This research analyzes the risk-adjusted returns and the investment style of sustainability-themed funds, a fast-growing category of sustainable and responsible mutual fund. Sustainability-themed funds are compared with sustainable and responsible mutual funds that implement different approaches in portfolio selection and management, and with thematic funds not involved in responsible investment strategies. The study uses a European sample of 1512 mutual funds where 468 are sustainability-themed funds, 633 are other sustainable and responsible funds, and 411 thematic funds. Monthly performance and fund characteristics are analyzed for the period 2007–2017 using a single factor Capital Asset Pricing Model (CAPM), a Fama and French (1993) 3-factor model, and, lastly, a Fama and French (Journal of Financial Economics, 116: 1–22, 2015) 5-factor model. The analysis is extremely innovative. During the last 15 years, literature about sustainable and responsible investment has focused on the differences in terms of risk and performance between socially responsible and conventional funds. Starting from the methodology applied in previous studies, and in light of their exponential growth in recent years, this paper focuses on sustainability- themed mutual funds. We demonstrate that sustainability-themed funds differ in terms of risk, performance, and investment style from other funds that implement social responsible strategies and from thematic funds focusing on a specific theme, but not responsible investment.

Ielasi, F., Rossolini, M. (2019). A New Approach to Sustainable and Responsible Investment: The Sustainability-Themed Mutual Funds. In M. La Torre, H. Chiappini (a cura di), Socially Responsible Investments The Crossroads Between Institutional and Retail Investors (pp. 125-148). Palgrave Macmillan.

A New Approach to Sustainable and Responsible Investment: The Sustainability-Themed Mutual Funds

Rossolini, M
Ultimo
2019

Abstract

This research analyzes the risk-adjusted returns and the investment style of sustainability-themed funds, a fast-growing category of sustainable and responsible mutual fund. Sustainability-themed funds are compared with sustainable and responsible mutual funds that implement different approaches in portfolio selection and management, and with thematic funds not involved in responsible investment strategies. The study uses a European sample of 1512 mutual funds where 468 are sustainability-themed funds, 633 are other sustainable and responsible funds, and 411 thematic funds. Monthly performance and fund characteristics are analyzed for the period 2007–2017 using a single factor Capital Asset Pricing Model (CAPM), a Fama and French (1993) 3-factor model, and, lastly, a Fama and French (Journal of Financial Economics, 116: 1–22, 2015) 5-factor model. The analysis is extremely innovative. During the last 15 years, literature about sustainable and responsible investment has focused on the differences in terms of risk and performance between socially responsible and conventional funds. Starting from the methodology applied in previous studies, and in light of their exponential growth in recent years, this paper focuses on sustainability- themed mutual funds. We demonstrate that sustainability-themed funds differ in terms of risk, performance, and investment style from other funds that implement social responsible strategies and from thematic funds focusing on a specific theme, but not responsible investment.
Capitolo o saggio
SRI · Responsible mutual funds · Thematic funds ·Sustainability-themed funds · Performance measures
English
Socially Responsible Investments The Crossroads Between Institutional and Retail Investors
La Torre, M; Chiappini, H
2019
978-3-030-05013-9
Palgrave Macmillan
125
148
Ielasi, F., Rossolini, M. (2019). A New Approach to Sustainable and Responsible Investment: The Sustainability-Themed Mutual Funds. In M. La Torre, H. Chiappini (a cura di), Socially Responsible Investments The Crossroads Between Institutional and Retail Investors (pp. 125-148). Palgrave Macmillan.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/220377
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