Passive ESG Angebote: Das Umfeld

Bedingungsloses Grundeinkommen mit positiven Nebenwirkungen: Effects of a Universal Basic Income during the pandemic von Abhijit Banerjee, Michael Faye, Alan Krueger, Paul Niehaus und Tavneet Suri vom 2. September 2020: “The unprecedented COVID pandemic raises new questions about old approaches to social protection, and in particular about cash transfers. …. In this paper we have examined these issues, taking advantage of a pre-existing field experiment in rural Kenya designed to evaluate the impact of different cash transfer designs, including (S. 23) Universal Basic income (UBI). In terms of individual well-being, we find modest but positive impacts on measures of food security and physical and mental health, indicating that recipients still benefit from transfers in spite of the COVID crisis. Turning to public health externalities, transfers reduce hospital utilization (potentially increasing capacity for COVID patients), the incidence of illness, and some but not all measures of social distancing. With respect to resilience, transfer recipients saw greater losses of non-agricultural enterprise income during the shock, as previous gains they had made through the creation of new businesses were reversed, but smaller increases in hunger” (S. 24).

Erhebliche kurzfristige und Klimarisiken für das (US) Finanzsystem: Managing Climate Risk in the U.S. Financial system: Report of the Climate-Related Market Risk Subcommittee, Market Risk Advisory Committee of the U.S. Commodity Futures Trading Commission vom 9. September 2020: “Climate change poses a major risk to the stability of the U.S. financial system and to its ability to sustain the American economy. … Risks include disorderly price adjustments in various asset classes, with possible spillovers into different parts of the financial system, as well as potential disruption of the proper functioning of financial markets. … Climate risks may also exacerbate financial system vulnerabilities that have little to do with climate change, such as historically high levels of corporate leverage. This is particularly concerning in the short- and medium-term, as the COVID 19 pandemic is likely to leave behind stressed balance sheets, strained government budgets, and depleted household wealth, which, taken together, undermine the resilience of the financial system to future shocks” (S. i).

CO₂ ist nicht alles: Oatley-Petition für Kennzeichung von CO₂  Ausstoß -Das ist nicht einfach nur ein Haferthema von Astrid Ehrenhauser vom 15. September: „Bio verbraucht oft mehr CO₂ als die konventionelle Landwirtschaft“ mit Verweis auf ökologische Fußabdrücke von Lebensmitteln und Gerichten in Deutschland von Guido Reinhardt, Sven Gärtner und Tobias Wagner von 2020.

Klimatechnologieoffenheit ist sehr wichtig: Energy Technology Perspectives 2020 von der International Energy Agency vom September 2020: “Calls to reduce global greenhouse gas emissions are growing louder every year, but emissions remain at unsustainably high levels”. …. “This report analyses over 800 technology options to examine what would need to happen for the world to reach net-zero emissions by 2050” (S. 23). “Spreading the use of electricity into more parts of the economy is the single largest contributor to reaching net-zero emissions” (S. 24).

Hohe Risiken durch sinkende Biodiversität: Global Biodiversity Outlook 5 vom Secretariat of the Convention on Biological Diversity vom 18. August 2020: “Biodiversity is declining at an unprecedented rate, and the pressures driving this decline are intensifying. None of the Aichi Biodiversity Targets will be fully met, in turn threatening the achievement of the Sustainable Development Goals and undermining efforts to address climate change. ….bold, interdependent actions are needed across a number of fronts, each of which is necessary and none of which is sufficient on its own. This mix of actions includes greatly stepping up efforts to conserve and restore biodiversity, addressing climate change in ways that limit global temperature rise without imposing unintended additional pressures on biodiversity, and transforming the way in which we produce, consume and trade goods and services, most particularly food, that rely on and have an impact on biodiversity” (S. 7).

Hohe Pandemie Gewinne u.a von Bigtechs: Power, Profits and the Pandemic From corporate extraction for the few to an economy that works for all von Uwe Gneiting, Nicholas Lusiani und Irit Tamir von Oxfam vom 10. September 2020: “The pandemic has further exposed the vast gap between the few and the many. While workers, their families, and businesses – particularly small and medium enterprises – are struggling to survive, some large corporations have either managed to shield themselves from the economic fallout of the pandemic, or even cashed in on the disaster” (S. 4). Interessant u.a. “The Pantheon of Profit-Makers: Pre-pandemic vs. pandemic profits of most profitable corporations globally” (S. 21).

Passive ESG Angebote: Investments generell

Hilft Diversifikation auch künftig? Putting 2020 into Perspective: Diversification May Work Better than You Think von Rodney Sullivan vom 28. August 2020: “The evidence here suggests the oft repeated “all correlations go to one in a crisis” is an exaggeration. Instead, diversification remains as relevant to investors today as ever before. Furthermore, achieving a globally diversified portfolio is also never before easier.” Mein Kommentar: Rückblickend ist das richtig. Aber ohne real positive Anleiherenditen sind hohe Allokationen zu Anleihen statt „Cash“ rational nicht begründbar.

Small Caps sollten nicht vernachlässigt werden: Settling the Size Matter von David Blitz und Matthias Hanauer von Robeco vom 9. September 2020: “The size premium has failed to materialize in the forty years after its, but …. it is well known that factor premiums tend to be bigger among small-cap stocks than among large-cap stocks. We show that standard factor portfolios, which feature a disproportionately high weight for small-cap stocks, have large and highly significant alphas compared to factor portfolios without this feature. This means that size can add a lot of value by serving as a catalyst that helps to unlock the full potential of other factors, such as value and momentum. This interaction between size and other factors may already be a sufficient reason for long-only investors to systematically overweight small-cap stocks, regardless of whether the size characteristic itself is rewarded with a premium” (S. 9).

Schweizer Banken sind eher aktionärs- als kundenfreundlich: Warum füllen Banken Kundendepots mit eigenen Produkten? vom 11. September 2020 auf finews.ch: „Eine neue Studie des auf Finanzberatungen spezialisierte VZ Vermögenszentrums zum Anlegerverhalten zeigt auf, was die Banken unternehmen, um diese wegfallenden Erträge auszugleichen: Sie erhöhen den Anteil bankeigener Produkte in den Depots und die Gebühren. …Laut VZ sind die bankeigenen Fonds häufig nur Mittelklasse und liegen manchmal um Längen hinter den besten Produkten derselben Kategorie zurück.“

ETF-Anbieter sind auch eher aktionärs- als kundenfreundlich: The Smart Beta Mirage von Shiyang Huang, Yang Song und Hong Xiang vom 8. September 2020: “In the past decades, smart beta ETFs have experienced rapid growth, outpacing other segments of the booming ETF market. ETF sponsors advocate that smart beta indexes deliver excess returns through exposures to investment factors and often use academic research to endorse their smart beta products. … In this study, we compile a comprehensive sample of US-domiciled equity smart beta ETFs and systematically examine the performance of smart beta indexes before and after ETF listings. Our study shows that smart beta indexes can only outperform the aggregate market in backtests before ETF listings. Smart beta indexes quickly trail the broad cap (S. 26) weighted market index after the corresponding ETFs are listed. … we find strong supports for data overexploitation in index construction so that the stellar performance only exists in backtests and has no indicative power for “real” performance. Our results caution against the risk of data mining in the proliferation of ETF offerings because investors respond strongly to the stellar performance in backtests” (S. 27).

Kleinanleger sind schlechte Trader, aber institutionelle Anleger sind auch nicht viel besser: Taking Sides on Return Predictability von David McLean, Jeffrey Pontiff und Christopher Reilly vom 20. Juli 2020: “We study how 9 different market participants trade with respect to 130 different stock return anomalies and how each participant’s trades predict returns” (abstract). „In the broadest study of market participation to date, we study how the trades of retail investors, institutional investors, short sellers, and firms—relate to stock return anomalies and future stock returns. We find that firms and short sellers appear to be the smart money. … Retail investors do the worst.” (S. 26). “Institutions can be described as neutral, at best. … None of the six institutional types’ trades robustly predict returns” (S. 27).

Großinvestoren sind auch schlecht: The Granular Nature of Large Institutional Investors von Itzhak Ben-David, Francesco Franzoni, Rabih Moussawi und John Sedunov vom 8. Juli 2020: “We find that ownership by large institutions is associated with higher stock price volatility, autocorrelation in returns (a measure of price inefficiency), and a greater magnitude of price drops at times of market stress (a measure of price fragility). … the subentities within the same firm display correlated behavior. Hence, when these asset managers are hit by idiosyncratic shocks, diversification is not as strong as if the shocks hit managers in independent families. As a result, the trades of large institutions are more impactful for prices than the diversified trades of a collection of small institutions” (S. 28).

Passive ESG Angebote: Taxonomie, ESG Ratings und Voting

Hilfreich für grüne Portfolioprojekte: Testing the Taxonomy – Insights from the PRI Taxonomy Practitioners Group von den Principles for Responsible Investments vom 9. September 2020: The PRI received almost 40 case studies from asset owners and investment managers covering a range of asset classes. Participants, including EU-based and non-EU firms, made recommendations on how to approach Taxonomy implementation and on how policymakers may develop and improve the Taxonomy (S. 2).

TCFD wird wichtiger: How will ESG performance shape your future? Why investors are making ESG an imperative for COVID-19 and beyond Climate Change and Sustainability Services (CCaSS) Fifth global institutional investor survey von Ernst & Young vom Juli 2020: “Investors are also building their understanding of the ESG reporting universe, factoring in disclosures made as part of the Task Force on Climate related Financial Disclosures (TCFD) framework. In fact, this research found strong evidence that investors see the TCFD framework as a very valuable approach for wider nonfinancial disclosures, beyond climate-related information” (S. 4).

Eine Standard E, S und G Gewichtung ist gar nicht so schlecht: Combining E, S, and G Scores: An Exploration of Alternative Weighting Schemes von Linda-Eling Lee, Guido Giese und Zoltán Nagy von MSCI vom September 2020:  “Within our analysis of economic transmission channels, the top quintiles showed higher profitability and lower levels of idiosyncratic and stock-specific risk than the bottom quintiles for the majority of ESG pillar scores. Governance indicators showed the strongest significance at a pillar-score level. We tested how alternative approaches to combining these pillar scores might have related to companies’ financial characteristics and their long-term stock performance. We looked at both equal-weighting and backward optimization approaches. …. However, the optimized scores failed to produce better long-term stock-price performance in our study period. This finding illustrates one of the challenges of ESG-rating methodologies: The key risks that can drive financial results are not static but may change over time” (S. 8). Seltsam: Gemäß der „Optimierung“ spielt das ökologische Rating für Energie/Versorger fast keine Rolle mehr (s. Exhibit 4).

Gute Governance ist auch für Anleihen gut: The Impact of Stronger Shareholder Control on Bondholders von Sadra Amiri-Moghadam, Siamak Javadi und Mahdi Rastad vom 2. Februar 2020:  “We show that passage of a governance related proposal reduces default risk. On average, the adjusted CDS spreads decline by 12 to 25 bps in a two-day window around the voting date” (S. 43; CDS = Credit Default Swaps). “… increasing shareholder control benefits all stakeholders and thereby reduces the riskiness of debt and hence has a net positive effect on bondholders” (S. 45).

ESG Aktionärsvorschläge bringen bisher aber nur wenig: United States government Accountability Office: PUBLIC COMPANIES Disclosure of Environmental, Social, and Governance Factors and Options to Enhance Them vom 2. Juli 2020: “Our analysis of a generalizable sample of companies listed on the S&P 1500 found that in 2019, an estimated 10 percent of companies received one or more shareholder proposals and an estimated 5 percent of companies received one or more shareholder proposals related to increasing ESG disclosures. For the ESG-related proposals in our sample, on average about 28 percent of shareholders voted in favor of these proposals and no proposals received more than 50 percent of the vote” (S. 14). …”Similarly, studies and reports we reviewed indicated that shareholder proposals are concentrated among a relatively small number of shareholders and that the number of proposals has been declining in the last 5 years” (S. 16).

Bekannte und weniger bekannte Voting-Kritik: Buyer beware – Variation and Opacity in ESG and ESG Index Funds von Dana Brakman Reiser und Anne Tucker vom 4. September 2020: “Funds offered by large, generalist fund complexes were the only ones to consistently clash with ESG expectations. Vanguard’s FTSE Social Index fund posted perhaps the most surprising voting history, opposing every shareholder proposal recommending climate change reporting and against dozens of proposals on gender pay equity, employee diversity reports and policies, and political spending disclosure” (1958/59 und vgl. Tab. 4 auf S. 1962ff). …. ESG investment strategies are difficult to parse and nearly impossible to compare” (S. 2004). Mein Kommentar: Letzteres stimmt nicht, vgl. https://prof-soehnholz.com/prisc-policy-for-responsible-investment-scoring-die-taxonomiealternative-von-der-dvfa/.

SDG Reporting ist (noch) sehr lückenhaft: Assessing Company Alignment with UN SDGs von Olga Emelianova von MSCI Research vom 14. September 2020: “For example, earlier this year, we found that 283 (9%) of the companies in the MSCI ACWI Index had committed publicly to support an SDG but had been implicated in one or more recent serious controversies. Conversely, we found 860 companies (28%) offered products or services that align with at least one of the goals but did not publicly commit to any. …. SDG-related reporting is generally anecdotal ….“. Alternative: https://prof-soehnholz.com/absolute-und-relative-impact-investing-und-additionalitaet/

Dieses Mal stimme ich dem QNG-Chef nicht zu: Myths About the EU #3: The ESG-Score of a Fund Shows How Sustainable an Investment Is von Roland Kölsch (RK) vom 7. September 2020: Mein Kommentar: Nachdem ich den ersten beiden Mythos-Beiträgen weitestehend zustimmen konnte, ist das dieses Mal nicht der Fall. RK: “Each industry has its own sustainability risks and opportunities. And 70 points at Sanofi say nothing compared to 70 points at Adidas, although both are considered “best-in-class” in their sectors.” Meine Kritik Nr. 1: Best-in-Class in einer schlechten Branche ist wirklich nicht gut. Gute ESG Ratinganbieter gewichten aber E, S und G und deren Unterkriterien je nach Branche und t.w. sogar Land anders. Dadurch werden Ratings durchaus über Branchen und Länder hinweg vergleichbar. RK: “A best-progress approach, for example, focuses precisely on the rather poorly rated stocks, which, however, exhibit high momentum. An investor often achieves a higher impact with investments in “laggards” combined with specific engagement activities, for example, because it is precisely with such securities that even a small change already has a high impact”. Meine Kritik Nr. 2: Die ESG-Progress bzw. ESG-Momentum-Strategie ist bei der Projektfinanzierung ggf. interessant. Für liquide Investments ist sie aber nicht unbedingt nachhaltig, denn dabei werden systematisch ESG-schlechte Aktien gekauft, die wieder verkauft werden, wenn sie ESG-gut geworden sind, um von den Erlösen wieder ESG-schlechte Aktien zu kaufen. Unternehmen, die früh auf ESG Verbesserungen gesetzt haben, werden so tendenziell betraft. Hinweis: Roland Kölsch ist Geschäftsführer der Qualitätssicherungsgesellschaft Nachhaltiger Geldanlagen (QNG), die für das FNG-Label verantwortlich ist.

Passive ESG Angebote: ESG und SDG Investments

ESG wird wohl auch in den USA weiter stark wachsen: Advancing environmental, social, and governance investing A holistic approach for investment management firms von Sean Collins und Kristen Sullivan von Deloitte von 2020: “ESG-mandated assets in the United States could grow almost three times as fast as non-ESG mandated assets to comprise half of all professionally managed investments by 2025. An estimated 200 new funds in the United States with an ESG investment mandate are expected to launch over the next three years, more than doubling the activity from the previous three years. The use of artificial intelligence (AI) and alternative data is giving investment managers greater capabilities to uncover material ESG data and possibly achieve alpha. Investment management firms that act today to transition from siloed ESG product offerings toward enterprise-level implementation will likely capture a greater percentage of future ESG asset flows” (S. 2).

Kritik an ESG Staatsanleiheindizes: The unintended consequences of sovereign ESG benchmarks von Jeroen Verleun vom 17. September 2020: “Certain government bond indices use corporate reputational risk data …. Often, anti-corruption campaigns where legitimate court processes are followed create news articles and actually lower the ESG score. …. In the case of news scraping algorithms, large countries often have a range of irrelevant news articles in the data set, thereby increasing the average ESG score. … countries or corporates which supress news flow will generally have overstated ESG scores. …. ESG data is often backward looking and sometimes provided with a lag of up to two years …”.

ESG Europa-Mischfonds sind billiger und besser als traditionelle: Nachhaltige Mischfonds vor konventionellen Produkten von Absolut Research vom 2. September 2020: „Nachhaltig investierende Mischfonds mit Fokus auf Anleihen und die Region Europa erreichten in den vergangenen drei Jahren eine Überrendite gegenüber konventionell investierenden Produkten. Während die ESG-Fonds im Schnitt eine Rendite von 0,6 % p.a. erzielen konnten, war die Performance der konventionellen Fonds mit -0,1 % p.a. sogar negativ. Auch hinsichtlich Volatilität und Maximalverlusten entwickelten sich diese schwächer. Da die laufenden Kosten der ESG-Fonds durchschnittlich 20 Basispunkte geringer ausfallen, lässt sich ein Teil der Renditedifferenz durch Gebührenunterschiede erklären“.

Es gibt schon viele und günstige nachhaltige ETFs: Passive Sustainable Funds: The Global Landscape 2020. Choice expands as products and assets double in three years von Alex Bryan, Jackie Choy, Kenneth Lamont und Zunjar Sanzgiri von Morningstar vom 4. September 2020: “As of June 30, 2020, there were 534 sustainable index mutual funds and exchange-traded funds globally, with collective assets under management of $250 billion. Both the number of products and the money invested in them have more than doubled over the past three years. Europe remains the largest market for sustainable passive funds, accounting for more than three fourths of global assets. … While passive sustainable funds tend to charge higher fees than their plain-vanilla peers, in some markets, investors can now choose from an expanding range of sustainable fund options with little or no fee premium versus their conventional counterparts” (S. 1). Mein Kommentar: Interessant ist auch, was es noch nicht/kaum gibt, z.B. viele länder- und branchenspezifische oder thematische ESG ETFs.

Starkes Wachstum von ESG ETFs: Passive Sustainable Funds Maintain Their Momentum von Kenneth Lamont von Morningstar vom 2. September 2020: Over the last ten years “passive sustainable funds … attracted an estimated $36.1 billion in net inflows, $29.7 billion of which came from January 2019 through June 2020. Despite their considerable growth, passive sustainable funds only represent about 0.6% of the total assets invested in U.S.-domiciled index funds”. … “Since the beginning of 2016, 69 products in this area have been brought to market, which is more than the total number of such funds launched before 2016”.

Grüne Anleihen haben (noch) keine Emissionen reduziert: Green bonds and carbon emissions: exploring the case for a rating system at the firm level von Torsten Ehlers, Benoît Mojon und Frank Packer von der Bank für interntional Zahlungsausgleich vom 14. September 2020: “So far, however, green bond projects have not necessarily translated into comparatively low or falling carbon emissions at the firm level. We discuss the potential benefits of a firm-level rating based on carbon intensity (emissions relative to revenue) to complement existing project-based green labels. We argue that such a rating system could provide a useful signal to investors and encourage firms to reduce their carbon footprint” (S. 1).

Es gibt erst sehr wenige liquide SDG Produkte: Investing to Achieve the UN Sustainable Development Goals – A Report for the US Investor Community von Christopher Phalen vom 9. September 2020: Bisher gibt es auch in den USA offenbar nur sehr wenige SDG Fonds bzw. ETFs (vgl. S. 8/9), vgl. https://prof-soehnholz.com/impactesg-innovatives-mischfondsprojekt-der-von-der-heydt-bank/

Wealthtech und Advicetech

Blockchain mit Klimarisiken aber auch Klimachancen: Leveraging Blockchain Technology for Innovative Climate Finance under the Green Climate Fund von Karsten Schulz und Marian Feist vom April 2020: “Our findings show that distributed ledger-based systems could benefit the work of the fund in key areas such as multi-stakeholder coordination and impact assessment. However, our analysis also points to the concrete limitations of technology driven solutions. Digital technologies are not a standalone solution to persistent resource allocation and governance challenges in international climate finance, especially because the design and deployment of these digital systems is inherently political” (abstract).

Viele Chancen aber auch Risiken von Künstlicher Intelligenz im Asset Management: Artificial Intelligence in Asset Management von Söhnke Bartram, Jürgen Branke und Mershad Motahari vom CFA Institute vom 28. August 2020: „AI has vast applications for portfolio management, trading, and portfolio risk management that enable the industry to be more efficient and compliant. It also serves at the heart of new practices and activities, such as algorithmic trading and robo-advising. Nevertheless, AI is still far from replacing humans completely. Indeed, most of its operations within asset management are confined and controlled by some form of human supervision. Consequently, a better way to describe AI is as a collection of techniques that automate or facilitate (often small) parts of the practice of asset management” …. AI’s greatest strength—its ability to process data with minimal theoretical knowledge or supervision—can also be its greatest weakness. Indeed, a popular saying asserts that AI will always generate a result, even when one should not exist. This tendency causes problems when data quality is poor, when the task being performed is too complex for humans to monitor or understand, and when cascading systemic failures could occur as a result of several AI algorithms reacting to each other“ (S. 29). Mein Kommentar: Die meisten aufgeführten Anwendungsfälle und Techniken überzeugen mich nicht, einfacher bzw. datenärmer ist m.E. oft besser. Natural Language Processing für nicht-finanzielle (ESG) Daten sowie Marketinganwendungen finde ich aber sehr interessant.

Blackrock will Modellportfolioangebot ausbauen: Chiding [but not naming] Vanguard Group, Larry Fink answers whether BlackRock will compete directly with RIAs: ‚We are not a threat‘ von Brooke Southall und Oisin Breen vom 18. September 2020:  “Fink also signaled that BlackRock may move up the value chain on behalf of third-party advisors, reducing dependence on clearinghouses like Schwab and Fidelity by selling the newest twist in asset management — model portfolios. In this role, BlackRock doesn’t just sell the raw groceries in the form of ETFs or mutual funds, it sells TV dinners that advisors can warm up and add or subtract from — all delivered as data rather than products”. Vgl. https://prof-soehnholz.com/anlageberater-robo-advisors-oder-modellportfolios-wer-wird-gewinnen/

Robos für Reiche? Who actually uses robo advisors? New data reveals surprising answers von Ryan Neal vom 11. September 2020: “use of robo-advisors is highest among consumers with at least $500,000 in investable assets, according to a survey of more than 5,400 households by data and analytics firm Hearts & Wallets. Nearly half of consumers using an automated portfolio consider themselves either “experienced” or “very experienced” at investing, and 57% of these investors also use financial professionals”.

Robos für Alte? Luxembourg’s older investors turn to robo advisers – Covid puts pressure on financial services industry to accelerate its digital push vom 17. September 2020

In eigener Sache und Fiktion

ESG besser passiv: ESG – aktuelle Entwicklungen und Trends Interview von Marcel Reyers mit Dirk Söhnholz in Financial Planning 3/2020 S. 30/31 (kostenpflichtig bzw. noch nicht online): „… Anbieter aller Geldanlageprodukte (nutzen) viele Kriterien, um ihr Anlageuniversum zu begrenzen, zum Beispiel Region, Branche, Kapitalisierung, Momentum und Bewertung. Solche Kriterien schränken das Anlageuniversum meist viel stärker ein als ESG-Kriterien“…. „Bei passiven ESG-Angeboten haben ESG-Kriterien aber meist einen höheren Einfluss auf die Wertpapierselektion als bei vergleichbaren aktiven Fonds. Passive Angebote sind deshalb typischerweise nachhaltiger als vergleichbare aktive Angebote“. … „Selbst die größten Geldanleger konnten bisher nur bei relativ wenigen Unternehmen nennenswerte ESG-Veränderungen erreichen“. …. „Wenn man nur ein beschränktes Volumen von Geldanlagen hat, warum sollte man sein Geld dann schlechten Wertpapieremittenten geben, wenn es doch genug bessere gibt?“

Dieser Roman regt zum Nachdenken an: „Overdrawn“ ist ein im September 2019 erschienener Roman von NJ Crosskey. Das m.E. sehr gute Buch thematisiert Sterbehilfe u.a. wegen Klimawandel: „Henry Morris is watching his wife slip away from him. In an ageist society, where euthanasia is encouraged as a patriotic act, dementia is no longer tolerated. Kaitlyn, a young waitress, is desperate for the funds to keep her brother’s life support machine switched on. When a chance encounter brings the two together, they embark on an unconventional business arrangement that will force them to confront their prejudices, as well as their deepest, darkest secrets.”