statements, only a small fraction, 10%, of SMAs state beliefs that produce economically meaningful performance of 56 bps over a 5-day window. These results suggest that as a group SMAs appear to add value, although skill is considerably limited at the individual SMA level. …. SMAs herd in their belief statements, with herding being less prevalent in bad times and when the consensus is more optimistic” (S. 41).

Retailanleger mit Bubblerisiko: The Rise of Reddit: How Social Media Affects Retail Investors and Short-sellers’ Roles in Price Discovery von Danqi Hu, Charles Jones, Valerie Zhang und Xiaoyan Zhang vom 20. April 2021: “During the pandemic year of 2020 and 2021, retail investors have access to easy trading, more funding, and more information from social media platforms such as Reddit. … We find that higher traffic, more positive tone of posts and comments, more disagreement and higher connectedness at Reddit lead to higher returns, higher retail order flow, and lower shorting flows in the future. That is, Reddit social media activity encourages retail buying behavior, and deters shorting. … while the short-sellers correct the bubbles created by social media activity and retail order flows” (S. 27/28).

Lieber weniger wissen und spenden: Avoid Peer Information: Evidence from a Field Experiment of Charity Crowdfunding von Tat Chan, Li Liao, Xiumin Martin und Zhengwei Wang vom 14. April 2021: “We ran a field experiment to study the behavior whereby an individual avoids the charity-giving information of peers, and the consequences of such behavior on the individual’s charity-giving and promoting decisions. We find that even when the information can be sought at low cost, and no physical or verbal interactions occur with peers when seeking the information, the vast majority of individuals choose to avoid the information. Using instrumental variable regressions, we show that, compared with the scenario in which the information was exposed, information avoidance reduced the giving rate by 0.2%–0.3% and the resending rate by 0.2% among information avoiders. This reduction translates into an 8.4% decrease in the total resends on the crowdfunding platform, and a 7.4% decrease in the total donation amount. This result is very significant, considering that we only manipulated a single piece of information in the messages of donation solicitation” (S. 26).

Höhere Renditen für Reiche: Why Do Wealthy Investors have a Higher Return on their Stocks? Von Yosef Bonaparte vom 22. März 2021: “First, wealthy investors have a higher risk adjusted return in their stocks. Second, investors who are willing to bear higher financial risk employ greater search effort. … Third, wealthy investors adopt search strategies that are more productive than those adopted by the less wealthy” (S. 30).

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