Sustainable and Responsible Investing
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1 Consulting Rating & Controlling Research Education Sustainable and Responsible Investing Oliver Oehri CSSP Center for Social and Sustainable Products Swiss CFA Society CE Event February 2013
2 Sustainability is more than just a slogan The idea of sustainability in Europe is rooted in forestry and goes back to the Middle Ages (Carlowitz/ Sylvicultura oeconomica). Excerpt of today most prominent topics: Climate Change, Overuse of Resources, Increasing Energy Demand, Increasing Food Shortages Today s understanding of sustainability is threedimensional, referring to Ecological, Social, and Governance/economic concerns (ESG). These solutions have also found their way into the capital markets 1
3 Traditional Asset Management Investment Opportunities Strategy Region Sector Market Capitalisation Different Styles: -Value -Growth? Selection Criteria aggressive Risk Aversion offensive neutral defensive 2
4 Hidden Opportunities? Risk Return Magic quadrangle E S Liquidity ESG G E = Environment S = Social G = Governance 3
5 Measurement of ESG? Fundamental Values E S G Other Values ESG Criteria source: Kiernan (1995, p. 13). 4
6 An Extension of the Asset Management Investment Opportunities Strategy Region Sector Market Capitalisation Different Styles: -Value -Growth ESG Selection Criteria aggressive Risk Aversion offensive neutral defensive 5
7 Is there an European definition? Sustainable Business Responsible Investing Sustainable and Responsible Investing: SRI, a generic term covering ethical, responsible investments, sustainable investments, and any other investment process that combines investors financial objectives with theirs concerns about environmental, social, and governance (ESG) issues. (Eurosif). E G S source:eurosif 6
8 What are the common SRI Investment Strategies? SRI Investment Strategies Pre Investment Phase Post Investment Phase Dis Investment Phase 1 Negative Screening 2 Positive Screening 3 Integration 4 Engagement/ Advocacy Voting 5 Combinations Best in Class Companies (ESG Rating) Positive Screening Topics (Impact Topics) source:eurosif yoursri 7
9 Professional screening and structured selection? Investment Opportunity Set (IOS) Strategy Traditional Strategy Sustainability Strategy Screening 1 2 Conventional Criteria Sustainability Criteria 1 Sustainability Criteria 2 Conventional Criteria P/E Ratio B/M Ratio Environmental (E) Social (S) Governance (G) Environmental (E) Social (S) Governance (G) P/E Ratio B/M Ratio Sustainable IOS ESG Ratings & Rankings Selection Selection INDIVIDUAL RATINGS: Equity Fixed Income Corporate Fixed Income Country PRODUCT RATINGS: Fundratings. Sustainable Portfolio Sustainable Portfolio source: CSSP 8
10 A review of performance studies (1/2) source: Mercer (2009) Findings Mercer Study 2009 Mercer Study 2007 Total positiv neutral/ positiv neutral Neutral//negativ negativ Total source: Mercer/AMWG UNEP FI (2007) Available on 9
11 A review of performance studies (2/2) Author Titel Time periode Results Mutual Fund Analysis Moskowitz, M. (1972) Choosing Socially Responsible Stocks 1972 positiv Derwall, J., Guenster, N., Bauer, R. & Koedijk, K. (2005) The Eco Efficiency Premium Puzzle positiv Brammer, S. Brooks, C. & Pavelin, S. (2006) Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures neutral negativ Hong, H. & Kacperczyk, M. (2006) The Price of Sin: The Effects of Social Norm on Markets negativ Statman, M. (2006) Kempf, A. & Osthoff P. (2006) Socially Responsible Indexes: Composition, Performance, and Tracking error. The Effect of Socially Responsible Investing on Financial Performance positiv positiv Statman, M. & Glushkov, D. (2008) The Wages of Social Responsibility neutral positiv Econometric Analysis Ziegeler, A., Schröder, M. & Rennings, K. (2007) Manescu, J. (2009) Arx, U. & Ziegler, A. (2009) The Effect of Environmental and Social Performance on the Stock Performance of European Corporations Is Corporate Social Responsibility viewed as a risk factor? Evidence form an Asset Pricing Analysis The Effect of Corporate Social Responsibility on Stock Performance: New Evidence for the USA and Europe positiv negativ positiv negativ positiv source: Dreher (2010) 10
12 The Pricing Ability of ESG Factors? (1/2) Motivation Purpose Changes in the View of the Investment World CAPM not able to describe expected return differentials properly Need for new state variables or sources of priced risks, which goes beyond the market portfolio explanation In the meantime, use of multifactor models like the FF 3 Factor Model or Carhart 4 Factor Model Question? Environmental, Social and Governance (ESG) What other factors could be relevant for asset pricing? because: Growing awareness of risk associated with ESG issues (e.g. Deepwater Horizon, Gulf of Mexico) > Increasing incorporation of ESG issues on the entrepreneurial (CSR) as well as on the investment side (SRI) source: Jochum (2012) 11
13 The Pricing Ability of ESG Factors? (2/2) Motivation Purpose Are Environmental, Social and Governance Factors relevant for Asset Pricing? 1 Research Question Is the ESG factor mimicking portfolio able to capture time variation in returns, which are currently not explained by the two common asset pricing models? 2 Research Question Are the models pricing correctly? 3 Research Question Is the ESG factor mimicking portfolio able to capture cross sectional variation in expected returns, which are currently not explained by the two common asset pricing models? source: Jochum (2012) 12
14 A Case for Risk Diversification? (1/2) Industrial Countries Micro Entrepreneur Microfinance Institution Microfinance Investment Vehicle Investor Developing Countries source: Oehri et al. (2010) ; 13
15 A Case for Risk Diversification? (2/2) money market Defensive 20% stocks; 50% bonds 20% hedge funds; 10% money market Microfinance (MF) money market hedge funds bonds Balanced 40% stocks; 30% bonds 20% hedge funds; 10% money market 5% od. 10% Substitution mit MF hedge funds bonds stocks Basic Portfolio without MF share Growth 60% stocks; 10% bonds 25% hedge funds; 5% money market Portfolios with MF share stocks Method: 5% Substitution (Microfinance Investment Funds) Target: Delta Portfolio Return, Risk; Sharpe Ratio source: Oehri et al. (2010) ; Oehri & Fausch (2008) 14
16 CSSP Research Performance Asset Pricing Risk Diversification Dreher (2010): Socially Responsible Investments; 100 pages Jochum (2012):The Pricing Ability of ESG Factors; 80 pages Oehri, Dreher, Schäfer (2010): Microfinance a new type of investment for socially oriented clients; 150 pages Free of charge ag.com 15
17 Snapshot a Case for Risk Optimisation? Swiss Pensionfund Asset Management with a strong focus on ESG Criteria AuM: Mo. CHF in info.ch Source: nest; ASIP
18 Snapshot AuM& Type of Investors ESG Investments & Impact Investments Survey Results of 169 Pension Funds (EU-14) source: Eurosif European SRI Survey, 2012; CSSP Research source: Eurosif Corporate Pension Funds & Sustainable Investment Study, 2011 Available on 17
19 Snapshot Asset Managers Number of signatories Signatories (21. Feb. 2013) Asset owners: 273 Investment managers 717 Professional service partners: % 535 USA: Investment managers 118 Professional service partners: UK: Investment managers 95 Professional service partners: Switzerland: Investment managers 36 Professional service partners: 13 source: 18
20 Snapshot European Countries ASIP, SwissFoundations; Universities ALFI Associations of the luxembourg fund industry Traditional Rating Agencies; Philanthropy UK, Universities Private Public Partnerships: MIL, LIFE, Carlo Foundation bourse; universities 19
21 Helpful tools Online Database for the German Issuer Market Get the ESG Issuer Ratings for the DAX frankfurt.de Online Discussion Platform for SRI Experts Around Indivudals are connected. connect.com Online Database for Responsible Investing Search, Compare & Evaluate worldwide Over Companies, over Investments, over 400 ESG Investment Ratings, over 800 Research Papers, 20
22 Key Findings The research shows that on average and in aggregate, SRI perform comparably to conventional ones The research shows that securities, favored by SRI Strategies tend to be less volatile than securities that ranke poorly on ESG metrics Opportunity for Active Risk Management Intangible values are seen as the main source of companies future risks and comparative advantages Increased usage of non traditional factorsasand additional factor in the financial analysis, as ESG Issues may serve as early warning indicators of future risks Not a substitute but an extension Increasing number of ESG Information Provider CSR Rating Agencies Which one is the right one? Challenge to find one s way around Number and diversity of SRI Products is steadily growing 21
23 Oliver Oehri, lic.oec. HSG Managing Partner CSSP Center for Social and Sustainable Products AG Herrengasse Vaduz Liechtenstein Thank you for your attention T F E Mail: o.oehri@cssp ag.com Homepage: ag.com CSSP Center for Social and Sustainable Products AG, Herrengasse 11, Vaduz, Liechtenstein HR Nr. FL MwSt Nr yoursri is 2011 by CSSP Center for Social and Sustainable Products. The your SRI logo is a registered trademark of CSSP
24 CSSP about us CSSP is an independent research company and consultancy that has specialised in strategy and sustainability questions in the area of responsible investing. ag.com 23
25 CSSP member/partner of European Sustainable Investment Forum Partner of Council for Sustainable Development Forum für nachhaltige Geldanlagen Zurich Carbon Market Association Partner of European Business & Biodiversity Campaign LIFE Climatefoundation Liechtenstein UN Principles for Responsible Investment An investor initiative in partnership with UNEP Finance Initiative and the UN Global Compact 24
26 Confidential Clause This document is exclusively for the person addressed or their representative. Any form of the unauthorized use, publication, reproduction, copying or disclosure of the content of this document is not permitted. If you are not the intended recipient of this document and its contents, please notify this sender immediately and delete this document subsequently. 25
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