Does Sustainability Score Impact Mutual Fund Performance?

Sustainability

RenatoHeitor Correia-Domingues¹  Luis Otero-González²  JuanCarlos Reboredo³  Pablo Durán-Santomil⁴ 

[1] Departamento de Economia, Finanças e Contabilidade, Instituto Politécnico de Viana do Castelo, 900-347 Viana do Castelo, Portugal;Departamento de Economía Financiera y Contabilidad, Universidad de Santiago de Compostela, 15782 Santiago de Compostela, Spain;Departamento de Fundamentos del Análisis Económico, Universidad de Santiago de Compostela, 15782 Santiago de Compostela, Spain;Departamento de Organización de Empresas y Comercialización, Universidad de Santiago de Compostela, 27002 Lugo, Spain;

关键词: mutual fund performance;    mutual fund flows;    Sustainability Score;    ESG score;    Socially Responsible Investment;    SRI;   

DOI  :  10.3390/su11102972

来源: DOAJ

【 摘 要 】

Given that sustainable investing constitutes a major force across global financial markets, in 2016 Morningstar began reporting Morningstar Sustainability scores. We used the 2016, 2017 and 2018 scores to study the effects of socially responsible investments (SRI) on European equity fund performance. Sustainability scores impacted positively on performance, which was consistent with the idea that the mutual funds invested in companies with better scores generate better risk-adjusted and not-risk adjusted performance. We also tested the relation on mutual fund flows and risk. The sustainability score in the previous year is significant on the flows, so higher-rated funds receive a larger volume of funds. In terms of risk, the level of sustainability is negatively related to the value at risk (VaR) of the fund, supporting that higher scored mutual funds offer better protection against extreme losses.

【 授权许可】

Unknown