Traditionelle Anlagen

Stiftungsgeldanlagen inklusive ESG: Normalerweise erwähne ich keine Podcasts oder Online-Seminare, aber diese Veranstaltung zu Kapitalanlagen von Stiftungen ist sehr interessant: Virtueller Stiftungstag vom Stiftungsmarktplatz von Tobias Karow und Rendite Werk Elmar Peine vom 26. Juni 2020 (vgl. https://prof-soehnholz.com/verantwortungsvolle-geldanlage-fuer-stiftungen-ein-tool-fuer-die-anlagepolitik/).

Nicht neu, aber trotzdem oft falsch beraten: Einstieg in den Aktienmarkt: Einmalanlage oder Phaseninvestment? Von Gerd Kommer vom 3. Juli: „Wer sich in Sachen Finanzen für einen sehr rationalen Homo Oeconomicus hält, wird einen vorhandenen Cash-Betrag zu jedem beliebigen Zeitpunkt so bald und so schnell wie möglich in einer Summe in den Aktienmarkt investieren, weil er damit die statistische Ertragserwartung maximiert.“

Regelbasierte Anlagestrategien und (hybride) Honorarberatung und können funktionieren: Bilanz-Check – Die Decodierung der Quirin-Erfolgsformel von Gösta Jamin und Stefanie Hehn am 29. Juni 2020 im Private Banking Magazin (vgl. https://prof-soehnholz.com/esg-halbjahr-relativ-gute-performance-passiver-allokations-und-strenger-esg-portfolios/).

Benchmarkwahl ist eine Kunst: Diversify, but Not Too Much: Why adding more asset classes isn’t always helpful von Amy Arnott von Morningstar vom 19. Juni 2020: „Morningstar now divides the fund universe into about 140 separate categories based on each fund’s underlying holdings“. … „It’s important to note that diversification both within and across different asset classes can improve long-term returns. But if you want to diversify for risk reduction, make sure the position is big enough to count“.

Direkte Aktienportfolios können schlecht sein: When to Buy Stocks Directly – An offer that most investors should refuse von John Rekenthaler von Morningstar vom 22. Juni 2020. „The stock market indexes are propelled by a relatively small number of huge winners, which drag the silent majority along with them. Over history, the median lifetime return for a publicly traded U.S. stock has been worse than mediocre; it has been negative“ (vgl. https://prof-soehnholz.com/direct-esg-indexing-die-beste-esg-investmentmoeglichkeit/).

Neue Anomalie und neue Kennzahl aus Mannheim: The Portfolio Composition Effect von Jan Müller-Dethard and Martin Weber vom Juni 2020: „… participants still invest more in portfolios which are composed of more winner than loser stocks relative to alternative portfolios with more loser than winner stocks, if the expected portfolio returns are objectively identical and participants state exactly the same beliefs about the portfolios’ expected returns“ (S. 27/28). „we find that historical fund flows of leading equity market index ETFs are affected by the index previous-day composition of winner and loser stocks“ (S. 28).

Investorenerwartungen sind vorhersehbar: Recovering Investor Expectations from Demand for Index Funds von Mark Egan. Alexander MacKay und Hanbin Yang vom 15. Mai 2020: „We use a revealed-preference approach to estimate investor expectations of stock market returns. We apply our methodology to the market for S&P 500 ETFs. ETF investors face a fixed menu of investment alternatives, each with a different fee structure and risk/return profile. …. Consistent with the literature, we find evidence of extrapolative beliefs: mean expected returns are highly and positively correlated with recent historical returns. In addition, we find that the distribution of beliefs becomes more dispersed and more negatively skewed following a period of negative stock market returns. … This type of demand framework … could be particularly useful when survey or micro data is unavailable“ (S. 29).

Risiken durch aktive ETFs? A new milestone for exchange traded funds von der State Street Corporation vom 20. Mai 2020: In dem Dokument wird kurz der Status und eine Umsetzungmöglichkeit aktiver ETFs erläutert. Als Vorteile werden Liquidität, einfaches Handeln, Kosten und Steuern genannt, als Nachteil Intransparenz. Mein Kommentar bzw. was nicht gesagt wird: Es gibt Nachteile für Fondsanleger, die nur einmal am Tag zum Nettoinventarwert kaufen/verkaufen können, wenn es aktive ETFs mit Intraday-Handelsmöglichkeiten gibt. Bei Hedgefonds versus Managed Accounts ist diese Diskussion zu Gunsten der klassischen Hedgefonds ausgegangen.

Statistik kann trügerisch sein: Statistical Nonsignificance in Empirical Economics von Alberto Abadie aus 2020: „Significance testing on a point null is the most prevalent form of inference in empirical economics. In this article, we have shown that rejection of a point null often carries very little information, while failure to reject is highly informative. This is especially true in empirical contexts that are common in economics, where datasets are large (and, if anything, are becoming larger) and where there are rarely reasons to put substantial prior probability on a point null. Our results challenge the usual practice of conferring point null rejections a higher level of scientific significance than non-rejections. In consequence, we advocate visible reporting and discussion of nonsignificant results in empirical practice“ (S. 205/206).

Faktorstrategien bringen nix: Zeroing in on the Expected Returns of Anomalies von Andrew Chen and Mihail Velikov vom März 2020: „We zero in on the expected returns of anomalies by accounting for trading costs and the staleness of historical data. Net of these effects, the expected return on even the best anomalies is effectively zero. … Previous papers show that the gross return is about 15% publication bias … We find that trading costs account for another 40%, and that the remaining net returns (45%) are traded away over time“ (S. 29).

Alternative Investments

Börsennotierte Immobilienanlagen sind sinnvoll: Listed versus non-listed real estate companies von der DFVA Kommission Immobilien vom Juni 2020: Untersucht wird, „in welchen Marktphasen Arbitrage zwischen börsennotierten Immobilien-Unternehmen und nicht-börsennotierten Immobilienfonds für institutionelle Investoren möglich ist“. Europäische börsennotierte Immobilienunternehmen weisen tendenziell höhere Renditen als vergleichbare Spezialfonds aber auch hohe Volatilitäten auf. Eine Diversifikation über beide Segmente kann der Studie zufolge Sinn machen (vgl. https://prof-soehnholz.com/erstes-konsequent-verantwortungsvolles-globales-immobilienaktienportfolio/).

Hedgefondsmanager sind viel schlauer als Hedgefondsanleger: The Performance of Hedge Fund Performance Fees von Itzhak Ben-David, Justin Birru und Andrea Rossi vom 19. Juni 2020: „The estimates show that investors have paid 49.6% of aggregate gross profits as incentive fees, that is, the effective incentive fee rate has been more than twice as large as the average nominal incentive fee rate of 19.0%. We show that the difference in fees, the “residual incentive fees,” were paid to managers irrespective of their lifetime performance. These higher ex-post incentive fees decrease investors’ net aggregate returns by 1.19% per year. The economic magnitude of the results is large. Over the sample period studied (1995–2016), the investors in the sample’s hedge funds paid $133bn in incentive fees and earned $228bn in aggregate gross profits. This means that investors paid $70bn more than they would have paid if incentive fees had been completely symmetric“ (S. 57).

ESG Umfeld ohne Impact Rating

Klimadisaster können schnell zu bewaffneten Konflikten führen: Multi-method evidence for when and how climate-related disasters contribute to armed conflict risk von Tobias Idea, Michael Brzoskab, Jonathan F. Dongesc und Carl-Friedrich Schleussner vom 2. April 2020: … „we find that there is no deterministic or generic relationship between disasters and conflict. But in countries characterised by the political exclusion of ethnic groups, low levels of economic development and large populations, climate-related disasters significantly enhance the risk of conflict onset in the subsequent 7 day period. Contrary to the findings of other studies (Birkmann et al., 2010), this effect is largely independent of the severity of disasters“ (S. 7).

Europäische Soyaimporte sind besonders Klimaschädlich: Spatially-explicit footprints of agricultural commodities: Mapping carbon emissions embodied in Brazil’s soy exports von Neus Escobar et al. vom 6. Mai 2020: „Results show a large variability in the carbon intensity of Brazilian soy (as CO2-eq. per soy-eq.) due to differences in land use dynamics, farming conditions, and supply chain configurations up to the stage in which soybean and derivatives are delivered in the respective countries of import. …. European countries tend to import soy from Northern Brazil, which makes the EU the region with the largest CF (0.77 t t−1) in the world, e.g. 13.8% larger than that of China, the largest soy importer“ (S. 12).

Viele Assetmanager nehmen Klimawandel nicht ernst genug: Point of No Returns Part III – Climate Change An assessment of asset managers’ approaches to climate change von Krystyna Springer er al. Climate Action vom Juni 2020: „… insufficient progress from the industry’s most influential players. It finds that just over half of the assessed asset managers include climate change in their policies and only a small percentage make specific commitments relating to portfolio decarbonisation. … The assessment of portfolio climate alignment is also rarely used to inform investment and engagement strategies (S. 4). Still more alarmingly, direct and indirect political lobbying against climate policies by investee companies is far from being a priority concern for the majority of respondents and is seen as fully legitimate by some of the most influential asset managers in this analysis. On the positive side, a small number of leading investors are showing that bold action on climate change in the process of capital allocation, stewardship and target setting is both possible and invaluable to the process of building a more resilient strategy“ (S. 5). Auf den Seiten 31 bis 33 sind wieder gute und schlechte Anbieter genannt, z.B. Safra Sarasin, Allianz und DWS (Rang 17 bis 19), Pictet (22), Union (23), Swisscanto (29), UBS (33), Blackrock (47), Swiss Life (57), DEKA (59), MEAG (67), Credit Suisse (7“) von 75.

Egoismus statt Klimawandel? Institutional Investors and the behavioral barriers to taking action on climate change von Danyelle Guyat und Julian Poulter von Climat Insight und der Sehr viele Anti-Klimaschutz ausreden: Climate Works Foundation vom Oktober 2019: „The report … examines why leading climate investors are rapidly outpacing their peers despite having access to the same information. Cognitive and behavioral biases are preventing industrywide action by investors on climate change, according to a new report released today. Most prior analyses have focused on informational barriers such as uncertain policy, lack of data, and insufficient investment grade opportunities, as core reasons for the slow progress to shift capital to the low carbon economy – but new findings demonstrate that a range of behavioral biases, cultural barriers, and attitudes, are at the root cause of the problem. … The report … found short-termism to be an important factor driving behavioral biases to not take action on climate change. … C-suite level executives are more reluctant to address climate change – mainly because of career and reputational risks. … Most respondents do not think their peers are taking strong action on this issue so there is a lack of motivation to act. …Desire by asset owners to outsource leadership to service providers such as asset managers“.

Einige traditionelle Assetmanager haben die Risiken erkannt: The Trillion Dollar Energy Windfall von Kingsmill Bond von der Carbon Tracker Initiative und Carlo Funk von State Street Global Advisors vom Januar 2020: „Globally, we calculate society stands to reap a massive $1 trillion windfall from the energy transition, and potentially much more once all positive externalities are included. The shift towards renewable energy cannot come soon enough. Scientific data provides evidence of significant unprecedented warming of the climate system, impacting the severity of weather events and cascading to economic systems and global corporations. Based on current policies in place, we are on course for 3–3.4°C of warming above pre-industrial levels by the end of this century according to Climate Action Tracker, far above the 1.5°C recommended by the UN IPCC“ (S. 1).

Einige traditionelle Assetmanager haben die Chancen erkannt: COVID-19 and Energy in the New World von Kingsmill Bond von der Carbon Tracker Initiative und Carlo Funk von State Street Global Advisors vom Mai 2020: „The COVID-19 pandemic represents the most serious global public health challenge for over 100 years. When the crisis passes, we will have a unique opportunity to build a new world as the pandemic — and its widespread impact — has the potential to facilitate the transition from fossil fuels to renewables. The crisis is likely to bring forward peak demand for fossil fuels (first coal, then oil and then gas) and weaken the lobbying power of incumbents. It also creates space for policymakers to implement a fairer, more sustainable energy system and so enables the clean energy revolution to continue“ (S. 1).

ESG Ratings und Performance (ohne Impact Rating)

Falsche Schlüsse aus der richtigen Analyse? The Small and Mid Cap Conundrum von der Berenberg Bank vom Mai 2020: „In an analysis of three of the most prominent rating providers we found remaining gaps in the coverage of the equity universe. This is particularly applicable in the small to micro-cap universe. Further, we found inherent skews in the ratings towards large and more mature companies. Companies that are still small and are growing rapidly on average have lower ESG ratings. A lack of disclosure from the less mature companies explains in large measure theses biases and is also acknowledged by the companies we surveyed in this paper. … non-disclosure is not necessarily a reflection of poor ESG behaviour. … These case studies also demonstrate, that given the endless complexities and nuances involved in an ESG analysis, standardised and disclosure-reliant scoring frameworks will always struggle to replace the detailed analysis and engagement that we conduct. Understanding these complexities requires expertise, time and resources. This is why we believe ESG analysis has to be done in-house and by the portfolio managers that make the final investment decision“ (S. 16). Mein Kommentar: Die Analyse teile ich, die Schlussfolgerung aber nicht: Passive regelbasierte Portfolios, z.B. SRI ETFs aber auch meine Diversifikator Portfolios haben meines Wissens vergleichbare oder sogar bessere Rendite/Risikocharakteristika als aktive ESG Fonds. Zudem haben passive ESG-Strategien oft höhere ESG -Anforderungen als aktive.

Branchenspezifische Gewichtungen sind wichtig für ESG-Performance: ESG Ratings: How the Weighting Scheme Affected Performance von Zoltan Nagy et al von MSCI vom 29. Juni 2020: „We examined three approaches to creating a combined ESG score: equal weighting; optimization using historical data; and industry-specific weights, represented by MSCI ESG Ratings. In the short term, we found that both equal-weighted and optimized approaches performed better because they had higher exposures to Governance Key Issues. Over our 13-year study period, however, an industry-specific weighted approach that changed weightings over time showed the strongest financial performance.“

ESG Performance scheint auch in China relativ gut zu sein: The role of ESG Performance during times of financial crisis: Evidence from Covid-19 in China von David Broadstock et al. vom 15. Juni 2020: Die Autoren stellen positive ESG Effekte für den CSI300 fest.

Wir brauchen nicht noch mehr Reportingstandards: Follow-up paper: Interconnected standard setting for corporate reporting Feedback analysis von Acountancy Europe vom 15 Juni 2020: „The ultimate objective should be a system solution to deliver global NFI (Söhnholz: Non Financial Information) reporting standards connected to financial information. … Quickest progress could be made by building on the best of NFI frameworks and standards. The European Union has a leading role to play and should collaborate with different organisations to help catalyse a global solution. A significant achievement of this project is the exclusive statement (p. 14) from CDP, Climate Disclosure Standards Board, Global Reporting Initiative and Sustainability Accounting Standards Board, which confirms their commitment to working together towards a globally harmonised system.“

ESG Angebote ohne Impact Rating

Immer mehr und speziellere ESG Fondsangebote: ESG Funds Setting a Record Pace for Launches in 2020 von Jon Hale von Morningstar vom 24. Juni 2020: The new sustainable fund entries this year include seven allocation funds, three sustainable sector funds, three emerging-markets equity funds, two equity impact funds, and two bond funds.

Negative und positive ESG Indexkritik: Solactive right 2 degree-aligned Europe Index und Solactive VE imug Developed Markets ESG Quality Index von Ralf Breuer in seinem Blog am 7. Juli 2020.

Sind gute ESG Aktien zu teuer? ESG in the COVID-19 recovery: We identify markets where investors face the strongest prospects for adding attractive ESG stocks that also trade at lower relative valuations von Doug Morrow und Liam Zerter von Sustainalytics: „Applying unique ESG at a reasonable price (ESGarp) scores, we show where investors can find stocks with low levels of ESG risk that also trade at a relatively low price to earnings (P/E) ratio … Lower ESG risk companies in Sustainalytics’ comprehensive universe have an average P/E ratio of 19.0, compared to 18.1 for higher ESG risk firms.“ Mein Kommentar: P/E Rations können stark schwanken und sind nicht immer gute Aktienkaufindikatoren. Und ESG-Ratings sind anbieterabhängig. Außerdem wird nicht berücksichtigt, dass künftig weiter starke Zuflüsse von Anlegergeldern in ESG-Titel erwartet werden.

ESG Boni sind selten, intransparent und schlecht: The state of pay: executive remuneration & ESG metrics von Martin Vezér und Martin Wennerström von Sustainalytics vom 30. April 2020: „Only 9% of FTSE All World (AW) companies link executive pay to ESG criteria, most of which address occupational health and safety (OH&S) concerns. A sizeable portion of firms based in Australia (20%), Canada (16%) and France (10%) disclose pay-links that we regard as relatively transparent“ (S. 1). Mein  Kommentar: Ich bin sehr skeptisch, ob ESG Boni mehr bringen als mehr Geld für die Empfänger (vgl. https://prof-soehnholz.com/anti-nachhaltig-esg-boni-und-mehr/). Und ich finde es erschreckend, wenn so wenige Firmen eine vernünftige Transparenz bieten.

Impact Investments und Impact Rating

Über 150 Seiten Impacttipps, die beim Impact Rating helfen können: Impact Investing Handbook An Implementation Guide for Practitioners von Steven Godeke und Patrick Briaud von Rockefeller Philanthropy Advisors vom Juni 2020: „All Investments have impact—both positive and negative. …. We hope that this handbook provides you with the tools and strategy you need to help you become an engaged asset owner who can be accountable for your assets“ (178). …“Impact tools are actions, such as screening, shareholder engagement, ESG integration, thematic investment, catalytic concessionary capital, and setting a time horizon. …. Given the increasing range of impact products in the market, knowing your goals will help you select the appropriate impact tools and products“ (S. 179).

Viele gute Tipps für ein eigenes Impact Rating: Impact-Financial Integration: A Handbook for Investor von Impact Frontiers vom Juni 2020. Auszüge: „The Navigating Impact Project of the Global Impact Investing Network (GIIN) provides a consolidated survey of field and academic evidence about the outcomes and impacts of various investment strategies“ (S. 30). … „To identify possible indicators, review standardized indicators (i.e., indicators with commonly-agreed definitions), such as those from the GIIN’s IRIS+, the Global Reporting Initiative, and the Sustainability Accounting Standards Board as well as from industry associations specific to your organization’s sector and asset class. Complement standardized indicators with bespoke indicators as necessary“ (S. 32).

ESG und SDG/Impact sind eine attraktive Kombination: Sustainable Investment – Exploring the Linkage Between Alpha, ESG, and SDG’s von Madelyn Antoncic, Geert Bekaert, Richard Rothenberg und Miquel Noguer vom 11. Juni 2020: „Because companies with good ESG performance may enjoy a valuation premium, ESG investing has been thought to create a potential conflict for asset owners who have a fiduciary duty not to sacrifice long-term return opportunities. In this paper we dispel that view.  Ours is the first paper to investigate the SDG footprint of an active portfolio using algorithms and alternative data.  We show it is feasible for an asset owner to both uphold his/her fiduciary duty and have a positive impact on achieving the SDGs“ (S. 21). Mein Kommentar: ESG bzw. Impactinvestments müssen keine Outperformance generieren. Außerdem bin ich skeptisch in Bezug auf den genutzten aktiven ESG-Ansatz und bezüglich reiner „AI“ Anwendungen zur Impactmessung (vgl. https://prof-soehnholz.com/impactesg-innovatives-mischfondsprojekt-der-von-der-heydt-bank/).