Listed Alternatives, ESG, Impact und mehr neues Research


Wasserkatastrophe? How the oceans will impact on climate change over the next 25 years (#63) von Howard Dryden und Diane Duncan Clean vom 19. Mai 2021: “Carbon dioxide dissolves into the oceans, and marine plants turn it into food for microscopic plankton, fish and whales. When the plants and animals die, they sink to the abyss, and this represents 90% of the world’s carbon bank. Over the last 70 years we have lost more than 50% of all marine life due to pollution, and it has gone largely unnoticed because most of it is under 1 mm in size. The microscopic marine life is hugely important, but it has been decimated to such an extent that it can no longer keep pace with the carbon dioxide entering the seawater, and for this reason the oceans are becoming less alkaline. Less alkaline means more acidic, hence the reason why it is called Ocean Acidification or the evil twin of climate change because the consequences to humanity are far more catastrophic than climate change, and they are happening now. More than 50% of the remaining marine life is made from aragonite, a mineral form of calcium carbonate that will dissolve by the time the acidity drops to pH7.95, that is in 25 to 30 years. The survival of humanity depends upon the oceans and nature living below the surface, but it will simply dissolve over the next three decades, and the consequences will be catastrophic” (abstract).

Wasser- und Hygienedefizite: Progress on household drinking water, sanitation and hygiene 2000-2020: Five years into the SDGs von World Health Organization (WHO) and the United Nations Children’s Fund vom Juli 2021: “.. the world is not on track to achieve SDG targets 6.1 and 6.2. Achieving universal coverage by 2030 will require a quadrupling of current rates of progress in safely managed drinking water services, safely managed sanitation services, and basic hygiene services …. Least developed countries (LDCs) have the furthest to go and it will be especially challenging to accelerate progress in fragile contexts. Many more countries are facing challenges in extending services to rural areas and to poor and vulnerable populations who are most at risk of being left behind” (S. 7)

Sind Atomkraft und Gas grün? The EU Sustainable Finance Strategy: Repeating Past Mistakes von Reclaim vom 7. Juli 2021: “On July 6th, the EU Commission published its communication on the renewed sustainable finance strategy. The documents (1) – accompanied by a proposal for a European Green Bond Standard (2) – largely confirms the fears of climate advocates: a sustainable taxonomy scheduled to be expanded to polluting activities, an emphasis on the scaling up of allegedly “sustainable” activities instead of reducing support to polluting activities – including fossil  fuels -, a continued reluctance to opt for strong mandatory rules… However, the renewed strategy also leaves a small space for meaningful changes in financial regulation, notably regarding climate risk integration and the actions of financial supervisors”.

Klimawandel beeinflusst Währungen: Climate Change Vulnerability and Currency Returns (#42) von Alexander Cheema-Fox, George Serafeim und Hui (Stacie) Wang vom 22. Juni 2021: “We find that emerging economies have higher climate vulnerability than developed economies … more vulnerable countries experience greater economic losses and more human lives affected by natural disasters … we find past trend in climate vulnerability predicts currency returns” (conclusion).

Wertvolles Well-Being: Economic Resilience Is Built on Societal Well-Being: The Sustainable Economic Development Assessment von Christian Schwaerzler et al. von der Boston Consulting Group vom 8. Juni 2021: “… countries which improved their ability to convert wealth into well-being since the global financial crisis, saw a smaller drop in their real GDP growth rate in 2020, while countries that have experienced a deterioration in their ability to convert wealth into well-being saw a correspondingly larger drop (S. 5) … In terms of employment, we saw a similar effect (S. 6) … there is a correlation between a country’s digital inclusion performance … and how well it converts wealth into well-being” (S. 11/12).

Listed Alternatives: ESG Investments

ESG ist auch für Staatsanleihen wichtig: Measuring and Managing ESG Risks in Sovereign Bond Portfolios and Implications for Sovereign Debt Investing von Lionel Martellini und Lou-Salomé Vallée vom EDHEC-Risk Institute vom März 2021: “The main contribution of our analysis is that it demonstrates that several competing implementation choices exist with respect to how ESG constraints are incorporated into a sovereign bond portfolio construction context, and different choices have different impacts …. We find that for developed countries … a higher Environmental score is associated with a lower spread, while the impact of other dimensions is less pronounced. … for emerging countries … we find that a higher Social score is associated with a lower spread, while the impact of other dimensions is less pronounced” (S. 90). Mein Kommentar: Ich nutze keine Staatsanleihen für meine nachhaltigen Portfolios sondern stattdessen Anleihen von multilateralen Entwicklungsbanken.

Anleihen mit hohen CO2 Risiken: Is Carbon Risk Priced in the Cross-Section of Corporate Bond Returns? (#469) von Tinghua Duan, Frank Weikai und Li Quan Wen vom 4. Janur 2021: „we find that bonds issued by firms with higher carbon intensity earn significantly lower future returns. … Examining the sources of ”low carbon premium”, we find the underperformance of bonds issued by carbon-intensive firms cannot be fully explained by divestment from institutional investors. Instead, our evidence is most consistent with investors underreacting to carbon risk in the corporate bond market, as carbon intensity is predictive of lower future cash flow surprises, deteriorating firm creditworthiness, more environment incidents, and elevated crash risk” (S. 39).

Tausche Zinsen gegen Grünes: Green Debt Swaps – Firmly on the Agenda von John Willis, Filippo Grassi und Peter Elwin von Planet Tracker vom Juli 2021: “Debt swaps are the exchange of debt, in the form of a loan or, more typically, of securities other than shares, for a new debt contract, also known as a debt-for-debt swap. The debt can also be exchanged for equity which is known as a debt-for-equity swap. Debt swaps often call for writing down, or discounting, the value of the original debt instrument before the conversion to new debt-for-equity takes place. … An adaptation … are green debt swaps, debt-for-climate (DFC or D4C) and debt-for-nature (DFN or D4N) swaps. … Essentially, the cost of debt payments would be tied to quantifiable biodiversity and emission reduction targets. There is speculation that Pakistan may be the first sovereign to issue an NPB. In these instances, an indebted developing country undertakes, in exchange for cancellation of a portion of its foreign debt, to establish local currency funds to be used to finance an environmental, climate or nature programme” (S. 3). World Bank and the IMF are promoting green debt swaps … Similar debt-for-nature swaps have been tried before but it was hard work. Achieving widespread acceptance by the capital markets has been challenging. … a number of African countries should be the priority” (S. 1).

E, S und G separat analysieren: What is ESG? Depends on Whom You Ask von Alex Botte, Mike Nigro und David Cohen von Two Sigma vom Juli 2021: “ESG ratings vary a lot depending on the provider. … one can avoid much of the dispersion that results from weighting differences across providers by analyzing E, S, and G separately (instead of viewing them in aggregate)” (S. 4). Mein Kommentar: Ich halte sehr wenig von aggregierten ESG-Scores, weil so gute Governance ein schlechtes ökologisches oder soziales Profil kompensieren kann. Bisher findet man zumindest bei ETFs meines Wissens keine separate E, S und G Ratingnutzung und auch viele sogenannte aktive nachhaltige Fonds verwenden aggregierte ESG Ratings (vgl. auch ESG & SDG Q2: Einige der 15 nachhaltigen Portfolios mit besonders guter Performance – Verantwortungsvolle (ESG) Geldanlage (

Große Klimadatenselektionseffekte: Decarbonizing everything (#356) von Alexander Cheema-Fox, Bridget Realmuto LaPerla, George Serafeim, David Turkington und Hui (Stacie) Wang vom 11. Juni 2021: “… different climate metrics would lead an investor to form portfolios with significantly different return and risk profiles. Factors based on scope 3 data underperform those based on scope 1 and 2 data in most industries. However, the picture is different for analyst ratings, which are on average on par with, if not better than, factors based on scope 1 and 2 data. In general, we found that factors based on carbon data perform much better in industries where the variation in carbon outcomes across firms within the industry is greater. … we showed that a strategy that selects a different climate metric per industry and leverages the variation in carbon outcomes to weight industries leads to significantly better portfolio returns” (S. 15).

Listed Alternatives: ESG Investoren

Blackrock gegen grün? Hijacked: Exposing BlackRock’s Grip on the EU’s Climate Finance Plans von Olivier PetitJean und Lara Cuvelier von Reclaim Finance vom 30. Juni 2021: “The European Union’s Renewed Sustainable Finance Strategy, due to be published shortly after the time of writing, has been heavily influenced by the financial sector, and BlackRock is at the heart of this offensive. It has consistently pushed for softer, voluntary policies without clear definitions and binding requirements, that would jeopardise Europe’s current efforts towards a just transition. BlackRock and 23 national, European or international trade groups it belongs to … have had at least 92 meetings with the top level of the European Commission since the beginning of 2019 – including 24 on topics related to sustainable finance. They were associated with at least 22 consultations answers related to Sustainable Finance Regulation, including 8 on the upcoming Renewed Strategy. …  The report details BlackRock’s data-and-disclosure climate playbook and the rationale behind the type of regulation it lobbies against – including exploring its fossil fuel interests and its problematic definition of what is “green”” (S. 3).

EIB: Vom Klimanachzügler zum Vorreiter? The European Investment Bank’s ‘Quantum Leap’ to Become the World’s First International Climate Bank (#12) von Helen Kavvadia vom 4. Juni 2021: “In a combined act in November 2019, the EIB ‘meta‐ morphosed’ into a climate bank, while also announcing the launch of a new climate strategy and energy lending policy ending fossil fuel financing after 2021 and including targets and milestones. … the act has not been justified by the bank’s prior climate metrics, which at the time of the announcement were below those of some of the EIB’s peers, and represented only a quarter of its aggregate annual lending, compared to half of the annual activity showcased by some of the peers. … Having grown to be the world’s largest multilateral bank, a greener EIB agenda … can have important implications for the economy, climate, and governance in the EU and beyond” (S. 192).

Sofistizierte Schweizer Nachhaltigkeitskonzepte mit Überzeugungsdefiziten: Swiss Sustainable Investment Market Study 2021 von Swiss Sustainable Finance vom Juni 2021: “The category of impact investments still shows the highest growth rate of all SI approaches, at 70%” (S. 5). … “One clear pattern emerges in comparison to 2019: investment practices are becoming more sophisticated. Overall, 87% of the total SI volumes now apply combinations of two or more SI approaches, compared to 83% last year. The volumes combining five or more approaches increased from 9% to 14%. The volumes applying four approaches simultaneously now stands at 32%, up from 25% in 2019” (S. 7). … “In addition to the driving factors, the survey also examined potential barriers to SI growth. As already seen in the previous year, the lack of conviction of client advisors and the lack of standards are still expected to be the key barriers to SI growth” (S. 38). Mein Kommentar: Konsequente Nachhaltigkeitsansätze nutzen mehr als ein Nachhaltigkeitskriterium (vgl. PRISC – Policy for Responsible Investment Scoring: Die Taxonomiealternative von der DVFA – Verantwortungsvolle (ESG) Geldanlage ( Sehr vielen Fonds und Studien reicht aber schon ein Kriterium, um Nachhaltigkeit zu suggerieren.

Schweizer Retailbanken mit Nachhaltigkeitsdefiziten: Nachhaltigkeit im Schweizer Retailbanking – WWF Rating des Schweizer Retailbankings 2020/2021 vom Mai 2021: „Im Bereich der Anlage- und Vorsorgeprodukte wurde das Produktangebot seit dem letzten Rating ausgebaut, und es bieten mittlerweile alle Banken mindestens ein nachhaltiges Produkt, wobei zu bemerken ist, dass die Definition eines nachhaltigen Produkts keinem einheitlichen Standard folgt … Das Potenzial für innovative, digitale Lösungen zur Förderung von nachhaltigem Anlageverhalten, z.B. innerhalb des Onlinebankings, bleibt fast vollständig ungenutzt, und nur eine Bank konnte hier als «zeitgemäss» bewertet werden“ (S. 8).


Unvollständige Materialitätsperpektive: The reality of materiality – Insights from real-world applications of ESG materiality assessments vom World Business Council for Sustainable Development vom 28. Juni 2021: “From the business case perspective, a sustainability topic is material when it significantly influences the financial performance of the company. … In 246 (57.5%) materiality assessments, companies indicated that they used the business case perspective as one of the dimensions in the materiality assessment. From the societal impact perspective, a sustainability topic is material when it reflects a significant part of the company’s economic, environmental or social impact on society. … The societal impact perspective was specifically mentioned in 7.5% of materiality assessments” (S. 19/20). Mein Kommentar: Vgl. Absolute und Relative Impact Investing und Additionalität – Verantwortungsvolle (ESG) Geldanlage (

Impact mit Gesundheitsfonds: MSCI ESG Healthcare Funds and SDG 3 von Jurgita Balaisyte, Namita Nair undRumi Mahmood vom Juni 2021: “United Nations (UN) Sustainable Development Goal (SDGs) … 3 focuses on Good Health and Well-Being … However, not all healthcare-focused funds are impact funds that aim to deliver a measurable social impact alongside a financial return  … Only 47 healthcare funds globally exhibited greater than 50% alignment with SDG 3; these comprised just 0.51% of all healthcare funds … only five SDG 3-aligned funds explicitly stated the adoption of ESG criteria in investment policies. … The most favored companies among the SDG 3-aligned funds were U.S.-domiciled biotechnology companies. … Impact investors could consider additional criteria such as issuer-level SDG 3 alignment, performance on ATH (access to healthcare), and revenue derived from the treatment of major diseases” (S. 3). Mein Kommentar: Zur Nutzung von Healthcare- ETFs in Impactportfolios siehe  Drittes SDG ETF-Portfolio: Konform mit Art. 9 SFDR – Verantwortungsvolle (ESG) Geldanlage (

Impactfonds mit wenig Impact? The SFDR’s Articles 8 and 9: The Funds Behind the Labels von Michael Disabato und Katherine Nell Ng von MSCI vom 6. Juli 2021: “Financial market participants (FMPs) in the European Union (EU) are already addressing aspects of the EU’s Sustainable Finance Disclosure Regulation (SFDR) … Key aspects of the SFDR for investors and other market participants include the Article 8 and Article 9 classifications, which effectively set labels for funds that incorporate ESG considerations (Article 8) and impact-oriented funds (Article 9)” (S. 2). … The SFDR does not set minimum impact-related thresholds for Article 9 funds …”.

Günstige nachhaltige Fondsparpläne: Die besten Depots für nachhaltige Fondssparpläne von Jessica Schwarzer in der Wirtschaftswoche vom 06. Juli 2021: „Die FMH-Finanzberatung hat exklusiv für die WirtschaftsWoche die besten Depots für nachhaltige Fondssparpläne gekürt. … Am besten schnitt Smartbroker, eine Beteiligung von Wallstreet Online Capital, ab: keine Depotgebühren, keine Kaufgebühren für die Ausführung, Sparraten ab 25 Euro und alle 55 ESG-Fonds können kostenlos bespart werden. … ETFs wurden nicht berücksichtigt“.

Traditionelle Investments

Neue Studie zum Weltmarktportfolio: The Global Market Portfolio von Gregory Gadzinski, Markus Schuller und Andrea Vacchino vom Juni 2021 (nicht frei verfügbar): “investors still lack a global composite portfolio benchmark that includes a broad spectrum of assets with weights in line with a fair representation of the stock of capital for each asset class. Despite ample evidence of the substantial use of alternatives and real assets in institutional portfolios, the authors argue that existing academic and practitioner attempts are still unable to provide a satisfactory approximation of the “true” global market portfolio. The authors fill this gap and provide two benchmarks: one for retail investors constrained by liquidity needs and one for institutional investors who have access to illiquid assets” (abstract). Mein Kommentar: Interessanter Beitrag, aber er vernachlässigt mein seit Anfang 2016 bestehendes Weltmarktportfolio vgl. Warum sich das Weltmarktportfolio so gut entwickelt – Verantwortungsvolle (ESG) Geldanlage (

Pessimismuskosten: Wie die Untergangspropheten investieren von Gerd Kommer und Felix Grossmann von Gerd Kommer Invest vom 2. Juli 2021: „… diejenigen, die den vier Untergangspropheten – Marc Friedrich, Max Otte, Dirk Müller und Markus Krall – in den letzten Jahren gefolgt sind, schmerzhafte Opportunitätskosten erleiden mussten. Solche Opportunitätskosten sind das allgemeine Grundproblem von „Crash-Timing“ und von ultrapessimistischen Anlageansätzen, die letztlich dazu führen, dass Anleger jahrelang und damit zu lange an der Seitenlinie der Märkte stehen bleiben. Dieses Grundproblem macht die gvorgestellten Ansätze langfristig unattraktiv. Wir haben ferner gezeigt, dass die Anlageempfehlungen des Pessimistenquartetts „unkonventionell“ sind und vermutlich von vermögenden Privatanlegern, die mit diesen Weltsichten teilweise oder ganz übereinstimmen, nicht umgesetzt werden …. Drittens haben wir gezeigt, dass die Anlageempfehlungen über die vier Untergangspropheten hinweg in maßgeblichen Teilen voneinander abweichen oder sich sogar widersprechen, obwohl die Herleitung und Beschreibung der Ursachen des erwarteten Zusammenbruchs bei den Vieren weitgehend übereinstimmt“.

Qualität von Bankmanagern ist sehr wichtig: The Wolves of Wall Street? Managerial Attributes and Bank Risk (#791) von Jens Hagendorff, Anthony Saunders, Sascha Steffen und Francesco Vallascas vom 8. Juni 2021: “We find that chief executive officers and chief financial officers exert significant individual effects on bank risk. Manager transitions … lead to abnormally large changes in bank risk” (abstract). “However, the economic roots of how managers affect bank risk are highly idiosyncratic and, ultimately, difficult to explain for outsiders“ (S. 23).

Unlisted und Listed Alternatives

Infrastrukturrisiken: The Volatility of Unlisted Infrastructure Investments Valuation drivers and trends, 2000-2021 von EDHEC vom Mai 2021: “… measuring this risk is difficult because the only available data is often limited to quarterly appraisals that do not reflect the current state of market prices but are instead ‘stale’ i.e. backward-looking and lead to very ‘smooth’ returns, exhibiting highly unrealistic (low) levels of risk per unit of return. Appraisal-based indices typically report unrealistic total return volatility in the 2-3% range … Using our approach to mark unlisted infrastructure to market, we find … a level of total return volatility in the 7-12% range (S. 6). … Before 2008, the average market expected returns for unlisted infrastructure equity was in the low double-digits but decreased steadily after that to reach a trough of 6% towards the end of 2016” (S. 7).

Infrastruktur besser über Aktien? Institutional Investors and Infrastructure Investing (#584)von Aleksandar Andonov, Roman Kräussl und Joshua Rauh vom 15. Mai 2021: “… even though investors expect infrastructure to deliver long-term stable returns, we find that they gain exposure to infrastructure in large measure through finite-horizon private funds. The cash flows delivered by these infrastructure funds display similar volatility and cyclicality as the cash flows of other private equity investments, and their performance depends to a similar extent on quick deal exits. … Despite both weak performance and failure to match the supposed characteristics of infrastructure investments, infrastructure funds have increased their AUM from $59 billion in 2008 to $486 billion in 2019. … ESG preferences and regulation that either encourage or mandate ESG considerations explain 25-40% of the higher number of infrastructure investments made by public investors and around 30% of their underperformance. … The closed fund model seems appropriate for greenfield and brownfield projects that require close monitoring and rapid restructuring, but is less suitable for secondary projects that are operational and generating cash flows. Other investment structures, such as open-ended funds, listed funds, and direct deals, may be more suitable for long-term investment strategies in operational infrastructure assets, as our exit rates analysis suggests that the other investment approaches hold infrastructure deals longer and their business models may better match the expectations of institutional investors. If infrastructure assets are in fact more stable than other assets, these investment structures may be a more natural place to look for diversifying, long-term, a-cyclical, and inflation-hedged cash flows” (S. 48/49). Mein Kommentar: Vgl. Neues ESG-Portfolio aus weltweiten Kern-Infrastrukturaktien ist attraktiv – Verantwortungsvolle (ESG) Geldanlage (

Listed Real Estate ist attraktiv: Benefits of Open Architecture and Multi-Management in Real Estate Markets— Evidence from French Nonlisted Investment Trusts von Beatrice Guedj, Lionel Martellini und Schahyar Safae vom EDHEC-Risk Institute vom 28. Juni 2021: “Publicly registered non-listed real estate investment vehicles aim to strike a balance between liquidity (typically available in REITs) and decorrelation from traditional asset classes (typically observed in direct real estate investments) …. The regulated French investment vehicle known as Société Civile de Placement Immobilier (SCPI) has been operating with this ambitious goal in mind … Our study shows a large level of cross-sectional dispersion in the risk and return characteristics of SCPIs … We also observe that the choice of weighting scheme does not substantially affect the material risk-reduction benefits of portfolio diversification. As far as the equally-weighted (EW) approach is concerned, we find that 15 SCPIs are enough to capture over 90% of the diversification benefits, paving the way for a combination of value-adding selection and allocation decisions” (S. 84). Mein Kommentar: Vgl. Erstes konsequent verantwortungsvolles ESG-Portfolio aus Immobilienaktien – Verantwortungsvolle (ESG) Geldanlage (

Behavioral Finance und Fintech

Soziale sind einflussreicher als traditionelle Medien: Investor sentiment, media and stock returns: The advancement of social media (#179) von Ioanna Lachana und David Schröder vom 10. Mai 2021: “Our main finding is that social media data, i.e., articles and comments, are a better predictor of daily stock market returns than to the traditional media during the 2006-2020 period. Specifically, the effect of the sentiment index constructed from social media articles on the market is much stronger than the effect of the articles coming from the traditional media. Overall the effect of articles coming from traditional media is rather weak” (S. 28).

Wenig Nutzen von Finanzberatern? Use of Advisors and Retirement Plan Performance (#39) von Rui Yao, Weipeng Wu und Cody Mendenhall vom 13. Mai 2021: “American workers are increasingly responsible for their retirement savings. Because retirement plan participants’ portfolio allocation is constrained by the available funds in the plan, the construction of a plan’s investment menu has become extremely important. … in most cases, using advisors is not related to plan performance. Plan sponsors should require advisors to periodically evaluate the performance of plans under their management using objective measures” (abstract).

Unwissenschaftliche Robos? What Drives Robo-Advice? EDHEC-Risk Institute Working Paper von Sebastian Lehner und Bernd Scherer vom April 2021: “… scraping data from one of the largest robo-advisors in the US … allows us to find out how close robo-advice and normative, academic advice are. … Normative portfolio choice is very clear on how to construct optimal portfolios for individual investors: allocate between speculative demand (market portfolio, identical to all investors), cash and various hedging demands reflecting household balance sheets and exposures to systematic economic risks (different across individual investors). Our analyzed robo-advisor makes no attempt to either identify or manage these hedging demands. It instead relies on mapping the answers of a predefined questionnaire on a set of portfolios along a hypothetical efficient frontier. Investment goals and time horizon become the most influential drivers of recommended equity allocations” (S. 21).

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