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Investing in sustainability : the risk-adjusted performance of European mutual funds committed to sustainable and responsible investing

Auran, Adrian Krigsvoll; Kristiansen, Alexander
Master thesis
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URI
http://hdl.handle.net/11250/2432476
Date
2016
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  • Master Thesis [4207]
Abstract
This paper examines the relationship between sustainability and traditional financial aspects.

Sustainable development has manifested itself to financial markets and the newly launched

Morningstar Sustainability Rating serves investors with quantifiable and objective measures

of mutual funds sustainability. We use this measure to infer causality between financial

performance and investment style and find no statistical evidence that there exist a riskadjusted

performance advantage or disadvantage from investing in sustainability. The

findings imply that there is no additional cost related to investing in sustainable mutual

funds, which might be interesting for value-driven investors. The funds categorized as the

most sustainable are found to be more sensitive to market and large capitalization stock

returns relative to the funds categorized as being the least sustainable. Our findings are

robust for a range of sustainability definitions, management fees and transaction cost.

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