Comparative Performance Analysis of Sustainable Themed Funds with Traditional Funds in Turkey

Abstract

Sustainable finance aims to contribute to the development of an environmentally and socially sensitive production approach of economic activity in order to leave a more livable world to future generations with an environmental and social investment approach. It increases the importance of comparing the performances of sustainable-themed funds with traditional themed funds, for investors to consider investing with a socially responsible investment approach. In this study, the performances of sustainable-themed funds with traditional funds and indices in Turkey were analyzed comparatively. BIST Sustainable index (XUSRD) as the market index of sustainable funds; the BIST100 index (XU100) was chosen as the market index of traditional funds. Since the history of sustainable funds in Turkey is not very old, daily data for the years 2019-2022 were analyzed as the data period. In the study, firstly, the performances of the funds were compared with annual return, standard error, Sharpe ratio, Jensen's alpha and Treyner criterion. Then XU100 and XUSRD were selected as the market portfolio, and the returns and systemic risks of the portfolios were obtained with the Capital Asset Pricing Model (CAPM). According to the results obtained from the study, it has been observed that the performance of sustainable themed funds is better than their traditional substitutes and market indices.