Profit second: Umfeld
Aufregende Zahlen: The Stunning Statistics of sustainable investing von Robeco vom 24. Februar 2021: “CO2 is at highest level for three million years (S. 5), … Sea levels will rise by over a meter before 2100 unless climate change is tackled (S. 7), … Internet use will generate 1.5 gigatons of gases by 2020 …. ever second that someone browses a simple website adds 20 milligrams of C02 to the atmosphere. More complex websites with advanced graphics can add up to 300 milligrams per second (S. 9), … a drone that can carpet bomb 100,000 tree seeds a day may solve the issue of deforestation in remote areas (S. 23), … Malaria caused by mosquito bites killed 720,000 people in 2016, ranking far above terrorism (34,000) or conflicts (116,000) (S. 33), … Japan’s population is projected to fall from a peak of 128 million in 2017 to less than 53 million by the end of the century. Italy is expected to see its population fall from 61 million to 28 million over the same timeframe (S. 35), … bitcoin use that it now accounts for 0.23% of global energy consumption and 24.4 million tons of CO2, equivalent to what four million petrol engine cars produce in a year (S. 42), … because humans are now producing about 30 billion tons of new objects each year, or 4 tons for every person on Earth, the research shows. This means humans now generate their own bodyweight in stuff every week. On the current trajectory, the mass of human production will have tripled to 3 teratons by 2040” (S. 46).
Profit first: Traditionelle Investments
Machine Learning für Aktienprognosen: The promises and pitfalls of machine learning for predicting stock returns von Edward Leung, Harald Lohre, David Mischlich, Yifei Shea und Maximilian Stroh von Inveco und Quoniam vom 26. Oktober 2020: “Our analyses confirm that machine learning models are superior to traditional linear models in predicting cross-sectional one-month-ahead stock returns using a set of well-documented stock characteristics. However, the extent to which this statistical advantage can be translated into economic gains in portfolio backtests depends critically on the ability to take risk and implement trades efficiently” (S. 17). Mein Kommentar: Vgl. Investmentphilosophie: Prognosefans sollten prognosefreie Portfolios nutzen – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
Prognosen sich schwierig: Antinoise von Enoch Cheng und Clemens Struck vom 12. Februar 2021: “Numerous empirical observations in financial markets may reflect behavioral biases and/or risk-factors. Despite the high number of such observations, overall return predictability remains rather low. Why? … the actions of heterogeneous traders trading on uncorrelated subsets of market signals may cancel out at the aggregate. We collect a comprehensive global dataset covering over 24,000 tradable equities and representing more than 99.9% of the free-float market cap on developed exchanges between 1994.05 and 2020.08. Using advanced regression techniques, we find that return predictability is less than 1%. Focusing on signal interactions, we find that i) generally weak cross-signal correlations suppresses overall return predictability ii) sub-samples with greater predictability are characterized by higher cross-signal correlations” (S. 8/9).
Theoretisch unerwartete Preiseffekte von Indexinvestments: Tracking Biased Weights: Asset Pricing Implications of Value-Weighted Indexing von Hao Jiang und Dimitri Vayanos vom 23. Dezember 2020: “We .. find empirically that flows into funds tracking the S&P500 index raise disproportionately the prices of large-capitalization stocks in the index relative to the prices of the index’s small stocks. Moreover, the flows predict a high future return of the small-minus-large index portfolio. We find additionally a strong “within S&P500” size effect: a small-minus-large portfolio of S&P500 stocks earns ten percent per year, while the return of the counterpart portfolio of non-S&P500 stocks is smaller and statistically insignificant” (S. 28). “This finding runs counter to the CAPM, and arises when noise traders distort prices, biasing index weights” (abstract).
Bond ETFs sind nicht schlecht: The anatomy of bond ETF arbitrage von Karamfil Todorov von der Bank für International Settlement vom 1. März 2021: “Bond exchange-traded funds (ETFs) have grown to manage more than $1.2 trillion of assets globally. The arbitrage mechanism, which keeps bond ETF prices aligned with the value of the underlying investments, operates differently from that of equity ETFs. This difference potentially makes it harder for investors to exploit price gaps but allows bond ETFs to absorb shocks and withstand market stress” (S. 41).
Profit second: Voting und Engagement
Indexfondsanbieter können noch viel besser Voten/Engagen: Do Index Funds Monitor? Von Davidson Heath, Daniele Macciocchi, Roni Michaely und Matthew Ringgenberg vom 3. März 2021: “… using data that covers the dramatic increase in index investing from 2004 to 2018, we examine the monitoring behavior of index funds relative to active funds. …. The results uniformly indicate that, relative to active funds, index funds monitor less effectively and cede power to firm management. …. we find that relative to active funds, index funds are significantly more likely to side with firm management on contentious corporate governance votes. Low-fee index funds are even more likely to vote with firm management …. We find no evidence that index funds effectively engage with firm management either publicly or privately. As a result, we find that corporate governance worsens following an increase in index fund holdings. In sum, our findings all point to the same conclusion: the rise of index investing shifts power from investors to corporate managers” (S. 39/40). Mein Kommentar: Vgl. Divestmentkritik: Populäre aber falsche Kritik an verantwortungsvollen Geldanlagen – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
Greenpeace et al wirken positiv: The Real Effects of Environmental Activist Investing von Lakshmi Naaraayanan, Kunal Sachdeva und Varun Sharma vom 21. September 2020: “This paper documents that environmental activist investing positively affects the sustainability performance of targeted firms. We measure changes in highly detailed plant-level data and provide robust evidence that firms improve their environmental performance in response to activist campaigns. These engagements result in positive externalities to the local economies of targeted plants” (S. 32).
Sollten CEOs sich mehr auf ihre Firmen konzentrieren? Corporate social responsibility beyond the corporate: A mental accounting perspective on executive decision-making across corporate and non-profit domains von Razvan Lungeanu und Klaus Weber vom 4. März 2021: “Evidence comes from a panel of 677 corporations linked to 309 foundations through 1,109 CEOs during the period 2003-2011. CEOs compensated for deficits in their firms’ CSR record by joining the board of trustees of specific nonprofit foundations, but subsequently advanced divergent cause priorities in the corporation and the foundation. Our work suggests that studies of CSR and of executive influence on organizations benefit from taking into account executives’ cross-domain engagement“ (abstract).
Profit first: Alternative Investments
SPACs mit Macken: SPACs von Minmo Gahng, Jay Ritter und Donghang Zhang vom 2. März 2021: “… for 114 SPAC IPOs purchased at the offer price from January 2010 – May 2018, the average annualized return during this SPAC period has been 9.3%, with all 114 returns being positive. …. For the 114 SPACs that completed a merger with an operating company from January 2012 − September 2020, common share investors have lost money on average, while warrant investors have earned positive returns. …. From a private operating company’s point of view, we show that merging with a SPAC is almost three times more expensive than a traditional IPO … The 248 SPACs that went public in 2020, combined with the flood of SPAC IPOs in early 2021, raise the possibility that too many SPACs are chasing deals, increasing the valuations that operating companies are able to negotiate” (S. 34-36).
Minibonds mit maxi Effekten: Bank Credit and Market-based Finance for Corporations: The Effects of Minibond Issuances von Steven Ongena, Sara Pinoli, Paola Rossi Bank und Alessandro Scopelliti vom 9. November 2020: “We exploit the introduction of a recent regulatory reform in Italy aimed at removing the existing restrictions on the issuance of corporate bonds by unlisted firms. … Even though minibonds were more costly than bank credit, the analysis shows that issuer firms obtained lower lending rates charged by banks, particularly on long-term loans and advances. ….They reduced significantly the amount of bank credit used while increasing the overall amount of financial debt ….Thanks to the issuance of minibonds, the total amount of financial debt taken by issuer firms increased by around 40 percent. Importantly, the large increase in total financial debt was achieved by issuer firms without observing any significant change in their overall financing costs … we find that issuer firms increase their amount of total assets and of fixed assets, particularly intangible fixed assets, signaling that they invested more in patents, copyrights, trademarks. Moreover, although the leverage of issuer firms raises, their share of bank debt out of total financial debt decreases” (S. 33/34).
Hedgefonds sind vor allem teuer und gut für die Anbieter: Ray Dalios Hedge Fonds – der Lack ist ab von Gerd Kommer Invest vom 5. März 2021: „Der Bridgewater-Fonds hat das ETF-Portfolio in den letzten fünf Jahren drastisch und in denfünf Jahren davor leicht unter-performt … Noch enttäuschender ist der Rendite-Track Record des gesamten Hedge Fonds-Sektors gegenüber der simplen ETF-Alternative. Zwar lag der HFRX Hedge Fonds-Index in den ersten drei Jahrfünften ab 1991 vorne, aber seit Anfang 2004 war seine Performance relativ zur IndexfondsAlternative so konsistent erbärmlich, dass Hedge Fonds die ETF-Alternative mittlerweile kumulativ über die letzten 30 Jahre unter-performen“.
Krypto Metastudie: Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis von Aurelio Bariviera, Ignasi Merediz vom 18. Januar 2021: “This study makes a bibliometric and literature review of the most important economic topics studied on cryptocurrencies. … We expanded previous literature, adding a comprehensive review of 98 papers, classifying them into different research topics, and identifying top papers and journals“ (S. 11/12).
Profit second: ESG Investments
„Profit first“ ist tot: Stakeholder und Shareholder – Warum Milton Friedman falsch lag von Gunnar Friede, Murray Birt und Michael Lewis von der DWS vom November 2020: „Am 13. September 1970 veröffentlichte das New York Times Magazine einen Artikel von Milton Friedman, der zu dem Schluss kam, dass „die soziale Verantwortung der Unternehmen darin besteht, ihre Gewinne zu steigern“. …. Nach fünfzig Jahren wissenschaftlicher Forschung, Investitions- und Geschäftserfahrung kommen wir zu dem Schluss, dass Friedman falsch lag“ (S. 1).
Sind Impactinvestoren Egoisten? Do Investors Care About Impact? Von Florian Heeb, Julian Kölbel, Falko Paetzold und Stefan Zeisberger vom 27. Februar 2021: “We demonstrate evidence that investors’ willingness-to-pay for sustainable investments is largely independent of the real-world impact of such investments. …. we suggest that pro-social investors are best understood as warm-glow optimizers who prefer investments that feel good rather than being consequentialists who optimize their real-world impact” (S. 33). Mein Kommentar: Vgl. Absolute und Relative Impact Investing und Additionalität – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
Gute Impact Private Equity und Debt Performance: Pursuing faith-based impact investing: Insights on financial performance vom Global Impact Investing Network vom 23. Februar 2021: “risk-adjusted, market-rate returns can be achieved through impact investments and impact investors report overwhelming satisfaction with financial performance relative to expectations” (S. 9).
Keine ESG Überbewertung? Foundations of Climate Investing – How Equity Markets Have Priced Climate Transition Risks von Guido Giese, Zoltán Nagy und Bruno Rauis von MSCI ESG Research vom 1. März 2021: “… in developed markets outside the U.S., more carbon-efficient companies experienced stronger stock-price performance over a seven-year study period. In contrast, in emerging markets, less carbon-efficient companies fared better across the study period …. We also found companies’ green revenue share was clearly associated with higher earnings growth and higher relatively better stock performance within a given sector. … Carbon-intensive companies experienced greater declining valuations in terms of price-to-book ratios than did their less-carbon-intensive sector peers …. In contrast, companies with significant green revenue saw their price-to-earnings ratios increase relative to their sector peers. Companies’ earnings growth and stock performance were directly related to their greenhouse gas (GHG) emissions. … we found that the riskiest category (stranded assets) had the weakest performance …. While most performance differences were explained by the industry factor, there was a significant stock-specific return that showed a strong correlation to companies’ climate transition risk profile” (S. 3).
CSR Überzeugungen sind investmentrelevant: German and US Investment Professionals’ Use of Corporate Social Responsibility Disclosures in Their Personal Investment Decisions and Recommendations to Clients vom Markus Arnold, Christoph Hörner, Patrick. Martin und Donald Moser vom 12. Mai 2020: “German investment professionals engage in motivated reasoning, i.e., those who believe more strongly that CSR benefits society are more likely to expect CSR to improve financial performance. We find no such evidence for US investment professionals. This finding has significant practical implications because the connections investors see between CSR activities and financial performance ultimately affect their investment decisions. … we find that investment professionals’ personal beliefs about the societal benefits of CSR affect their investment recommendations to clients …” (S. 31).
Profit second: Behavioral Finance und Advisortech
Anleger sind inkonsistent: Dynamic Inconsistency in Risky Choice: Evidence from the Lab and Field von Rawley Heimer, Zwetelina Iliewa, Alex Imas und Martin Weber vom 23. Februar 2021: “We show that people are dynamically inconsistent when taking risk repeatedly while knowing that they have the option to stop at any time. … Consider the recently introduced “depreciation reporting rule”—part of the revised European market in financial instruments regulation (MiFID II) implemented in January 2018. The rule requires all European wealth managers, brokers, and financial advisers to immediately notify their clients when their portfolio loses at least 10% of its value relative to the beginning of the quarter. … Although the rule was intended to protect retail investors, our results suggest that the notifications will be redundant for the majority of investors as they are likely to override them. More importantly, however, the rule might change investors’ ex-ante choices regarding the type and amount of risk to take: they may seek out types of risk that they would otherwise avoid—such as volatile assets with a zero or negative risk premium—because of naıvete regarding the effectiveness of the rule in disciplining behavior” (S. 34/35).
Modellportfolios, Direct Indexing und Cloud: The Latest In Financial #AdvisorTech (March 2021) von Michael Kitces vom 1. März 2021: “RIA custodians increasingly look to gain basis points for custody services by pairing them with asset management as Betterment For Advisors and Altruist both expand into the paired services of model-management-plus custody …SEI launches its own Direct Indexing solution while OSAM’s Canvas crosses $1B in Custom Indexing AUM in just its first year … Microsoft launches a new Cloud for Financial Services to compete with Salesforce by unifying an advisory firm’s internal productivity tools”. Mein Kommentar: Vgl. Direct ESG Indexing: Die beste ESG Investmentmöglichkeit auch für Privatkunden? – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com) und Anlageberater, Robo Advisors oder Modellportfolios: Wer wird gewinnen? – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)