On the performance of sustainable funds during periods of crisis and non-crisis A quantitative study of the performance of sustainable funds from 2005 to 2013 in Sweden.
Abstract: This thesis examines the financial performance of sustainable and conventional funds during the global financial crisis (2008/01-2010/12) and the time period before (2005/01-2007/12) and after (2011/01- 2013/12) the crisis. Our hypothesis is that sustainable funds perform slightly worse than conventional funds in periods of non-crisis and slightly better than conventional funds in periods of crisis. To analyze the financial performance of the funds, we use the CAPM, the Fama-French three-factor model and Carhart's four-factor model. To assess the difference in financial return between sustainable and conventional funds, we include a dummy variable. The results indicate that there is no statistically significant difference in risk-adjusted return between sustainable and conventional funds before and during the global financial crisis. After the crisis, we conclude that conventional funds significantly outperform sustainable funds. This implies that during both pre-crisis and crisis periods, there is no evidence that investors suffer from investing in sustainable funds. During the post-crisis period, sustainable funds underperform financially. However, there might be other factors adding value such as improved and sustainable business practices needed for profitability in the long run. Our hypothesis regarding the three time periods is not accurate since we find no evidence that sustainable funds differ in financial performance compared to conventional funds in pre-crisis and crisis periods. We also do a sub-sample analysis of the two categories the funds invest in; Sweden and Sweden Small Cap. We find some small differences from the general result during the crisis and post-crisis period. Even though there are no large deviations, the size of the stocks the funds invest in may change the result slightly.
AT THIS PAGE YOU CAN DOWNLOAD THE WHOLE ESSAY. (follow the link to the next page)