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RUSSIAN PROSPECTS FOR SOCIALLY RESPONSIBLE INVESTING IN THE STOCK
MARKET Larchenkova E.D.
Larchenkova Elizaveta Dmitrievna - Master in Economics, PROGRAM: INTERNATIONAL CORPORATE FINANCE (INENGLISH), FACULTY OF THE HIGHER SCHOOL OF BUSINESS AND ECONOMICS, RUSSIAN UNIVERSITY OF ECONOMICS NAMED AFTER G. V. PLEKHANOV,
MOSCOW
Abstract: this research paper aims to analyze the efficiency of Socially Responsible Investment (SRI) funds globally and in Russia, in order to implement successful foreign practices into Russian prospective.
The data on financial performance has been collected for observed fund and its respective index benchmarks. The comparison was conducted through the statistical analysis of the risk-adjusted measures results. As a Russian SRI fund iShares MSCI Russia ERUS fund was chosen. Its performance was also compared to the respective benchmark, such as MSCI Russia in order to see whether the fund underperforms or outperforms its index. The results suggest that Russian SRI fund reported a slight underperformance of its benchmark. Furthermore, the fund supported the fact that SRI funds perform greater return in a long run. Further development of Socially Responsible Investment (SRI) in Russia was predicted as successful. The transition towards SRI funds by asset managers in Russia should be analyze together with extra-financial reasons, as it was found that economic, social and political conditions might influence awareness level of SRI strategies.
Results of this research paper might become a valuable source providing information to asset management companies and individual investors on long-term financial benefits of SRI strategies.
Keywords: Russia, Socially Responsible Investment, Funds, Benchmark, Asset Management, Financial performance.
ПЕРСПЕКТИВЫ РАЗВИТИЯ СОЦИАЛЬНО ОТВЕТСТВЕННОГО ИНВЕСТИРОВАНИЯ НА РОССИЙСКОМ ФОНДОВОМ РЫНКЕ
Ларченкова Е.Д.
Ларченкова Елизавета Дмитриевна - магистр экономики, программа: международные корпоративные финансы (на английском языке), Высшая школа бизнеса и экономики Российский экономический университет им. Г.В. Плеханова, г. Москва
Аннотация: данная исследовательская работа направлена на анализ эффективности фондов Социально Ответственных Инвестиций (СОИ) в мире и в России с целью внедрения успешного зарубежного опыта в российскую перспективу. Данные о финансовых показателях были собраны для наблюдаемого фонда и его соответствующих эталонных индексов. Сравнение проводилось посредством статистического анализа результатов измерений с поправкой на риск. В качестве российского фонда SRI был выбран фонд iShares MSCI Russia ERUS. Его эффективность также сравнивалась с соответствующим эталоном, таким как MSCI Russia, чтобы увидеть, уступает ли фонд своему индексу или превосходит его. Результаты показывают, что российский фонд SRI сообщил о незначительном отставании от своего эталона. Кроме того, фонд поддержал тот факт, что фонды SRI приносят большую прибыль в долгосрочной перспективе. Дальнейшее развитие социально ответственного инвестирования (СОИ) в России прогнозируется как успешное. Переход управляющих активами в России к фондам СРН следует анализировать вместе с внефинансовыми причинами, поскольку было установлено, что экономические, социальные и политические условия могут влиять на уровень осведомленности о стратегиях СРР. Результаты этого исследования могут стать ценным источником информации для компаний по управлению активами и индивидуальных инвесторов о долгосрочных финансовых выгодах стратегий SRI.
Ключевые слова: Россия, социально ответственное инвестирование, фонды, бенчмарк, управление активами, финансовые показатели.
Introduction
Recently, there has been a significant evolution of people's perception of investment they conduct. Investors have started to demand a higher level of commitment from companies operating trading in the stock market. Major players have adopted CSR strategies which respond to sustainability issues, which consequently helps such companies to increase their value in front of investors. A growing number of institutional and private investors find interest in mutual funds that integrate extra-financial analysis, when ESG factors are taken into account in the selection of companies. SRI aims to integrate social, environmental, or ethical criteria into financial investment
decisions, while conventional investment only focuses on return and financial risk.1 Moreover, within this trend, socially responsible investment might act as one of the tools in solving global problems.
The topic of SRI has become one of the main concerns not only for individual investors but also for asset management companies, as for both the main objective remains delivering a performance of a fund, thus industry specialists are constantly looking for new investment strategies to create value. Thinking about positive social impact investors do not consider SRI funds as profitable, which happens due to the lack of information on SRI financial benefits in a long-term. Hence, more studies need to be conducted in order to determine if SRI funds might systematically underperform or outperform conventional funds.
The aim of this research is to study the prospects of further development of SRI in the stock market in Russia on the basis of global experience and practices. Sustainable investing might allow to solve important social and environmental issues of the country, contribute to the further integration of Russia into the world community, as well as attracting foreign investment in Russia.
Thus, in order to achieve a higher risk-adjusted return in a long run, Russian asset management companies and individual investors should consider having SRI funds in their portfolios.
Theoretical background
The concept of SRI in the stock market
The definition of SRI varies greatly. It defines SRI as the process of integrating personal values and societal concerns into investment decision making.2 Then as an investment approach that integrates long-term environmental, social, and governance (ESG) criteria into investment and ownership decision-making with the objective of generating superior risk-adjusted financial returns.3 All of the definitions can be summarized and identify SRI as an investment approach, which takes into account only investments in companies, concerned about sustainable development of micro and macro-economic environment.
Table 1. Types of Socially Responsible Investing (SRI) 4
Type Description
Impact Investing A financial undertaking that aims to generate specific and measurable beneficial social or environmental effects in addition to financial gain.
Mission-based investing An investment that seeks to generate a reasonable rate of return on capital, while also furthering a social purpose.
Triple bottom line investing An accounting framework that allows businesses to measure and report three dimensions of performance: social, environmental and financial.
Double bottom line investing An investing, which takes into account financial and social factors.
Green Investing An investing, which refers to assets that are in some way defined as «green», e.g. a renewable energy company, or a thematic green fund managing assets, or a carbon credit.
Ethical Investing An approach when investments are selected or excluded according to the individual investors' personal beliefs and values.
Sustainable investing An investment discipline that uses a set of environmental, social and corporate governance (ESG) criteria to choose companies for investment.
Financial performance of SRI strategy
1 Cowton, C and Sandberg, J, Socially responsible investment. Chadwick R (ed.), Encyclopedia of Applied Ethics. 2 edn, Academic Press Inc., San Diego, CA, pp. 142-151. [online] URL: https://doi.org/10.1016/B978-0-12-373932-2.00086-7. 2012.
2 Schueth, S. Socially Responsible Investing in the United States. Journal of Business Ethics 43, 189-194. [online] URL: https://doi.org/10.1023/A:1022981828869. 2003.
3 Sikken, Bernd Jan, Accelerating the Transition Towards Sustainable Investing - Strategic Options for Investors, Corporations, and Other Key Stakeholders. World Economic Forum Paper. [online] URL: https://ssrn.com/abstract=1891834. 2011.
4 Maretich. A Guide To The Different Types of Social Investing. [online] URL: http://maximpactblog.com/a-guide-to-the-different-types-of-social-investing/. 2020. Mintz and Ziegler. Mission-Related Investing: Legal and Policy Issues to Consider Before Investing. [online] URL: https://www.macfound.org/media/article_pdfs/Mission-Related_Investing.pdf. 2012. KPMG: Understanding Impact Investing. [online] URL: https://assets.kpmg/content/dam/kpmg/xx/pdf/2017/11/impacting-investment-lexicon.pdf. 2018.
According to the literature, there were identified several hypotheses related to the performance of socially responsible investing funds. The first hypothesis suggests that the risk-adjusted expected returns of socially responsible funds are equal to the risk-adjusted expected returns of conventional portfolios, so there is no significant difference in returns. Thus, this would be the case where the value added with social responsibility is not financially awarded. Furthermore, expected returns of SRI funds are lower than expected returns of conventional funds. Thus, applying screens to a portfolio might impact negatively and move the mean-variance frontier towards less profitable risk-return than conventional funds might have, creating an uncompensated risk. The third hypothesis is that the expected returns of stocks of socially responsible funds provide higher returns than conventional. Negative news associated with firms that are not socially responsible would cause underestimation of expected returns of these firms. According to Markowitz and the modern portfolio theory, SRI is inferior to conventional investments and has a negative impact on portfolio performance. SRI reduces the opportunities of diversification and when a portfolio is not diversified enough it is below the efficient frontier and its performance is reduced. Therefore, it would be reasonable to expect the performance of socially responsible funds to be lower than conventional funds.
It is clearly seen that the segment of SRI increases and become more important following an increase of investors awareness about ESG issues. For investors, the key issue is to know whether equities selected by an SRI screening process exhibit different performance from conventional investments in stocks. The results from the studies showed that the SRI stock indices do not exhibit a different risk-adjusted return from their benchmarks. However, there are still some cost associated with SRI, as socially responsible investors exclude some attractive firms from their portfolios for acting in socially irresponsible manner.
In the long-term socially responsible funds outperform conventional indices. The most valued mutual funds with positive and significant returns experience greater performance in a long run.
Methodology of SRI fund's performance assessment
The object of the research is Russian SRI fund and its respective index in the stock market. The subject is Socially Responsible Investing practice as an instrument of achieving long-term social, environmental and financial benefits.
There are several hypotheses that are tested in the following research:
Hypothesis 1: SRI has a positive impact on the performance.
Hypothesis 2: The excess returns of SRI funds versus different benchmarks converge in the long term and are positive.
Hypothesis 3: The geographical market in which the SRI fund invests influences the performance.
Hypothesis 5: SRI funds tend to underperform on the short term but out-perform on the long term.
Data collection
Since the research focuses on Russian stock market, it was decided to select SRI funds consisted mainly of Russian companies. The second step was to narrow the sample size. On Russian market, equity SRI funds represent the majority of funds, therefore, to make the research more Russia oriented, only equity funds were taken into account. The leader in the stock market iShares MSCI Russia ETF (ERUS) was chosen, as is a market-cap-weighted index of securities listed on Russian stock exchanges. The fund was set up with the purpose to seek and track the investment results of an index composed of Russian equities. The fund invests in biggest and most socially responsible Russian companies according to the ESG rating. The benchmark was selected related to the fund, such as MSCI Russia. The benchmark analysis was important to conduct in order to see whether fund underperforms or outperforms its index.
Once the selection of a fund and a benchmark was done, it was necessary to collect performance-related data. All the data set has been collected from Thomson Reuters for 1, 3, 5 years. The risk adjusted measures such as alpha, beta, r-square, standard deviation, Sharpe ratio, tracking error and Treynor ratio, were taken to analyze the performance of a fund and index adjusted to risk.
Data analysis
The ERUS fund observes a positive alpha during the period for 1, 3 and 5 years, furthermore, the longer the observed period the lower the alpha. For example, in a year and in 5 years alpha reaches 0,82 and 0,26 respectively (See Tabl. 2). The beta coefficient estimated in 1 and 3 years is lower than 1 and reach figures of 0,96 (1 year) and 0,98 (3 years). In a longer period of 5 years, the beta of ERUS fund has increased and became slightly higher that 1 (1,01), nevertheless, this exaggeration is insignificant. According to the R-squared indicator, ERUS fund reports on average by 93% in 5 years, so the fund's performance moves relatively in line with the index. Interestingly, the standard deviation figure decreases when a long-term period is observed and increases when in a short-term observation. Sharpe ratio is negative when excess return is negative. In 3- and 5-years period the excess return was positive, however still relatively low. Tracking error increase by the time of observed period, which means a fund is consistent by 1,73 in tracking the performance of a benchmark in 5 years. If a higher Treynor ratio result means a more suitable investment, then it is possible to conclude that in a long-term the investment in ERUS fund is considered as stable.
Table 2. Risk-adjusted measure results of iShares MSCI Russia ETF (ERUS) in 1, 3 and 5 years5
5 Composed by the author based on the data from thomsonreuters.com.
RATIO 1 YEAR 3 YEARS 5 YEARS TENDENCY
Alpha 0,82 0,41 0,26 Decrease
Beta 0,96 0,98 1,01 Increase
R-Square 0,99 0,95 0,93 Decrease
Standard Deviation 34,45 24,48 22,90 Decrease
Sharpe Ratio -0,01 0,09 0,08 Increase
Tracking Error 0,87 1,57 1,73 Increase
Treynor Ratio -0,12 0,68 0,54 Increase
Findings
As it is seen from the table 3, the fund has been underperforming its relevant benchmark index - MSCI Russia, which indicates its negative excess return in 1-year (-1,63), 3 years (-1,65) and 5 years (-1,74) periods. Excess return supports the results of Sharpe ratio. Negative indicators of excess return shows that iShares MSCI Russia ETF (ERUS) underperformed its benchmark index MSCI Russia Index. In a long-term the tendency is the same, the fund indicates lower performance than the benchmark. The results of excess return are approximately the same for all reporting periods. The results showed that both an index ERUS fund consistently underperforms its index benchmarks. In a 1-year period it experiences negative performance. Moreover, the excess return is getting greater with time. The difference in the indicators for 3- and 5 years between the fund and the benchmark is different. MSCI Russia Index performs 14% greater in 3 years, while in 5 years its performance 18% higher. Thus, the greater the period, the higher the difference in performance.
Table 3. Commutative performance % of iShares MSCI Russia ETF (ERUS) and its benchmark index MSCI Russia Index in 1, 3
and 5 years %6
FUND 1 YEAR 3 YEARS 5 YEARS
ERUS -0,05 10,15 7,95
MSCI Russia Index 1,58 11,80 9,68
Excess Return -1,63 -1,65 -1,74
Russian stocks have risen significantly, despite a decrease in economic growth and continued political and economic challenges. According to the MSCI report, Russia's economic and financial conditions continue to be impacted by several years of international sanctions following Russia's annexation of Crimea in 2014 and the government's increase of a value-added tax weighed on consumption and consumer confidence.7 Manufacturing activity slowed during the reporting period, eventually contracting for several months in 2019.
The analysis showed that the Russian fund underperforms its benchmark. This can be explained by possible limitations of SRI development in Russia, as speaking about the prospects for the development of socially responsible investment in Russia, it is necessary to identify issues that slow down the progress of such investment approach.
6 Composed by the author based on the data from thomsonreuters.com.
7 MSCI Annual Report 2019 [online] URL: http://www.annualreports.com/Company/msci-inc. 2019.
Fig. 1: Dependence of barriers towards development of SRI in Russia on investors and asset management companies8
As it is demonstrated in the figure above (see.Fig. 1), all the barriers are related to each other, depend on the lack of legal standardized regulations on non-financial reporting and cause the same consequence - less asset management companies and individual investors implement socially responsible investing approach in their decisions.
The research found that there are some premises for the development of SRI in the Russian stock market. First of all, Russian market has such institutional players as socially responsible funds, which consist of Russian companies which integrate ESG approach in their activities. Then, there are new socially conscious indexes launching by Moscow Stock Exchange, such as MOEX-RSPP Responsibility and Transparency Index (MRRT) and MOEX-RSPP Sustainability Vector Index (MRSV), which also indicates about market modification towards SRI.
Russian companies have been implementing CSR strategies in their activities. One of those examples might be Rosneft. As for environmental campaigns, Rosneft commits to enter the top quarter of the world's oil and gas companies in terms of key indicators in the field of environmental protection by the year 2022.9 According to the rating compiled by RIA in 2016, 28 of the 100 most expensive companies regularly issue non-financial reports. These are companies operating in the oil and gas, metallurgical, financial and telecommunications industries, and
energy.10
The Concept for the development of non-financial reporting was approved on the 5th of May 2017.11 This concept allows to improve the overall regulatory framework in the field of non-financial reporting. In addition, it will help create the appropriate infrastructure for reporting verification mechanisms, including maintaining a report registry.
Conclusion and recommendations
According to this study, the prospect for the development of socially responsible investment market in Russia is generally assessed as moderate. A demand for the social responsibility of companies grows, as well as the index of socially responsible investments in Russia, increasing the financial literacy of the population, ESG issues become increasingly urgent in society, domestic companies penetrate international markets, institutional infrastructure of socially responsible investing emerges.
According to the risk-adjusted measures, the ERUS fund underperforms its respective benchmark MSCI Russia. This can be explained by the fund structure, the nature of companies included in the fund, and by the macroeconomic environment of the fund. In the Russian SRI fund the dominant sector is energy and raw materials, which is quite volatile, which can be a barrier for investors to trust this fund's sustainability. Furthermore, as for the main barriers which slow down the development of SRI in Russia were found as lack of transparency in ESG reporting standards, dominance of negative screening, long-term investment cycle, lack of portfolio diversification and perception and lack of knowledge on SRI performance. Regarding particular issues in Russia, it is possible to highlight lack of information on ESG impact, low level of awareness and interest, poor CSR and global sanctions.
Composed by the author.
9 Суверов С. О социальной ответственности бизнеса. [Интернет ресурс] URL: https://expert.ru/2018/02/20/o-sotsialnoj-otvetstvennosti-biznesa. 2018.
10 Зеленые инвестиции: Отчетность и раскрытие информации [Интернет ресурс] URL: http://documents.worldbank.org/curated/en/699051540925687477/pdf/131516-RUSSIAN-PN-P168296-P164837-PUBLIC-Green-finance-Note.pdf. 2018. С. 78.
11 Министерство экономического развития РФ: Публичная нефинансовая отчетность [Интернет ресурс] URL: https://economy.gov.ru/material/departments/d22/publichnaya_nefinansovaya_otchetnost/. 2017.
As for the opportunities towards development of SRI some external influencing factors should be taken into consideration. First of all, the development of SRI should be supported by legal regulations towards non-financial reporting from the government and the Central Bank, as the main influencers of economic development. Moreover, investors and asset managers should be educated on the main features of SRI, knowing about the long-term perspective of such investment and lower. In addition, Russian major companies and banks could collaborate with international sustainable associations.
It has been highlighted that clarity and transparency are essential elements to avoid greenwashing and mistrust. It is necessary to set clear goals, which can be referenced to the Sustainable Development Goals (SDG) launched by the United Nations in 2015, which cover the challenges coming from economic growth to the most vulnerable social and ecological problems.
Providing non-financial reposting according to standardized methodology should be crucial for asset manager, as it is necessary to give visibility to investors on the asset managers' actions. Individual investors, in return, should choose companies specializing on SRI funds, as they would manage the fund knowing about all the distinguishing features of such approach, which would not create a misunderstanding.
On the next stage, both asset managers and individual investors should conduct a more precise analysis on selecting companies in their portfolio. The leading sectors and companies should be selected in a fund, then the number of companies should be narrowed down using positive screening. Additionally, risk-adjusted performance should be analyzed too. As it was previously mentioned, due to the long-term nature of SRI funds, in order to achieve efficient stable return, funds should be invested regular in a long run.
Table 4. The main aspect to follow to conduct a successful SRI strategy for Asset Management Company and Individual
Investor12
Asset Manager Individual Investor
Stage I Set clear objectives and define commitments Set clear objectives and define commitments
Provide standardized reporting towards SRI improvement Choose asset management company specializing in offering SRI funds and responds to SDG goal(s)
Stage II Select leading companies and industries in the market Select a fund performing above its benchmark
Choose positive screening in companies' selection, include less energy and raw materials companies Analyze risk-adjusted performance of a fund
Invest steadily in a long-term prospective, as a short-term timeline contradicts with the nature of SRI Invest steadily in a long-term prospective, as a short-term timeline contradicts with the nature of SRI
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