Performance of Equity Mutual Funds considering ESG investments, Financial Constraints, and the COVID-19 Pandemic

Abstract In this paper, we analyzed the risk-adjusted performance of funds related to Environmental, Social and Governance (ESG-related funds), considering periods of financial constraints and the COVID-19 Pandemic. The database is comprised of 3,840 equity mutual funds in the period from January/2006 to December/2020. Each year, considering daily returns, we employed the Returns-Based Style Analysis to classify each fund as an ESG-related fund or a conventional fund; all funds in the category “Equities - Sustainability / Governance” were also considered as ESG-related mutual funds. Using daily data, for each year, the performance was estimated based on the four-factors model. The main results indicate that, on average, ESG-related funds presented higher risk-adjusted returns during periods of financial constraints. These results suggest that, during market downturns, investors tend to obtain better risk-adjusted returns for investing in green funds. A similar result was observed in relation to the COVID-19 period, suggesting that, based on the methods and procedures used, ESG-related funds achieved a better performance when compared to “conventional” funds during the Pandemic.

摘要 本研究针对环境、社会和治理（Environmental, Social and Governance，ESG）相关基金的经风险调整后业绩表现展开分析，纳入金融约束时期与新型冠状病毒肺炎（COVID-19）大流行阶段作为研究场景。本研究数据库涵盖2006年1月至2020年12月期间的3840只股票型共同基金。研究中，我们以年度为单位，结合每日收益率数据，采用基于收益的风格分析（Returns-Based Style Analysis）将所有基金划分为ESG相关基金与传统基金两类；同时将归类为“股票-可持续发展/治理”的基金同样纳入ESG相关共同基金范畴。基于每日数据，我们以年度为单位，通过四因子模型对基金业绩进行估算。核心研究结果显示，在金融约束时期，ESG相关基金的经风险调整后收益率整体更高。上述结果表明，在市场下行阶段，投资者配置绿色基金可获得更优的经风险调整后收益。在COVID-19大流行期间，我们观测到了相似的结果：基于本研究采用的方法与流程，ESG相关基金在疫情期间的业绩表现显著优于传统基金。