Investments generell

Neue Aktienerkenntnisse mit mehr Daten: Stocks for the long run? Evidence from a broad sample of developed markets? Von Aizhan Anarkulova, Scott Cederburg und Michael S. O’Doherty vom 19. Januar 2021: “The bootstrap simulations resample returns from a broad cross section of 39 developed countries over the period from 1841 to 2019. … First, the long-term outcomes from diversified equity investments are highly uncertain. … Second, catastrophic investment outcomes are common even with a 30-year horizon … Third, the empirical findings based on the historical record of stock market performance across dozens of developed markets are notably different from those based on the historical U.S. experience” (S. 28).

Die Performance vieler Hedgefonds ist einfach replizierbar: Hedge Fund Performance under Misspecified Models von David Ardia, Laurent Barras, Patrick Gagliardinic und Olivier Scaillet vom 13. Oktober 2020: “The empirical results reveal that the standard models all produce the same strong performance, possibly because they omit relevant factors. … we examine a set of alternative factors proposed in recent work, including the correlation, variance, carry, and timeseries momentum strategies. Our analysis explains why these factors are likely to drive the returns of hedge funds across different investment categories. It also shows that a simple model formed with these factors achieves a sizeable reduction in hedge fund performance“(S. 32, vgl. auch Faktorinvestments sind schwierig. – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)).

ESG Daten, Ratings und Regulierung

Klimarisiken werden unterschiedlich gemessen: Climate Financial Risks: Assessing Convergence, Exploring Diversity von Julia Anna Bingler, Chiara Colesanti Senni und Pierre Monnin vom December 2020: “ …evaluate the convergence of the assessments of firms’ exposure to climate risk provided by existing metrics. We study this convergence on a sample of firms based on the issuers, respectively the guarantors, of bonds held by the ECB in its CSPP portfolio as of August 2020. To perform our analysis, we compare the assessments of 12 risk metrics from 10 providers on the exposure to climate risk of the companies in the sample. We find significant heterogeneity between different metrics across the sample (S. 17). … Crucially, assessments tend to converge on which companies are most and least exposed to climate risks. We also find that convergence is higher for metrics based on similar methodologies, and that temperature targets and the time horizon of the scenario matter, although moderately, for the assessment of the relative risk exposure of companies” (S. 18).

Corporate ESG und SDG Reporting weiterhin mit Defiziten: The time has come -The KPMG Survey of Sustainability Reporting 2020 von KPMG IMPACT vom December 2020: “Only around one-quarter of companies surveyed at high or medium risk from biodiversity loss currently disclose that risk in their corporate reporting” (S. 29). “SDG reporting is often unbalanced and disconnected from business goals” (S. 6).

Deutsche Großunternehmen mit schlechter ESG Kommunikation: Neuer IR-Standard ESG: Ready for Sustainable Investing? von Thorsten Greiten vom 10. Dezember 2020: „Keines der untersuchten Unternehmen legt den Anlegern seine Wesentlichkeitsanalyse dar. „Kein Unternehmen kommuniziert in den Roadshow-Unterlagen über den Diskurs mit Mitarbeitern und Stakeholdern zu Nachhaltigkeitsthemen und deren Entwicklung. Die soziale Verantwortung wird so gut wie nicht erwähnt. Nur 13 % der DAX-Unternehmen sprechen die Sustainable Development Goals an. Noch weniger die ESG-Kriterien. Nur 10 % geben an, sich multinationalen Aktionen wie etwa „Ambition for 1.5 C“ angeschlossen zu haben“.

Die EU wird wohl Einfluss auf ESG Ratings nehmen: Study on Sustainability Related Ratings, Data and Research von der Europäischen Kommission vom 6. Januar 2021: “There is an overall demand for greater transparency of objectives sought, methodologies adopted and quality assurance processes in place by sustainability-related rating and data providers. … The timeliness, accuracy and reliability of the output from sustainability-related rating and data providers was a concern raised by companies and asset managers. Investors are demanding more data granularity and have high expectation on data quality, consistency and timeliness, so they can better integrate this into their own financial analysis (S. iv). This existance of bias and low correlation across sustainability-related ratings are broadly recognized across all market participants. …. The potential for conflicts of interest, particularly associated with providers both evaluating companies and offering paid advisory services, was highlighted. … There is a need for a focus on materiality given the extensive breadth of topics covered, and resulting hundreds, if not thousands, of indicators used. … Company sustainability disclosures are considered to lack comparability, consistency and completeness, despite the growth in uptake of the numerous sustainability reporting standards that exist. … A source of frustration is the overall lack of engagement with and by companies on sustainability-related issues, both in terms of insufficient meaningful direct communication with investors on these issues, and the lack of dialogue (and the inability to correct errors) with sustainability-related rating and data providers. … There is a lack of clear and consistent terminology used and a need for clearer and standardized definitions for sustainability-related products and services” (Page v).

Biodiversität ist ein wichtiges aber investmenttechnisch noch nicht abgedecktes Feld: Unearthing investor action on biodiversity von Credit Suisse vom 20. Januar 2021: “Our first-of-its-kind study is an evaluation of how and to what extent investors are addressing biodiversity. … Investors are struggling to identify and consider biodiversity-linked investment opportunities. Biodiversity needs to be made more digestible and measurable for investor concerns to translate into investment action …. More than half of the respondents believe biodiversity will be one of the most important topics in the investment community by 2030” (S. 7).

Genderinvestments: ESG Investments

Aktive ESG Fonds nutzen nur wenige harte Ausschlüsse: Better Together: Policy Benchmarks, Active Equity and ESG How ESG indexes can complement active management von Anil Rao, Guido Giese, Raman Subramanian und Zoltan Nagy von MSCI vom Januar 2021: “The actively managed funds in our study—even those with relatively strong ESG profiles based on MSCI fund ratings methodology—often did not apply the most common values-based exclusions. These include, for example, standards related to a portfolio’s exposure to fossil-fuel extraction, ties to firearms production or noncompliance with the United Nations Global Compact” (S. 3, vgl. auch ESG-Investments: Warum weder aktive Fonds noch ETFs ideal sind – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)).

Gute ESG Aktienrenditen in Emergings Marktes: SRI/ESG: recent trends for Emerging Markets Funds von Cameron Brandt und Vik Srimurthy von Informa vom Januar 2021: “Investors steering money into SRI/ESG EM Equity Funds are, on average, getting a better return (before fees) than they would from nonSRI/ESG funds. SRI/ESG EM Bond Fund performance still lags unconstrained funds. … The goals embedded in ESG strategies are often at odds with the political imperatives of EM governments. There are signs that, in the case of Russia, investors are questioning whether SRI/ESG Funds can really move the needle” (S. 3).

ESG Momentum enttäuscht: Backtesting ESG Factor Investing Strategies von Daniela Hanicová und Radovan Vojtko vom 15. Juli 2020: we can conclude that factor strategies based on ESG scoring seem profitable during the last several years. Our findings confirm the broader trend of recent outperformance of strategies based on ESG. What surprised us is that the ESG level had better performance than the ESG momentum. … ESG scoring seems to be applicable to use in the portfolio as an addition to other better-known factors” (in “Conclusion”, ohne Seitenangabe).

Genderinvestments: Behavioural Finance

Angstbias führt zu höheren Preisen. Fear in the Stock Market: How COVID-19 Affects Preference for High- and Low- Priced Stocks von Jorge Pena-Marin, Rashmi Adaval und Liang Shen vom 11. Januar 2021: “An analysis of the S&P 500 stock prices during the COVID-19 market crash showed that high-priced stocks outperformed lowpriced ones …. Experimental data further confirmed that fear induced by thoughts about the pandemic increased individuals’ preference for high-priced stocks when they were forced to choose one stock from a set of alternatives …. Although fear generally decreased the preference for stocks when the market trended downward, this decrease was less for high-priced stocks than for low-priced ones”.  

Genderinvestments – Gender erklärt nichts (1): Quantifying Loss Aversion: Evidence from a UK Population Survey von David Blake, Edmund Cannon und Douglas Wright vom 16. März 2020: “Our study shows that women are more loss and risk averse than men, but this is no longer the case when we condition, suggesting that gender differences can possibly be explained by other factors, such as income differences” (S. 46).

Genderinvestments – Gender erklärt nichts (2): Risk Attitude and Capital Market Participation: Is There a Gender Investment Gap in Germany? von Jan-Chrsitian Fey, Oliver Lerbs, Carolin Schmidt und Martin Weber vom 19. Januar 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. … we document larger discounts in capital market participation for financially illiterate households and premiums for households seeking investment advice. … 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 and lower fractions in listed shares and certificates …” (S. 39/40). Mein Kommentar: Das erinnert mich an die Arbeit meiner Tochter. Sie hat herausgefunden, dass Migrationshintergrund nicht entscheidend ist für eine schlechte Partizipation, vgl. The social participation of children with migration backgrounds.

Genderinvestments – More women, more risk: Risk-Taking in Impact Investing: The Role of Gender and Experience von Luisa Alemany, Mariarosa Scarlata und Andrew Zacharakis vom 11. Januar 2021: “Relying on gender role congruity theory, this paper investigates the relationship between the gender of the top management team of venture philanthropy (VP) firms and their risk-taking orientation. …. we find that only gender affects the risk-taking orientation in these firms …whereby teams with a higher proportion of women have a higher risk-taking profile” (abstract).

Genderinvestments: Fintechs und Robo-Advisors

Fintech kann sehr viel Wert für Staaten schaffen: COVID-19: Making the case for robust digital financial infrastructure von Olivia White et al. von McKinsey vom Januar 2021: “we studied a sample of 12 government economic disbursement programs for both individuals and small and medium-size enterprises (SMEs) in seven countries—Brazil, India, Nigeria, Singapore, Togo, the United Kingdom, and the United States. … we estimate that the potential economic gain from building robust digital financial infrastructure is about 20 percent greater now than it was before the pandemic. Before the COVID-19 crisis, we estimated the potential economic gain by 2030 from applying basic and advanced digital ID to a wide range of interactions between individuals and government and nongovernmental institutions to be in the range of 3 to 13 percent of GDP” (S. 2).

Fintech-Zentralbankenresearch: Fintech: What’s Old, What’s New? Von Arnoud Boot, Peter Hoffmann, Luc Laeven und Lev Ratnovski vom Dezember 2020: „The key new development is the abundance of non-financial data, including from digital footprints, which can be used in financial services provision. Thanks to large volumes, these data can be analyzed using machine learning and artificial intelligence, which gives rise to economies of scale in data usage and thus benefits large technology firms and other platform intermediaries. … New distribution channels enable the entry of specialized financial service providers with a focus on activities that do not require access to deep balance sheets, such as payments and asset management. … While digital platforms’ focus on retail customers and SMEs limits their reach, the increasing relevance of cloud computing services enables large technology firms to directly engage with large corporate clients, and thus compete with banks in financial services provision to this clientele as well” (S. 25).

Der Zweigstellenabbau von Banken wird wohl weitergehen: It’s The End of Bank Branching As We Know It (And We Feel Fine) von Jan Keil und Steven Ongena vom 16. Oktober 2020: “1) De-branching and technology go hand-in-hand at the country level, less so across the US in counties and for individual branch closures; 2) Worse economic conditions and bank fragility spur debranching rather robustly; and 3) Mergers and Acquisitions correspond strongly to debranching, especially when banks are targets and there is a network overlap between the involved banks” (S. 12).

Banken können von Fintechs profitieren: Cutting Operational Costs by Integrating Fintech into Traditional Banking Firms von Linda Allen, Yu Shan, Yi Tang und Alev Yildirim vom 8. Januar 2021: “… banks with higher Fintech integration experience increases in their operational efficiency when adapting to industry shocks and regulatory policy changes. Finally, bank acquisitions of higher Fintech score bank targets increase the post-merger banks’ Fintech scores and improve operational efficiency” (S. 21).

Positive Robo-Advisor Effekte: Robo-Advising for Small Investors von Milo Bianchi und Marie Brière vom December 2020: “We have found that having access to a robo-advisor induces investors to pay more attention to their portfolios, to increase their trading activities and their exposure to risk, and it results in higher risk-adjusted returns. We have shown that an important dimension of these effects is dynamic: the robo is able to induce investors to rebalance their portfolio in a way that get them closer to the target allocation. We have also found that these effects are particularly strong for investors with smaller portfolio, who are less likely to be served by traditional advice.” (S. 21).

Hybrid ist gefragt: The Needs and Wants in Financial Advice: Human versus Robo-advising von Alberto Rossi und Stephen Utkus vom 8. Januar 2020: “We provide evidence that traditionally-advised individuals hire financial advisors largely to satisfy needs other than portfolio return maximization. These needs include acquiring “peace of mind,” having access to the opinions of an expert and delegate financial decisions. We also show the majority of investors do not know how much they pay for financial advice …. Robo-advised investors are instead more interested in self-improvement and the financial performance of their portfolio. These traits are also prevalent among the traditionally advised investors inclined to switch to robo-advising, in addition to their technological attitude. Even robo-advised investors, however, value greatly the possibility to reach out and interact with humans“ (S. 22, vgl. auch Hybridmodelle: Worauf traditionelle Finanzdienstleister bei Robo-Advisors achten sollten – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)).