Does the Asset Allocation Policy Affect the Performance of Climate-Themed Funds? Empirical Evidence from the Scandinavian Mutual Funds Market

Łukasz Dopierała, Magdalena Mosionek-Schweda and Daria Ilczuk
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Łukasz Dopierała: Department of International Business, Faculty of Economics, University of Gdansk, Armii Krajowej 119/121, 81-824 Sopot, Poland
Magdalena Mosionek-Schweda: Department of International Business, Faculty of Economics, University of Gdansk, Armii Krajowej 119/121, 81-824 Sopot, Poland
Daria Ilczuk: Faculty of Economics, Graduate of the University of Gdansk, Armii Krajowej 119/121, 81-824 Sopot, Poland

Sustainability, 2020, vol. 12, issue 2, 1-23

Abstract: The aim of this paper is to evaluate the performance of climate-themed mutual funds, taking into consideration the structure of their asset allocation, especially their geographical focus of investment. Additionally, the influence of differences in the industry allocations on the funds’ investment results is evaluated. Our analyses are based on climate-friendly mutual funds registered in Scandinavian countries (i.e., Denmark, Norway, and Sweden) during 2010–2019. To classify the analyzed funds as climate-friendly, we use the relative carbon footprint measure, which is a novelty in studies on ESG funds (meeting the environmental, social, and corporate governance criteria). In our analyses, we use the absolute performance as well as the relative performance methods. The obtained results confirm that geographical and industrial asset allocations significantly affect the performance of Scandinavian climate-friendly funds. On the basis of our studies, we may state that analyzed mutual funds do not get abnormal returns, and their performance mostly depends on the market state. Additionally, the unconditional firm size factor did not influence the return of particular portfolios, while the conditional firm size factor was significant for European, global, and North American funds. Moreover, the firm value factor was significant. Finally, the momentum factor was only significant for the emerging markets portfolio when it reached positive values.

Keywords: climate-friendly mutual funds; performance evaluation; socially responsible investment; ESG funds (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jsusta:v:12:y:2020:i:2:p:654-:d:309344

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