Passiv ist gut für ESG: Viel neues Research zu ESG, Wealthtech und mehr

Passiv ist gut für den Verkauf von ESG Investments: Die Angebotsperspektive

Verantwortungsvolle Indexfonds verkaufen sich in den USA besonders gut: Despite the Downturn, U.S. Sustainable Funds Notch a Record Quarter for Flows von John Hale, Morningstar.com vom 9. April: “Sustainable funds in the U.S. attracted $21,4 billion in net flows in 2019, 4 times the previous calendar-year record.” …. “Despite the sudden descent of equities into a bear market halfway through the quarter, estimated net flows for the 314 open-end and exchange-traded sustainable funds available to U.S. investors reached $10.5 billion in the first quarter, easily eclipsing the previous quarterly record set in 2019’s fourth quarter.” …. ” close to 80% went to index funds”. Und in Bezug auf das Risiko-Renditeprofil: „Deutlich schlechter als die Benchmark schnitt lediglich das SRI-Konzept des MSCI Emerging Markets ab.“

Mehr als 3 Jahre nach dem Start des passiven Deutsche Aktien ESG Portfolios von Diversifikator: Lyxor listet ersten ESG-ETF für deutsche Aktien auf Xetra am 22. April auf institutional money.com: „Mit dem neuen Lyxor 1 DAX 50 ESG UCITS ETF bieten wir Anlegern erstmals die Möglichkeit, nach einem ESG-Auswahlverfahren auf einfache, transparente und kostengünstige Weise in einen deutschen Aktienindex zu investieren“, erklärt Arne Scheehl, Head of Product Development bei Lyxor ETF in Frankfurt.“ Mein Kommentar: Die Bestandteile des Index sind nicht sehr überzeugend. Meine Selektionskriterien sind wesentlich härter und trotzdem wurde seit der Auflage des Portfolios Ende 2016 eine attraktive Rendite bei einem akzeptablem Risiko erreicht (siehe auch https://prof-soehnholz.com/neues-passives-deutsche-aktien-esg-portfolio-fokus-auf-gute-unternehmensfuehrung/).

Selbst Großbanken sind noch nicht gut bei nachhaltigen Angeboten: Sustainable Investing Capabilities of Private Banks – Report #3: Assessment of 20 European Banks von Taeun Kwon und Volker Paetzold von der Universität Zürich aus 2019: “In general, we observe that the industry is moving at a fast pace. Compared to 2018, when very few banks had a dedicated discretionary mandate for clients interested in sustainable investing, by 2019 all but two of the participating banks had such a mandate” (S. 5). “Despite progress, SI is still not a strategic priority for top management, reflected in the low ratio of SI assets under management” (S. 12). “There is a big gap between what clients need and how banks are serving them” (S. 24). Über die Deutsche Bank: Limited impact investing offering (Offers green bonds, S. 45 (siehe auch https://prof-soehnholz.com/esg-kritiker-grosse-aktive-fondsanbieter-in-der-defensive/).

Dazu passend: Deutsche Banken sind keine guten Produktinnovatoren, siehe Aktuelle Innovationsstrategien gefährden Zukunft der Banken Kostensenkungen statt neue Geschäftsmodelle von Prof. Dr. Torben Schubert vom 27. April 2020 (s.a. Fraunhofer).

Auch BCG ist pro ESG: Asset Management in Germany—The Problem Goes Deeper Than the Crisis von Johannes Burkhardt et al. von der Boston Consuting Group vom April 2020:The real threat to the industry is not the crisis; it is underinvestment in true innovation” (S. 2). “A roadmap for COVID-response … Revisit firm mission and translate purpose in context of crisis; accelerate integrating ESG in core investment processes (S. 10).

Passiv ist gut für ESG Investments und Performance

Seit 2017 performen ESG Fonds gut: Quantifying ESG fund performance von Raina Oberoi und Guillermo Cano von MSCI Research vom 6. April 2020: “….the top 20 ESG funds … over the 10-year period ended December 2019 …outperformed the MSCI USA Index by 0.78% on an annualized basis. This return premium was especially pronounced since 2017.”

Auch Scope findet gute ESG-Performance: Krise verleiht Nachhaltigkeit Eindruck (kein Link) heißt der Beitrag aus der Frankfurter Allgemeinen Zeitung vom 22. April (S. 13). Dort steht in Bezug auf eine Analyse von Scope: „So schlugen nachhaltige globale Aktienfonds ihre nicht nachhaltige Alternative um 1,76 Prozent im ersten Quartal 2020. Zugleich wiesen die auf Nachhaltigkeit gemünzten Fonds eine niedrigere Volatilität auf“ (siehe auch https://prof-soehnholz.com/passive-allokationsportfolios-und-esg-relativ-gut-in-q1-2020/ und zu Aktienfonds  aktuell von Morningstar für die USA).

SRI ETFs sind am strengsten: Die Welt der Nachhaltigkeits-ETFs erklärt Jürgen Fritzen am 17.4. in einem guten Beitrag im Private Banking Magazin. „Inzwischen können Anleger aus einem Produktangebot von 174 Aktien- und 62 Anleihen-ETFs mit ESG-Ansatz wählen.” „Bemerkenswert ist, dass speziell nach den Kursabschlägen im März 2020 alle betrachteten ESG-Indizes mit einer Outperformance gegenüber dem MSCI World endeten.“…. „Die auffälligsten Veränderungen bei der Länderallokation sind, dass die USA bei allen ESG-ETFs an Gewicht verlieren und Deutschland sowie Australien, die Niederlande und Dänemark davon am meisten profitieren können.“ …„Energy verliert in jedem Index an Gewicht.“ (siehe auch https://prof-soehnholz.com/verantwortungsvolle-investments-im-vergleich-sri-etfs-sind-besser-als-esg-etfs/)

Strengere ESG Indizes sind besser: MSCI ESG Indexes during the coronavirus crisis von Zoltan Nagy und Guido Giese vom 22. April: “Although the current conditions have only existed for a few months, we observed a positive performance contribution from ESG across four select MSCI ESG indexes (representing tilt, optimization and best-in-class selection approaches) and across some regions during Q1 2020. These results were consistent with longer-term performance.” Mein Kommentar: Den Tabellen kann man entnehmen, dass die strengsten (SRI) Indizes YTD und auch auf 1, 3 und 5 Jahre die beste Performance hatten.

Ist der positive ESG-Tipping Punkt schon erreicht? The search for ESG alpha by means of machine learning – a methodological approach von Joachim Erhardt vom 6. Januar 2020. “Although ESG alpha appears inconclusive under current market conditions, it is proposed that market innovation and regulatory pressure will force a near term ‘ESG tipping point’ where the inherent benefits of ESG will enable superior market returns” (abstract).

Nachhaltige Anleihen liefern Outperformance: How Did Sustainable Fixed-Income Weather First Quarter? von Benjamin Joseph von Morningstar vom 24. April 2020:“In 2019, 52% of sustainable fixed-income funds outperformed their respective category median and only 11.5% of them landed in their category’s bottom quartile.” … “Not only did sustainable fixed-income strategies stay ahead during the sell-off, but they also beat their conventional counterparts even more decisively over the first part of the quarter.“

Dekarbonisierungsstrategien könnten sich für Anleger lohnen: Decarbonization Factors von Alex Cheema-Fox et al. vom 11. November 2019. “In the face of accelerating climate change, investors are making capital allocations seeking to decarbonize portfolios by reducing the carbon emissions of their holdings. To understand the performance of portfolio decarbonization strategies and investor behavior towards decarbonization we construct decarbonization factors that go long low carbon intensity sectors, industries, or firms and short high carbon intensity” (abstract). Mein Kommentar: Interessant, aber wenig praxisrelevant, weil die Messung von Dekarbonisierung und die effiziente Umsetzung von Shorting problematisch sind.

Die Beimischung von islamischen ETFs kann positiv sein: Diversification Benefits of Shari’ah Compliant Equity ETFs in Emerging Markets von Panagiotis Andrikopoulos und Samar Gad vom 23. Oktober 2018 (nur Abstract verfügbar). Mein Hinweis: Das Islamic ETF-Portfolio Diversifikator wurde schon 2016 gestartet.

Passive nachhaltige thematische Fonds können interessant sein: A Look at the Thematic Funds That Offer a Sustainable Focus von Morningstar vom 16. April 2020: “Water funds and alternative energy funds account for the lion’s share of sustainable thematic funds” …. “Other themes that make up a smaller portion of the thematic funds’ universe include clean tech, wind, rare resources, and energy transition.” …”Though thematic funds are often used with the hopes of boosting returns over the investment period, they can also help investors reduce portfolio risk—including ESG risk.“ Mein Kommentar: Seit Anfang 2020 bietet Diversifikator ein Portfolio aus 12 passiven sogenannten Impact-ETFs an.

Ich bin skeptisch in Bezug auf aktive thematische Fonds: Global Thematic Funds Landscape von Morningstar Manager Research vom Februar 2020: Zusammenfassend: Zunehmendes Angebot und Nachfrage vor allem in Europe aber schlechte Performance der überwiegend aktiv gemanagten Fonds (S. 1). „Investors in thematic funds are making a trifecta bet. They are betting that they are: 1. Picking a winning theme. 2. Selecting a fund that is well-placed to harness that theme. 3. Making their wager when valuations show that the market hasn’t already priced in the theme’s potential. The odds of winning these bets are low, but the payouts can be meaningful.”

Passiv ist gut für ESG Investments und die Umsetzung

„ESG-Incidents“ sind relativ unwichtig: Stock Price Overreaction to ESG Controversies von Bei Cui und Paul Docherty vom 17. März 2020.  When news about an ESG controversy is released, investors overweight the probability that this event will be repeated in the future and therefore overreact to the news. Consistent with this overreaction, we report that there is a negative announcement effect when news about ESG controversies is released, but these returns mean-revert over the subsequent 90 days.”

Engagement wird stark überschätzt: Asset Manager Reporting on Climate-Risk Engagements: “What It Tells Us About a Firm’s Approach to Stewardship – A survey of selected European and U.S. asset managers‘ climate-related engagement disclosures” von Jackie Cook von Morningstar vom 17. April 2020. “Engagement can be defined as a form of active ownership involving communications, in person or otherwise, between investor and company management to address ESG-related issues and influence how companies are run. Engagements are typically conducted in private and may extend over months or years and address multiple issues” (S. 1). Für 20 große Assetmanager hat Morningstar in Managerreports von 2016 bis 2020 nur ca. 70 klimarelevante Engagementfälle gefunden (eigene Analyse auf Basis der Tabellen auf den Seiten S. 17ff) und das, obwohl „some asset managers undertake engagements with a narrow focus on portfolio value” (S. 1). Hinzu kommt: “A notably weak area in engagement disclosure is reporting on how engagement progress is measured and disclosing quantitative summaries of outcomes. Only one asset manager, LGIM, reported engagement outcomes quantitatively” (S. 18; siehe auch https://prof-soehnholz.com/esg-kritik-ueber-20-falschaussagen/),

DWS kritisiert Inequality, aber tun die was dagegen? How Covid-19 could shape the ESG landscape for years to come von Michael Lewis und Murray Birt vom DWS Research institute: “The major financial winners since the GFC (Sö: Global Financial Crisis) ten years ago have been the super-rich helped by rapid asset price inflation such as in real estate and equities. We cannot afford this to be the outcome of this crisis. We expect addressing inequality will need to become an even greater priority for governments. Companies must play their role and not leave it for taxpayers to foot this bill yet again” (S. 1) … “We therefore see covid-19 entrenching the strategic importance of sustainable investments particularly focused on healthcare, education and financial inclusion” (S. 4).

Vielleicht lohnen sich die PRI doch für Anleger: Responsible Institutional Investing Around the World von Rajna Gibson et al., Swiss Finance Institute vom 24. März 2020 mit Fokus auf Investment Manager: “Our results show that institutional investors who join the PRI exhibit better portfolio-level ESG performance“ (S. 20). ….“When we analyze PRI signatory strategies, we however find evidence that negative screening, integration, and engagement lower portfolio risk” (S. 22).

Zum Vergleich: Am 28.3. hatte ich eine andere Studie wie folgt zitiert: PRI lohnt sich für Fondsanbieter, aber nicht für Anleger. Das sieht man in Assessing Active Managers‘ Commitment to ESG: Evidence from United Nations Principles for Responsible Investment, Arbeitspapier von Soohun Kim und Aaron S. Yoon vom 17. März 2020. „First, we find that signatory funds experience a large fund inflow …. Second, PRI funds on average do not exhibit improvements in fund-level ESG scores after signing, while they do show a decrease in portfolio return and alpha. Third, they vote less on environmental issues and their stock holdings experience increased environment related controversies. … Overall, we conclude that only select signatories make visible changes to ESG while most signatories experience a big increase in flows” (S. 23).

Mögliche Erklärung der unterschiedlichen Ergebnisse: Die erste Studie vergleicht PRI-Unterzeichner (Fondsanbieter und institutionelle Anleger) mit Nicht-Unterzeichnern, die zweite das Verhalten von Unterzeichnern im Laufe der Zeit.

ESG ist gut für Unternehmen, aber es droht Überregulierung

Bessere ESG Scores zahlen sich aus: ESG Corporate Social Responsibility and Market Efficiency: Evidence from ESG and Misvaluation Measures von Yannik Bofinger, Kim J. Heyden und Björn Rock vom 8. April 2020: “Our analysis reveals that ESG is indeed a relevant driver of firm valuation.” …. “An increase in the ESG score expands misvaluation for already overvalued firms (i.e. market inefficiency), but moves undervalued firms towards the true value (i.e. market efficiency)” (S. 28).

Ein gutes ESG-Rating kann bei schlechten News helfen: Good News, Bad News, No News: The Media and the Cross Section of Stock Returns von Hans-Jörg Naumer und Burcin Yurtoglu vom 19. Februar 2020: “We examine the effect of media tonality on the cross section of stock returns with a special emphasis on companies’ ESG attributes ….”….”We can show that a high ESG scoring or a high company size respectively have an insurance like effect for bad news (Shiu and Yang 2017), while stock returns amplify both for low ESG score and a low market capitalization in case of a positive tonality. Valuation seems to be a good protection against negative news but also intensifies the effect of positive news.” …. “This insurance like effect of ESG, valuation and size cannot be expanded to an investment strategy as portfolios constructed with the previous month MTI show a slight tendency of a trend reversal“ (S. 14).

Grüne Investoren sind gut für die Luft: Environmental Impact Investing von Tiziano De Angelis, Peter Tankov und Olivier David Zerbib vom April 3, 2020: “we show that the uncertainty about the environmental risks reduces the ability of green investors to discriminate between the most and least emitting companies, which encourages companies to increase their emissions compared to the case without uncertainty. …. We show that when the fraction of assets managed by green investors doubles, companies‘ carbon intensity drops by nearly 5% per year” (S. 33).

Irrer ESG Reporting-Overkill der EU: Joint ESA consultation on ESG disclosures: Die ESMA-Konsultierung, an der noch bis Ende August teilgenommen werden kann, verlangt ein sehr detailliertes ESG Reporting mit mehr als 30 Pflichtindikatoren (Principle Adverse Impact Statement, s. S. 53-63). Mein Kommentar: Die EU sollte lieber das sehr viel einfachere und trotzdem umfassende Policy for Responsible Investment Scoring der DVFA nutzen.

Passiv ist gut und relativ einfach

Aktienmarktverluste seit 1870 im Überblick: What Prior Market Crashes Can Teach Us About Navigating the Current One von Paul Kaplan von Morningstar vom 16. April. “Given what this data shows about the regularity of market declines, it’s clear that market risk is about more than volatility. Market risk also includes the possibility of depressed markets and extreme events. These events can be frightening in the short term, but this analysis shows that for investors who can stay in the market for the long run, equity markets still continue to provide rewards for taking these risks.”

Einfache Verlustmaße sind hilfreich: Drawdows von Otto van Hemert et al. von der MAN Group vom 23. April 2020: “The maximum drawdown statistic is rarely calculated,” (S. 1) …“a pre-set drawdown rule may prevent peak risk taking.” … “Total-return (or Sharpe-ratio) rules are best at measuring the constant ability of a manager to create positive returns. Drawdown-based rules, on the other hand, are better suited to deal with a situation where a manager abruptly loses their skill. In reality, the two are complementary“ …. “consider a time-varying drawdown rule. The probability of hitting a certain drawdown level naturally increases over time” (S. 15/16).

Warum liefern aktive Manager Underperformance, wenn es so einfach ist? Dispersion and Alpha Conversion -How Dispersion Creates the Opportunity to Express Skill von Michael Mauboussin und Dan Callahan von Morgan Stanley Investment Research vom 14. April 2020. „Dispersion is one way to measure the opportunity set, and there is solid research behind the idea that high dispersion presents the opportunity for skilled managers to generate excess returns” (S. 12).

Fees matter: Active Investing as a Negative Sum Game: A Critical Review von Geoffrey Warren vom 22. Januar 2020. Das Ergebnis der Literaturüberprüfung lautet: „Existing evidence suggests that retail investors who pay high fees and do not have access to manager selection skill might think twice before using actively managed funds. ….For institutional asset owners that have access to segregated mandates at a low fee, and feel confident in selecting managers, the chances of success from an active approach can be much higher” (S. 17). Mein Kommentar: Ich bezweifele, dass “much higher” “high enough” ist.

Einfach ist besser als aktiv 1: One Factor World  von Mikhail Samonov vom April 2020: “For the past decade, asset managers have been educating clients about factor investing as it became the new norm. And yet after all these years, portfolios are still composed of one factor: Equity Beta.” ….“ Q1 of 2020 really brought home the concept of the Equity Risk Factor. When Economic Growth came to a halt, alongside the expected equity market crash, almost every other type of investment declined sharply as well – from traditional diversified portfolios to risk parity, factor investing, most non-government fixed income and most commodities, private equity, real estate and the majority of hedge funds.” Mit Zahlen zum ersten Quartal und dem Fazit: “the simple U.S. 60/40 portfolio continues to crush the alternatives”. Mein Hinweis: Das globale 60/40 Portfolio hatte eine vergleichbare Rendite und die Multi-Asset Portfolios performen ähnlich.

Einfach ist besser als aktiv 2: Solutions to Four Investment Puzzles von Alex Bryan vom 10. April auf Morningstar.com. “Although they are better trained and better equipped than ever, most active stock fund managers have failed to beat their index peers. … Even simply weighting all stocks equally pays off.“ … “Simple rules are easier to test, more consistent, and less susceptible to biases that can hurt performance.”

Passiv ist gut: Viele aktive Strategien haben in der aktuellen Krise nicht funktioniert

Was in den USA gilt, könnte auch hier der Fall sein: Advisor Portfolio Models Underperformed When Markets Tanked von Berenice Napach vom 22. April 2020: “Conservative models lagged the furthest behind their benchmarks” … “The typical advisor was overweight credit risk and underweight rate risk — a bad combination in this environment,” according to the guide written by Brett Mossman, head of BlackRock Portfolio Solutions, and Patrick Nolan.” Mein Hinweis: Jährliches Rebalacing schneidet Blackrock zufolge besonders gut ab. Diversifikator nutzt ebenfalls jährliches Rebalancing.

Hohe Risiken von Quant Stategien: Three Quant Lessons from COVID-19 von Marcos López de Prado vom 27. März 2020: “It is common for academics and practitioners to run tens of thousands of historical backtests in order to identify a promising investment strategy. The best performing backtest is then reported as if a single trial had taken place, and selected for publication, or for launching a new fund. As a result of this selection bias, most published discoveries in finance are false. This fact explains why many funds have not performed as expected, including but not limited to the recent performance of quant funds during the COVID-19 crisis. It is trivial to produce a historical walk-forward backtest with a high Sharpe ratio, by trying thousands of alternative model specifications. Virtually no academic papers report the number of trials involved in a discovery” (S. 10). “Most strategies are backtested over decades (sometimes even centuries!) to imply that they work under all market regimes. And yet, the current zero-rate environment makes those backtests unrepresentative” (S. 14).

Auch diese Strategie funktioniert nicht (mehr): RP Crest: Die Volatilitätsrisikoprämie ist nicht mehr für AM geeignet! Auf institutional money.com am 22. April. “Van Randenborgh und sein Team beobachten seit gut zehn Jahren eine kontinuierliche Abflachung der Volatilitätsrisikoprämie (VRP). Dies liegt sicher in Teilen auch an dem niedrigen Zinsumfeld, als Hauptgrund vermuten wir jedoch die Effizienz der hoch technologisierten Market Maker von Optionen.”

Trendfolge kann funktionieren: You Can’t Always Trend When You Want von Abhilash Barbu el al von AQR vom September 2019. “Our results show that lower performance for trend following in the current decade is almost entirely explained by a lack of large risk-adjusted market moves (positive or negative). …. Looking ahead, this suggests that trendfollowing strategies should be able to deliver performance more in line with full sample results going forward if the size of market moves reverts to levels more consistent with the long-term historical distribution of returns” (S. 10). Siehe auch https://prof-soehnholz.com/risikomanagement-aktiv-ist-schlechter-als-passiv-robo-advice/

Time Series Momentum muss aber nicht funktionieren: Time series momentum: Is it there? von Dashan Huang et al. vom 10. Januar 2019: statistically, the evidence for TSM is weak in asset-by-asset time series regressions and a pooled regression accounting for size distortions. Economically, we show that the performance of the TSM strategy is likely driven by differences in mean returns, not predictability“ (S. 25).

Faktor Investing funktioniert nur, wenn man gut Prognostizieren kann: Factor Performance 2010-2019: A Lost Decade? Von David Blitz von Robeco vom 27. März 2020: “The factors in the widely used 5-factor model of Fama and French (2015) experienced a lost decade, with a negative return on average, and each individual factor falling well short of its long-term average return. As it turns out, this is not unprecedented in history, but in fact remarkably similar to the performance of these factors over the 1990-1999 decade. Expanding the analysis we find that many factors which are not endorsed by Fama-French did deliver a positive premium over the 2010-2019 decade” (S. 6). … “Our findings also question the classic ambition of the asset pricing literature to reduce the entire ‘factor zoo’, i.e. the hundreds of alleged factors, to just a handful of factors that should explain the entire cross-section of stock returns” (S. 7), siehe auch https://prof-soehnholz.com/faktor-etfs-gut-fuer-anbieter-schlecht-fuer-anleger-ein-plaedoyer-fuer-gleichgewichtete-benchmarks-und-faktordiversifikation/).

Spezial-ETFs sind nicht immer gut: The Performance of Exchange-Traded Funds von David Blitz und Milan Vidojevic von Robeco vom 23. September 2019: “We show that the performance of ETFs is not as impressive as one might expect it to be, as investors in these ETFs have collectively realized a performance that does not appear to be much different from the performance that can be expected from the conventional actively managed mutual funds” (S. 20). Wenn man nur die “Market ETFs” betrachtet, ist das anders. Die Faktor, Levereade etc. ETFs sind dagegen teilweise relativ schlecht (s. Exhibit 7 auf S. 12).

Auch diese Studie überzeugt mich nicht von den Vorteilen von Lebenszykluskonzepten: How sub-optimal are age-based life-cycle investment products? vonGaurav Khemka, Mogens Steffensen und Geoffrey J. Warren vom 29. Juli 2019: „ …there is only modest potential to improve product design by considering balance as well as age, and that most of the benefit might be captured through a clever consideration of age” (S. 20).

Passiv ist gut aber Robos und Wealthtech sind etwas für Profis

Der Nutzen der quantitativen Fondsanalyse von Morningstar ist sehr gering: Rating a Robo-Rater von David Nanigian vom 31. Dezember 2019. „…. all of the value of the Morningstar Quantitative Rating™ was solely attributable to its “robo-rater’s” assessment of expense ratios” (S. 9). “The Morningstar Analyst Rating™ is considerably more valuable than the Morningstar Quantitative Rating™ because the human analysts that assign the Morningstar Analyst Ratings are effectively using “soft information” in assigning ratings” (S. 10). Mein Kommentar: Ich vermute, dass der festgestellte Zusatznutzen der Analyst-Ratings stark sinkt, wenn man weitere Faktoren wie „Skin in the Game“  der Portfoliomanager berücksichtigt, also wie viel eigenes Geld in den Fonds investiert ist.

Automatisierte Stupser bringen denen mehr, die es weniger brauchen: Fintech Nudges: Overspending Messages and Personal Finance Management von Sung Lee vom 3. November 2019:  “when implemented properly, nudges can shape households’ behavior in the way the designer of the nudges intends. In addition, nudges can be easily implemented with the help of technology” (S. 32). “However, the use of nudges should be handled with care. When the nuisance of the nudges is negative, they could also result in unintended behavior; the participants may react to them by selectively paying less attention to their financial status from feeling guilty of overspending” (S. 32). “The effects of nudges are more pronounced for the users who are older, have higher liquid wealth, are more finance-savvy, are newly introduced to the app, or live in a city with high education levels.” (S. 31).

Robo-Advisors sind für erfahrene Anleger attaktiver als für Einsteiger: Acceptance of robo‐advisors: Effects of financial experience, affective reactions, and self‐enhancement motives von Christoph Hohenberger, Chaiwoo Lee und Joseph F. Coughlin vom 30. Juli 2019: “results showed that people with higher (vs. lower) self‐assessed financial experience exhibit lower (vs. higher) levels of anxiety and higher (vs. lower) levels of joy towards the thought of using a robo‐advisor” (Zusammenfassung).

Nutzer und Anbieter von Robo-Advisors können viel falsch machen: Human interaction with automated aids: Implications for robo‐advisors von Megan L. Bartlett und Jason S. McCarley vom 6. November 2019. “Robo‐advisors, a type of automated decision aid, offer consumers a cost‐efficient alternative to traditional financial advisory services. Because aids do not always produce correct judgments, however, users may fail to act appropriately on their advice. To anticipate and protect against suboptimal aid use, designers need to understand the variables that influence automation trust and dependence, including the operators‘ inherent biases, and the characteristics of the automated system itself. This paper reviews the literature on human interaction with decision aids, aiming to inform the design of robo‐advisory platforms” (abstract).

(Vanguards) Hybrid-Ansatz funktioniert gut: Who Benefits from Robo-advising? Evidence from Machine Learning von Alberto Rossi und Stephen Utkus vom 10. März 2020. “We study the effects of a large U.S. hybrid robo-advisor on the portfolios of previously self-directed investors. Across all investors, robo-advising reduces investors‘ holdings in money market mutual funds and increases bond holdings. It also reduces idiosyncratic risk by lowering the holdings of individual stocks and US active mutual funds and raising exposure to low-cost indexed mutual funds. It further eliminates home bias by significantly increasing international equity and fixed income diversification. Over our relatively short sample period, it increases investors‘ overall risk-adjusted performance. …. Investors who benefit from advice are those with little investment experience, those with prior high cash holdings, and those with high trading volume before adopting advice. Investors with little mutual fund holdings and clients invested in high-fee active mutual funds also display significant performance gains. … The evidence suggests that those investors who benefit more from advice are also more likely to sign up and less likely to quit the service” (S. 30). Hinweis: Mehr Thesen, Fragen und aktuelle Literatur zu Robo-Advisors siehe hier und auch https://prof-soehnholz.com/hybridmodelle-worauf-traditionelle-finanzdienstleister-bei-robo-advisors-achten-sollten/

ESG-Wealthtech ist noch nicht wirklich erfolgreich

Künstliche ESG Intelligenz gilt als wichtig, ist aber problematisch: Transforming Paradigms – A Global AI in Financial Services Survey vom World Economic Forum und der University of Cambridge vom Januar 2020:  „AI is widely adopted in the Investment Management sector, where it is becoming a fundamental driver for revenue generation.” … “Findings from the survey show that 59% of all surveyed investment managers are currently using AI in their investment process” (S. 99). “Judging from respondents’ perceptions on the current contribution of AI to investment returns, AI-enabled impact assessment and sustainable investing appears to possess the highest correlation with high AI-induced returns”. (S. 100). “…however, real-world adoption may still be thwarted by data-related issues and a lack of algorithmic explainability” (S. 101). Mein Kommentar: Ich habe noch nirgendwo verlässlich gesehen, dass maschinelles Lernen (ML) bessere Renditen oder niedrigere Risiken bringt. Aber die Transparenz sinkt bei einem ML/KI Einsatz. Das bedeutet, dass Anlegerrisiken steigen.

Zwei nachhaltige B2C US Robos geben auf: Open Invest hat sein Geschäftsmodell im November 2019 geändert, wie man an den Selbstbeschreibungen am Ende der Pressemitteilungen von Oktober und November und dem Inhalt der Mitteilungen ab November sehen kann. Danach verfolgt der Nachhaltigkeits-Robo-Advisor jetzt vor allem ein B2B-Modell. Und Digitization in the brokerage business is shrewd – Motif investing is closing schreibt Efi Pylarinou am 21. April auf Daily Fintech: “MOTIF Investing, one of the earliest innovators in the digital investing space in the US, is shutting down. ….Motif portfolios will be moved over to Folio Investing that has been competing with Motif.” …”The brokerage business is in danger to stop innovating, simply because commissions have gone to zero and the Schwab`s of the world have caught up with fractional ownership offerings, direct indexing, low cost financial advice and more.” Mein Hinweis: Etwas Hintergrund dazu siehe hier. Zu Angeboten in Deutschland siehe https://prof-soehnholz.com/robo-esg-verantwortungsvolle-online-investments-im-vergleich/

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