Kryptothemen, Nachhaltigkeit und mehr neues Research


Nicht mehr Grün durch Grüne in Baden-Württemberg? Green Governments von Niklas Potrafke und Kaspar Wüthrich vom 3. Dezember 2020: “We do not find evidence that the Green government influenced macroeconomic outcomes such as GDP per employee and unemployment rates. … An interesting result of our study is that environmental and energy outcomes did not change as one would expect. The Green government did not influence CO2 emissions and particulate matter or increase energy usage from renewable energies overall. While we find a negative effect on brown coal and a positive effect on water energy usage, the share of wind power usage decreased relative to the estimated counterfactual. … The lack of political support across all levels of governments made it difficult for the Green state government in BW to implement more policies that reflect their platforms” (S. 34/35).

Zentralbanken (CB) sollten keine Regierungspolitik ersetzen: Climate Actions and Stranded Assets: The Role of Financial Regulation and Monetary Policy von Francesca Diluiso, Barbara Annicchiarico, Matthias Kalkuhl und Jan Christoph Minx vom 22. Juli 2020: “With an exponentially-increasing carbon price implemented according to an announced time schedule, agents are able to anticipate the effects of the mitigation plan and can smoothly distribute the transition costs. … A linearly-increasing carbon tax … results in substantially higher output losses, inflation and financial losses. The integration of climate-related risks into the financial regulatory framework leads to very different outcomes depending on the scheme implemented. … In response to a crisis originated in the fossil energy sector, green credit policy proves to be effective in mitigating the contraction of output and in reducing financial instability. This policy is also compatible with price stability objectives and can be implemented in compliance with CBs’ mandate. The rationale for this non-neutral unconventional monetary policy could be that of reducing ex ante the exposure of banks to carbon intensive assets and so to climate risk. However, the anticipation of non-neutral credit policy interventions may create risky imbalances in the financial exposure of intermediaries. … Despite the growing pressure on CBs to embrace sustainability actions, the fundamental responsibility for addressing climate change challenges and guide the transition lies with governments. Financial regulation can support carbon pricing policies but is insufficient per se to reallocate capital and could have unintended consequences if not well designed. To clearly evaluate the potential of green finance instruments, a better understanding of the exposure of the financial sector to fossil assets and a clear taxonomy distinguishing green from brown assets are required” (S. 24).

KI muss gezähmt werden (Buchtipp): Richard David Precht: Künstliche Intelligenz und der Sinn des Lebens, 2020 aus dem Wilhelm Goldman Verlag München (kostenpflichtig): „In der Medizin … ist ihr Einsatz in gleichem Maße (eingefügt: wie bei Produktionsunternehmen) zu begrüßen, wie die Sicherheit der persönlichen Date gewährleistet ist; angesichts des enormen Interesses des Silicon Valley an Medizindaten und der vielen Datenlecks der jüngeren Vergangenheit keine lapidare Aussage! Noch heikler wird es, wenn systemimmanent flächendeckend personalisierte Daten erfasst werden … “ (S. 234). „Streng geächtet und verboten gehören alle jene Anwendungen, wo künstliche Intelligenz über das Schicksal von Menschen entscheidet. …  Allgemein erhöhen Geschäfte mit personalisierten Daten nicht die Produktivität, sondern verlagern nur Umsätze und Gewinne von vielen Marktteilnehmern an sehr wenige …von einer Enteignung des Mittelstands zu reden ist zwar plakativ, aber nicht falsch “ (S. 235).  … sollten die KI-Systeme der Hightech-Oligarchen in Zukunft immer unkontrollierbarer werden – wofür vieles spricht -, wird sich die Frage nach einer Ordnungspolitik durch Regulierungen und Gesetze irgendwann erledigen“ (S. 237).

Gesichtserkennung im Auge des Betrachters: Facial Recognition and Human Rights: Investor Guidance von Benjamin Chekroun, Sophie Deleuze und Quentin Stevenart von Candriam vom März 2021: “The issues include lack of consent and lack of oversight. Incidents of misidentification, some resulting in false arrests, are on the rise, especially for non-white citizens. In May 2019, the US city of San Francisco – the birthplace of Facial Recognition – banned its use in law enforcement. Soon after, several large technology companies announced a one-year moratorium on sale of their Facial Recognition products” (S. 3).

Kryptothemen und Alternative Investments

Kryptothemen – Ist Mining (nur) für Politiker gut? When cryptomining comes to town: High electricity-use spillovers to the local economy von Matteo Benetton, Giovanni Compiani und Adair Morse vom 3. Februar 2021: “First, we focused on a setting—upstate New York—where cryptomining led to an increase in electricity prices. … We find that the magnitude of the welfare losses is large. We then turned to China, … we find a negative impact on the labor market as well as fixed asset investments. Finally, we investigated whether cryptomining benefits local economies via increased tax revenues. We find that this is indeed the case in both Upstate NY and China, … we find that the additional tax revenues are smaller than the cost imposed on households and small businesses through higher electricity prices” (S. 27).

Kryptothemen – Kryptoversicherungen könnten das Kryptomarktwachstum stark fördern: Insuring crypto: The birth of digital asset insurance von Adam Zuckerman vom 2. Februar 2021: “Institutional storage solutions have emerged that offer security-focused custody of digital assets that dramatically improve the security of assets. … Historically, however, no solution is one hundred percent bulletproof. … In the absence of perfect security, insurance is the only means of guaranteeing the value of the asset does not disappear overnight. …only an infinitesimal number of retailers accept payment in cryptocurrency. Lack of security is partially to blame” (S. 43/44). “I outline which insurers are providing digital asset insurance, how insurers are overcoming the challenges of underwriting this new insurance product, and which companies in the crypto ecosystem are obtaining coverage. I discuss several shortcomings in the new industry including the problems associated with the murky regulatory landscape, the lack of transparency for consumers, and the significant amount of bias around the crypto industry. I also propose ways in which digital asset insurance could be more efficient and effective including insurers creating industry standards and serving as a de facto regulator in digital asset storage” (abstract).

Initial Coin Offerings performen oft sehr schlecht: ICO Market Report 2019/2020 – Performance Analysis of 2019’s Initial Coin Offerings von Lars Haffke, und Mathias Fromberger vom 4. Februar 2021: “The UK, Singapore and Taiwan were central hubs for ICOs in 2019. In 2019, more than 3 Billion USD were collected via ICOs …88% of 2019‘s ICOs were based upon the Ethereum Blockchain. Most of the tokens that were issued in 2019’s ICOs were not traded on secondary markets (anymore). … By July 2020, 87% of tokens are in the red (compared to their ICO price) and only 13% were in the profit zone; more than 65% of tokens have lost substantially all their value. Shares issued via Initial Public IPOs during 2017 and 2018 performed better on secondary markets than tokens issued during this period” (S. 3).

Warum ICOs oft schlecht performen: The Role of Technology and Network Externalities in the Long-Term Performance of ICOs von Tatja Karkkainen vom 2. Februar 2021: “The findings suggest that entailing own proprietary blockchain has a large effect on the long-term success of an ICO compared to only to the amount of assets raised. … the cointegration to the existing platform or digital currency such as ether has a large negative effect on the ICO’s long-run success. … the higher amount of business connections by the team members do not translate to a positive effect on the long-term success of an ICO, but reverse” (S. 35).

Diversität ist gut für Hedgefondsanleger: Diverse Hedge Funds von Yan Lu, Narayan Naik und Melvyn Teo vom ersten April 2021: “… we show that hedge funds managed by diverse teams outpace those managed by homogeneous teams by between 5.25% to 5.80% per annum after adjusting for risk. … diverse teams outpace homogeneous teams by arbitraging a more heterogeneous set of the prominent stock anomalies, by leveraging on long-term capital to capitalize on long-horizon investment opportunities, and by avoiding behavioral biases such as the disposition effect, overconfidence, and the preference for lotteries. … diversity leads to more prudent risk management. … Diverse teams, by harnessing a wider range of investment opportunities are able to circumvent capacity constraints that afflict homogeneous teams” (S. 29/30).

Heterogene Listed Infrastructure: On the Economics of Listed Infrastructure Returns von Ivo Ravenhorst vom 18. Februar 2021: “In this study, we provide a framework of economic drivers of the returns of listed communication-, energy-, transportation- and utility infrastructure. Using five decades of U.S. data, we find … Investors seeking exposure to GDP should invest in transport, those investing in energy assets will be exposed to energy spot price volatility, while utilities investors are most exposed to interest rate risk” (abstract). Mein Kommentar: Vgl. Neues ESG-Portfolio aus weltweiten Kern-Infrastrukturaktien ist attraktiv – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Keine Kryptothemen: Traditionelle Investments

> 2000 Asset Management Seiten (überwiegend mit Formeln): Advanced Course in Asset Management von Thierry Roncalli von Amundi vom Januar 2021: The objective of this course is to understand the theoretical and practical aspects of asset management (S. 7). Vergleichbar auch Presentation Slides on Financial Risk Management (756 Seiten) vom gleichen Autor vom 6. Januar 2021. Mein Kommentar: Es geht auch anders. Meine BWL-Master Vorlesungen zu Asset Management und Fondsselektion bzw. Produktinnovation in institutionellen Asset Management haben nur etwa 200 Seiten und fast keine Formeln, dafür aber viel Daten und Modellkritik (vgl. auch hier)

Institutionelle Anleger machen sehr viel falsch: How to Improve Institutional Fund Performance von Richard M. Ennis vom 11. April 2021: “Large institutional investors in the U.S. are encumbered by an outdated, clumsy diversification framework that involves largely static allocations to asset-class silos, including ones for investments that are purely active in nature and, as classes of investment, may have long ago ceased to be fruitful sources of added-value via alpha or an exotic beta return. They use so many managers as to choke off the opportunity to beat the market. They incur annual costs of 1.0% to 2.0% of asset value annually. …. It is no wonder that public pension funds and large endowments have underperformed properly-constructed, passively-investable benchmarks by approximately 1.5% and 1.8% per year, respectively, in the modern era. … Trustees of these funds should put an end to the waste of precious resources and invest passively at next to no cost. … My term for the whole of institutional investing as we know it today is The Great Game. The Game has many types of participants. All of them — trustees, staff, consultants, investment managers and market-makers of all types — are agents of the stakeholders. The agents have incentives to maintain the status quo, to keep the The Game alive, as it were” (S. 8/9).

Amundi sieht das etwas anders: Allocating to real and alternative assets: a framework for institutional investors von Amundi Asset Management vom 6. April 2021: “Real and alternative assets represent a rising share of investors’ portfolios and this trend is probably set to continue in the low interest rate global environment that will prevail for a prolonged period. Their integration in an asset allocation framework raises a number of challenges and complexities particularly due to their limited liquidity and valuation frequency, as well as their strong degree of heterogeneity. Despite these, we have shown how applying and adapting our modelling framework to account for these assets could support asset allocation decisions.” (S. 25). Mein Kommentar: Man kann vieles prognostizieren und rechnen. Ich nutze lieber eine passive Weltmarktallokation, vgl. Das-Soehnholz-ESG-und-SDG-Portfoliobuch.pdf

Sind Rentiere schlauer (zum Schmunzeln)? Senators vs Santa’s Reindeer: 2020 Stock Picking Roundup von William Belmont, Maxwell Grozovsky, Bruce Sacerdote, Ranjan Sehgal und Ian Van Hoek vom 21. Dezember 2020: “The real story lies with Santa’s reindeer who demonstrate exceptional short run performance relative to the S&P. Reindeer skill is largely explained by their ability to choose winning industries and in this case to successfully execute the COVID trade. Reindeer likely benefit from a high level view which enables them to sniff out emerging trends and to leap ahead of the crowd” (S. 10).

Falsche Emmahypothese: Emerging-Markets Equities: A Promise Half-Fulfilled von Jon Rekenthaler von Morningstar vom 8. April 2021: “Ten years ago, many pundits foresaw a rebound in emerging-markets stocks, on the theory that they were worthy investments that had temporarily lost popularity. This “fashion argument” has failed the test of time. Such stocks have languished for good reason. Emerging-markets countries have treated their insiders much better than they have their outsider shareholders.”

Selbsterfüllende Tech-Prophezeiung? Tech Bubble 2.0 – How Price Driven Narratives and Return Chasing Behavior Have Created Unsustainably High Valuations for Late Stage Startups in Financial Markets von Kabir Mathur von Tor View Capital vom 8. Januar 2020: “The backward-looking outperformance generated by these securities has created a sense of safety and complacency on the part of public investors. Going forward we’re likely to see a continuing trend of VC-backed startups entering the public market (through IPOs as well as SPACs and direct listings) to capitalize on rich valuations ascribed to them by public investors. Though most VC investors agree that unicorn valuations are too high, public market investors have bought into the blitzscaling narrative and are taking the mania to new heights. How much longer this trend can continue is anyone’s guess …”

Keine Kryptothemen: Verantwortungsvolle Investments

Der Markt für grüne Anleihen ändert sich: Allocating to Green Bonds von Laurens Swinkels von Robeco vom 29. März 2021: “… the green bond market has grown spectacularly over the past decade. This rapid development has also meant that the composition of the green bond market has changed considerably since the end of 2010, which limits the use of historical return data for portfolio analysis. … Our results robustly indicate that investors should see the current green bond market as a combination of a global aggregate portfolio with additional tilts to Eurozone assets and corporate bonds” (S. 23).

Sind Klimarisiken noch nicht voll eingepreist? Market Myopia’s Climate Bubble von Madison Condon vom 9. Februar 2021: “A growing number of financial institutions, ranging from BlackRock to the Bank of England, have warned that markets may not be accurately incorporating climate change-related risks into asset prices. This Article seeks to explain how this mispricing can exist at the level of individual assets … Market actors: 1. Lack the fine-grained asset-level data they need in order to assess risk exposure; 2. Continue to rely on outdated means of assessing risk; 3. Have misaligned incentives resulting in climate-specific agency costs; 4. Have myopic biases exacerbated by climate change misinformation; and 5. Are impeded by captured regulators distorting the market. Further, trends in institutional share ownership reinforce apathy regarding assessment of firm-specific fundamentals, especially over long-term horizons. This underpricing of corporate climate risk contributes to the negative effects of climate change itself, as the mispricing of risk in the present leads to a misallocation of investment capital, hindering future adaptation and subsidizing future fossil combustion” (abstract).

Kontroversenkontroverse: Living in the past – Why are controversy scores so controversial? von Aviva Investors vom 8. April 2021: “Many investors use controversy scores as a filter to avoid firms whose damaging behaviour has hit the headlines, from human rights violations to environmental disasters. But these scores have serious limitations, making them an inadequate tool for investors who want to manage ESG risks and have a positive impact” (S. 1).

4% Artikel 9 Impactfonds: Die erste Übersicht zur Nachhaltigkeits-Transparenz von Fonds von Sara Silano von Morningstar vom 6. April 2021: „Basierend auf vorläufigen Daten zu 11.500 offene Fonds und ETFs mit Sitz in Luxemburg schätzen wir, dass die als Artikel 8 und 9 klassifizierten Fonds derzeit bis zu 21% der gesamten europäischen Fonds und bis zu 25% des gesamten europäischen Fondsvermögens ausmachen. Im Einzelnen wurden 18,0% als Artikel 8 und 3,6% als Artikel 9 klassifiziert.“

Nachhaltiger Regulierungsüberblick: Deloitte Sustainable Finance Navigator von Carsten Auel und Lisa Knob von Deloitte Frankfurt mit Links zu den relevanten Dokumenten.

Ein Jurist fordert erhebliche Änderungen: Resolving The Sustainable Finance Conundrum: Activist Policies And Financial Technology vom Emilios Avgouleas vom 10. März 2021: “Given the persistence of the discussed funding gap, a more radical approach is required vis-à-vis governments’ attitude towards investments that do not have a sustainability impact. Fiscal and regulatory policies that include levies, subsidies, and waivers are arguably the most drastic way to reposition capital resources and implicitly delegitimize brown investing. But we need a G-20 Accord to sanction such a shift in public policy to also avoid regulatory and fiscal arbitrage. … furthermore, … the utilization of cutting-edge financial technology can revolutionize the internal mechanics of investing within the financial sector and the way we measure and monitor sustainability impacts” (S. 22/23).

Fintechs und Behavioral Finance

Chancen und Risiken von Fintechs: The Rise of FinTech: Promises, Perils, and Challenges von Moran Ofir und Ido Sadeh vom 23. Februar 2021: “… shows how FinTech innovations transform a variety of financial activities—ranging from trading and financial advisory to capital raising and lending—and provides benefits in terms of market efficacy, improved financial services for consumers, and reduced transaction costs and barriers to entry. On the other hand, it shows that the features of the current FinTech ecosystem create new types of risks in terms of financial stability, market integrity, and consumer protection” (S. 21).

Entnahmestrategien funktionieren nicht immer und nicht überall: The Sustainability of (Global) Withdrawal Strategies von Javier Estrada vom 26. Februar 2021: “… this article offers retirees and financial planners two tools, the sustainability test and the sustainable withdrawal. … This article also provides an empirical perspective on both tools, using a comprehensive database of 22 countries over a 120-year sample period. For a base case consisting of a balanced 60-40 stock-bond portfolio and a 4% initial withdrawal rate, the evidence shows, on average across all the countries in the sample, a failure rate of 30.7% and an unsustainability rate of 51.5%. … these figures vary considerably across countries, as they do across initial withdrawal rates and asset allocations. The evidence also shows that the base-case strategy first becomes unsustainable on average 8 years into the retirement period, and that in 47.6% (19.2%) of those times the decrease in withdrawals that would restore sustainability is at least as large as 10% (20%). … The only way to detect departures from what was planned is to periodically monitor a financial plan using tools that provide an early signal of trouble down the road“ (S. 12).