Voting

Votingkritik, Engagement und Fundamentaldatenenttäuschungen

Fundamental- und Faktorinvesting

Skeptische Rohstoffanalyse: Rohstoff-Investments – sind sie sinnvoll? Von Gerd Kommer und Daniel Kanzler vom 8. Januar 2020: …“generell existiert keine Rohstoffgruppe oder kein Einzelrohstoff, für den der grobe Langfristrichtwert von 0% p.a. bis 1,5% p.a. nicht zutrifft“ … „Rohstoffe – sowohl der Spot-Markt als auch der Futures-Markt – hatten historisch niedrige Renditen, kombiniert mit hoher Volatilität (Schwankungsintensität). Auch in Aktienmarktkrisen sind Rohstoff-Investments keine zuverlässige Absicherung (Hedge). Die Rendite von Rohstoff-Futures ist trendmäßig in den vergangenen 40 Jahren recht kontinuierlich gefallen. Die Hauptursachen dafür könnten sinkende oder niedrige Inflation und Financialization sein. … Die Rendite von Rohstoff-Futures könnte in Zukunft dann nennenswert steigen, wenn die Ination deutlich anzieht und/oder es zu einer schweren weltpolitischen (nicht weltwirtschaftlichen) Krise kommt, die zu Angst vor Versorgungsengpässen und zu Hoarding führt.“

Smart Beta ist vor allem für Anbieter smart: The Smart Beta Mirage von Shiyang Huang, Yang Song und Hong Xiang vom 30. Dezember 2020: “While smart beta ETFs claim to follow pre-determined and formulaic rules in indexation, the discretion in setting up the rules is enormous in practice. Potentially, the claimed “smartness” of smart beta ETFs is just a mirage arising from data overexploitation. If there indeed exists considerable data mining in index construction, it is unclear whether the proliferation of smart beta products adds value to investors or not. The answer to this question is important and urgent, given the sheer size and the rapid growth of smart beta ETFs. …. Smart beta indexes quickly trail the broad cap-weighted market index after the corresponding ETFs are listed. … we find strong support for data overexploitation in index construction, meaning that stellar performance only exists in backtests and has no predictive 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. 26/27).

Neue Faktorinvestmenterkenntnisse: The Great Divorce Between Investment and Profitability: A Duration-Based Explanation von Mete Kilic, Louis Yang und Miao Ben Zhang vom 13. Juli 2020: “Empirically, we show that the emergences of the investment premium and the profitability premium in the past four decades (later period) are not isolated phenomena. Instead, they are both related to the influx of long-term oriented firms, such as Amazon.com, into the stock market. This rise of long-term oriented firms along with lower long-term discounts explains several novel findings that we document in this paper. … We model boom firms that feature jumps in their future profitability …. boom firms to invest more despite having lower current profitability compared to classic firms. The absence of boom firms in the early period and their presence in the later period explain all of our empirical findings” (S. 26/27).

Sind fundamentale Kriterien unwichtig? Non-Fundamental Demand and Style Returns von Itzhak Ben-David, Jiacui Li, Andrea Rossi und Yang Song vom 12. November 2020: “Our study presents evidence that demand fueled by mutual fund investors’ rating-chasing behavior can impact large-scale price patterns, including style returns, style momentum, and style dispersion. … we estimate that rating-induced price pressures can explain a sizeable fraction of the time-series variation in the size and value factors. … Correlated demand can also arise from other sources such as demand for certain styles driven by institutional frictions (Froot and Teo, 2008; Koijen and Yogo, 2019) and performance chasing in index-linked products (Broman, 2016; Dannhauser and Pontiff, 2019). Taken together, these findings should alter the way economists interpret systematic price movements: instead of reflecting fundamental risk, they may also be determined by non-fundamental demand” (S. 36). Mein Kommentar: Ich bin ziemlich sicher, dass das sich auch mit gut gerateten ESG Fonds, ETFs und vielleicht auch einzelnen Aktien und Anleihen wiederholt.

Votingkritik: Anlegerverhalten

Treiben Flows die Märkte mehr als Fundamentaldaten? In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis von Xavier Gabaix und Ralph Koijen vom 9. November 2020: “Households allocate capital to institutions, which are fairly constrained, for example operating with a mandate to maintain a fixed equity share or with moderate scope for variation. As a result, the price elasticity of demand of the aggregate stock market is small, so flows in and out of the stock market have large impacts on prices. Using the recent method of granular instrumental variables, we find that investing $1 in the stock market increases the market’s aggregate value by about $5. We also show that we can trace back the time variation in the market’s volatility to flows and demand shocks of different investors. … The mystery of apparently random movements of the stock market, hard to link to fundamentals, is replaced by the more manageable problem of understanding the determinants of flows in inelastic markets” (abstract). Mein Kommentar: Meine most-passive Weltmarktallokation passt gut dazu, vgl. Warum sich das Weltmarktportfolio so gut entwickelt – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Transparenz kann gut für Investments sein: Disclosure is a gift that encourages trust and reciprocity von Satoshi Taguchi und Yoshio Kamijo vom 19. November 2020: “The results reveal that information disclosure promotes investments and returns” (abstract).

Aber wollen Anleger lieber weniger als mehr wissen? Investors’ Information Avoidance Behavior in Securities-Based Crowdfunding von Nicole Cade, Shannon Garavaglia und Vicky Hoffman vom 30. November 2020: “We conduct two experiments in the securities-based crowdfunding setting to examine one potential behavioral explanation for nonprofessional investors’ documented underuse of valuerelevant accounting information. …. we find that investors who are more (versus less) likely to anticipate psychological discomfort from evaluating financial information are less likely to acquire a crowdfunding company’s financial statements. … We also find in Experiment 1 that investors who avoid (versus acquire) financial statements are more likely to invest in a crowdfunding offering … despite financial statements being required for US crowdfunding companies” (S. 28).

Sollte man die Reichsten besonders fördern? Risk Preference and Entrepreneurial Investment at the Top of the Wealth Distribution von Frank Fossen, Johannes König und Carsten Schröder vom Dezember 2020: “We provide first evidence that individuals at the top of the wealth distribution are more likely to be entrepreneurs and invest a larger share of their wealth in their own businesses when they have a stronger taste for risk-taking. These associations are even stronger among the wealthy than among less wealthy individuals. In addition, we show that the wealthy are on average more risk tolerant than the non-wealthy. … Since individuals at the top of the wealth distribution dominate aggregate private investment, the reactions of the very wealthy to policies shape the effects on aggregate private risky investment. Understanding these relationships is crucial due to the importance of entrepreneurial risk-taking for innovation and economic growth” (S. 18/19).

Sollten Finanzberater Persönlichkeitsanalysten werden? The Impact of Personality Traits on Attitude to Financial Risk von Chris Brooks und Louis Williams vom 9. Dezember 2020: “We find that the Big Five personality traits have a broadly equal descriptive influence relative to affect for the cross-sectional variation in risk tolerance scores. Neuroticism is negatively linked with risk appetite, while extraversion has a mild positive association. …, but it is evident that the Big Five have incremental explanatory power beyond the role of emotions that has been investigated in several recent studies. However, it is also clear that the wider set of personality characteristics has a much more important influence on attitude to risk than the Big Five framework …. In particular, trait anger, intolerance of uncertainty, resilience and financial self-efficacy are consistently observed to have explanatory power for attitude to risk, even when a range of relevant control variables is incorporated into the model” (S. 20/21).

Votingkritik: Stockpicking, ESG und Impactinvesting

Fondsmanager könnten jetzt Affen schlagen: Sind Affen die besseren Fondsmanager? von Fondsprofessionell.com vom 28. Dezember 2020 in Bezug auf eine Analyse von HQ Trust: „“Schaut man auf den MSCI ACWI, haben sich die Zeiten für den Affen kontinuierlich verschlechtert“, kommentiert Lehmann das Ergebnis. In der Spitze lagen knapp 72 Prozent der Aktien vor dem Index, zuletzt lag diese Zahl nur noch bei rund 40 Prozent“.

Ein hoher Tracking Error kann gut für Anleger sein: Tracking Error: Why Deviation from a Benchmark Shouldn’t Dissuade Passive Investors from ESG von Jennifer Sireklofe von Parametric vom 14. December 2020: “Assuming no persistent bias in the direction of returns, a portfolio with high tracking error can still end up with cumulative returns quite similar to the benchmark over the long run. Understanding the likely interim variation can help investors know what to expect with their responsible portfolio and be better prepared for the uncertainty”.

Banken sollten auch Plastikverschmutzung beachten: Bankrolling plastics – The banks that fund plastic packaging pollution von Portfolio Earth vom Januar 2021: “The report finds that between January 2015 and September 2019, banks provided loans and underwriting of more than USD 1.7 trillion (equivalent to Russia’s GDP) to forty key plastic chain actors. … While many banks have shown some awareness of the issue, none of the 20 banks which provide the lion’s share of funding have developed any due diligence systems, contingent loan criteria, or financing exclusions when it comes to the plastics packaging industry. … The ten largest financiers were Bank of America, Citigroup, JPMorgan Chase, Barclays, Goldman Sachs, HSBC, Deutsche Bank, Wells Fargo, BNP Paribas and Morgan Stanley. Together, they accounted for 62 per cent of the finance identified” (S. 5).

Auch aktive ESG Fonds schlagen Benchmarks nicht systematisch: Did ESG Pay Off for Fund Investors Last Year? Yes and No. Von Jeffrey Ptak von Morningstar vom 5. Januar 2020: “around 46% of funds rated “High” (meaning low ESG risk) generated higher returns than their benchmark while only 30% of funds rated “Low” (that is, high ESG risk) did the same.”

Votingkritik und Engagement

Asset Manager Voting lässt sehr zu wünschen übrig: Voting Matters 2020 – Are asset managers using their proxy votes for action on climate and social issues? von ShareAction vom Dezember 2020: This report considers how 60 of the world’s largest asset managers voted on 102 shareholder resolutions on climate change, climate-related lobbying, and social issues, during the period September 2019 to August 2020, and how they justified their voting choices. … “The number of asset managers choosing not to vote at AGMs is significant (S. 4) … Whilst European asset managers have better voting performances, they do not tend to file shareholder resolutions on climate change and social issues in their own jurisdictions … (S. 5) … Fifteen Out of the 102 resolutions covered in this analysis (around 15 per cent) were supported by a majority of investors. This analysis finds that an additional 17 resolutions would have passed, had one or more of the Big Three (Blackrock, Vanguard Group, and State Street Global Advisors) voted for them. In all of these cases, BlackRock and Vanguard Group voted against the resolutions. … (S. 5) … This analysis found that five CA100+ members, namely Nordea Investment Management, BlackRock, Lyxor Asset Management, Credit Suisse Asset Management, and Ninety One voted for 50 per cent, or less, of climate resolutions (S. 6) … Analysis of the voting rationales provided by asset managers reveals that a number of asset managers continue to abstain or vote against climate critical resolutions because of ongoing engagement with the company” (S. 6).

Sind Blackrock und Vanguard gegen Diversity? Board Diversity and Shareholder Voting von Ian Gow, David Larcker und Edward Watts vom 15. Dezember 2020:  “… we explore how the voting patterns of the “Big Three” asset managers (BlackRock, Vanguard, and State Street) differ from those of other funds. … In recent years, each of these firms has been outspoken in supporting board diversity and committed to increasing board diversity (e.g., Lublin and Krouse, 2017; Krouse, 2018; Kerber, 2019). … Over our full sample, BlackRock supports diverse boards less than the average fund, and BlackRock and Vanguard support diverse individuals less than the average fund, …. In contrast, State Street exhibits greater support for individual diversity than the average fund, especially in the more recent time period” (S. 5).

Sind Blackrock und Vanguard gegen Klimaaktionen? Which Fund Companies Supported Climate Via Proxy Votes? Von Jackie Cook und Tom Lauricella von Morningstar vom 2. Dezember 2020: “Using Morningstar’s data on fund-level proxy voting, we computed voting profiles for the 20 largest U.S stock fund managers across a select list of 34 key resolutions relevant to climate action. Overall, we found rising support for stronger climate governance and improved transparency around risks and emissions goals. … At the bottom were Dimensional Funds, eighth largest, and the two largest stock fund managers–Vanguard and BlackRock–where support for key climate change resolutions barely made double-digit percentages”.

Viel zu Voting und Engagement auch in eigener Sache: „Divestments bewirken mehr als Stimmrechtsausübungen oder Engagement“ aus dem Buch „Nachhaltige Finanzen – Durch aktives Aktionärstum und Engagement Wandel bewirken“ (kostenpflichtig) von CRIC – Verein zur Förderung von Ethik und Nachhaltigkeit in der Geldanlage vom Dezember 2020. Das Buch enthält insgesamt 20 Beiträge von Nachhaltigkeitsexperten zu den drei Themenblöcken „Engagement in Theorie und Praxis“, „Verbesserungen in der Wirtschaft erreichen“ und „Perspektivische Überlegungen zu Wandel, Wirkung und gelingenden Dialogen“. Darunter sind mehrere gute ethische Basisbetrachtungen und auch gute Engagementbeispiele, zum Beispiel der Beitrag „Kirchliche Investoren engagieren sich für einen für Lohn zum Leben“ von Antje Schneeweiß. Für meinen Beitrag habe ich über 40 überwiegend sehr aktuelle Researchbeiträge ausgewertet: „Ob die Verbesserungsvorschläge der Aktionäre umfassend und schnell umgesetzt werden bzw. ob sie zu nachhaltigen Verbesserrungen führen, kann aber bezweifelt werden … Aktives Aktionärstum sollte sich auf strenge und umfassende Ausschlüsse bzw. Divestments und auch auf bewusste Positivinvestments (Impact Investments) fokussieren“ (S. 161). Mein Kommentar: Vgl. auch Divestmentkritik: Populäre aber falsche Kritik an verantwortungsvollen Geldanlagen – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Votingkritik: Wealthtech und Advicetech

Maschinen müssen noch viel lernen: Can Machines “Learn” Finance? Von Ronen Israel, Bryan Kelly und Tobias Moskowitz von AQR Capital Management vom 2. Juli 2020: “The evolution of asset management by incorporating machine learning is already underway, but the industry’s collective machine learning marketing hype must be tempered. Asset management, and return prediction in particular, is a small data science with low signal-to-noise ratios, making it very different from disciplines where machine learning has thrived. …. Other beneficial uses in asset management includes machine learning approaches for better “crafting” portfolios once return predictions have been made, for example by improving models of risk and trading cost management” (S. 17/18).

Robos reduzieren Risiken: Resilience in the Storm: Adaptive Robo-Advisors Outperform Human Investors during the COVID-19 Financial Market Turmoil von Chewei Liu , Mochen Yang und Ming-Hui Wen vom 30. November 2020: “Through our collaboration with an online mutual fund investment platform in Taiwan, we obtain daily portfolio and transaction data of individual investors … First, we find that RA users outperformed other investors during the market downturn by having a nontrivial margin of 1.41% fewer losses on average. Considering an average loss of 8.29% for other investors in the market downturn, this gives RA users a 17% (1.41/8.29) performance advantage, which is both statistically significant and economically meaningful” (S. 40). … “RA users held less risky portfolios than other investors“ (S. 41).

Auch J.P. Morgan baut das Modellportfoliogeschäft aus: J.P. Morgan Buys Automated Tax Tech Company 55ip von Diana Britton vom 3. Dezember 2020 auf wealthmanagement.com. Mein Kommentar: Vgl. auch Anlageberater, Robo Advisors oder Modellportfolios: Wer wird gewinnen? – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Sequoia glaubt auch an Direct Indexing: The Latest In Financial #AdvisorTech (January 2021) von Michael Kitces vom 4. Januar 2020: “…big news that storied Silicon Valley VC investor Sequoia Capital is investing $45M into Vise, a new tech-enabled TAMP looking to capitalize on the emerging trend of direct and, more importantly, “custom indexing”, where advisory firms use technology to create portfolios for clients customized down to the individual stock level (eschewing mutual funds and ETFs), and where Vise hopes that advisors will be willing to outsource the subsequent implementation of that portfolio for a 0.50% fee. But in the end, it’s still not clear if custom indexing will ultimately be a TAMP solution – with the basis point fees – or if the technology will eventually make it so easy and efficient that advisors can just do it themselves with the software they purchase for a flat software fee? (vgl. auch Vise Raises $45M in Series B, Adds Second Sequoia Board Member von Samuel Steinberger vom 16. Dezember 2020 auf wealthmanagement.com und Sequoia Capital goes all-in to make RIAs the crux of an asset management ‚central nervous system,‘ with more cash, more connections and Airbnb swagger von Oisin Breen vom 6. Januar 2020 auf RIAbiz.com).

Auch McKinsey mag Direct ESG Indexing: North American wealth management: Money in motion, but not always to the bottom line von Pooneh Bagha von McKinsey&Co. vom 17. Dezember 2020: “Provide easy access to ESG products and solutions. Wealth managers should increase the share of ESG products and solutions (including direct indexing) available to retail investors; educate advisors and consumers on the benefits of such strategies; hire and train ESG specialists to support clients and advisors; and embed ESG customization functionality and recommendations into buying journeys. Achieving this would also require close collaboration with other ecosystem participants—from fintech providers to asset managers” (S. XI). Mein Kommentar: Vgl. auch Direct ESG Indexing: Die beste ESG Investmentmöglichkeit auch für Privatkunden? – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

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