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

Dopierała, Łukasz; Mosionek-Schweda, Magdalena; Ilczuk, Daria

doi:10.3390/su12020654

Cited by 9 publications

(4 citation statements)

References 67 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Based on these data points, we constructed monthly continuously compounded returns for equal-weighted portfolios, to estimate group performance. The equal-weighted portfolio return is expressed in the following way (Hoepner and Schopohl 2018;Dopierała et al 2020):…”

Section: Methodsmentioning

confidence: 99%

Pension Fund Management, Investment Performance, and Herding in the Context of Regulatory Changes: New Evidence from the Polish Pension System

Dopierała

Mosionek-Schweda

2020

Risks

Self Cite

View full text Add to dashboard Cite

The aim of this paper is to assess the impact of reforms introduced in the operation of Polish open pension funds on management style, risk exposure and related investment performance. The article analyzes the impact of the reformed regulations on the herd behavior of fund managers. In particular, we examined whether the elimination of the internal benchmark for fund evaluation impacts the elimination or reduction of herd behavior. We proposed a multi-factor market model to evaluate the performance of funds investing in various types of instruments. Moreover, we used panel estimation to directly take into account the impact of the internal benchmark on herd behavior. Our results indicate that highly regulated funds may slightly outperform passive benchmarks and their unregulated competitors. In the case of Polish open pension funds, limiting investments in Treasury debt instruments clearly resulted in increased risk and volatility of returns. However, it also raised competition between funds and decreased the herd behavior. Additionally, the withdrawal of the mechanism evaluating funds based on the internal benchmark was also important in reducing herd behavior.

show abstract

Section: Methodsmentioning

confidence: 99%

Pension Fund Management, Investment Performance, and Herding in the Context of Regulatory Changes: New Evidence from the Polish Pension System

Dopierała

Mosionek-Schweda

2020

Risks

Self Cite

View full text Add to dashboard Cite

show abstract

“…Ibikunle and Steffen [64] measured European green mutual fund performance, Reboredo et al [19] question if investors pay a premium for 'going green', Martí-Ballester [65][66][67] also analysed sustainable energyrelated mutual funds. At the same time, Dopierała, Mosionek-Schweda and Ilczuk [68] test whether asset allocation policy affects the performance of climate-themed mutual funds in the Scandinavian markets (Denmark, Norway, and Sweden).…”

Section: Plos Onementioning

confidence: 99%

Performance measurement of ESG-themed megatrend investments in global equity markets using pure factor portfolios methodology

Naffa

Fain

2020

PLoS ONE

View full text Add to dashboard Cite

ESG factors are becoming mainstream in portfolio investment strategies, attracting increasing fund inflows from investors who are aligning their investment values to Sustainable Development Goals (SDG) declared by the United Nations Principles for Responsible Investments. Do investors sacrifice return for pursuing ESG-aligned megatrend goals? The study analyses the risk-adjusted financial performance of ESG-themed megatrend investment strategies in global equity markets. The analysis covers nine themes for the period 2015–2019: environmental megatrends covering energy efficiency, food security, and water scarcity; social megatrends covering ageing, millennials, and urbanisation; governance megatrends covered by cybersecurity, disruptive technologies, and robotics. We construct megatrend factor portfolios based on signalling theory and formulate a novel measure for stock megatrend exposure (MTE), based on the relative fund flows into the corresponding thematic ETFs. We apply pure factor portfolios methodology based on constrained WLS cross-sectional regressions to calculate Fama-French factor returns. Time-series regression rests on the generalised method of moments estimator (GMM) that uses robust distance instruments. Our findings show that each environmental megatrend, as well as the disruptive technologies megatrend, yielded positive and significant alphas relative to the passive strategy, although this outperformance becomes statistically insignificant in the Fama-French 5-factor model context. The important result is that most of the megatrend factor portfolios yielded significant non-negative alphas; which supports our assumption that megatrend investing strategy promotes SDGs while not sacrificing returns, even when accounting for transaction costs up to 50bps/annum. Higher transaction costs, as is the case for some of these ETFs with expense ratios reaching 80-100bps, may be an indication of two things: ESG-themed megatrend investors were willing to sacrifice ca. 30-50bps of annual return to remain aligned with sustainability targets, or that expense ratio may well decline in the future.

show abstract

“…By contrast, Martí-Ballester [16] analyses the biotechnology and healthcare sectors, finding out that SRI investments outperform traditional mutual funds. However, recent evidence clearly underlines that their performance usually depends on the market state; indeed, Dopierała et al [17] evaluate the performance of Scandinavian climate-themed funds, assessing the importance of geographical and industrial asset allocations.…”

Section: Literature Frameworkmentioning

confidence: 99%

Saving with a Social Impact: Evidence from Trento Province

et al. 2020

View full text Add to dashboard Cite

In this paper, we investigate the determinants of investing, focusing on its potential social impact. In particular, we consider whether there is room for expanding impact investing through social savings. The increasing trend in the demand for social finance makes the topic of unique interest, particularly when data on preferences for social saving can be collected at the individual level. We investigate the determinants and drivers of saving with a social goal running a survey conducted in Trentino-Alto Adige in which respondents are asked to allocate their portfolio to possible social investments. In line with the evidence collected in the Netherlands by Riedl and Smeets (2014), our results show a strong preference for a lower return, with the condition that the return is invested in a community programme, and little interest in the monetary return of the investment. Respondents are either inclined to put their entire portfolio into saving for the community or not to invest at all. This result suggests that there is a consistent demand, only partially accommodated by the supply, for financial products investing in the community, rather than for a monetary return.

show abstract

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

Cited by 9 publications

References 67 publications

Pension Fund Management, Investment Performance, and Herding in the Context of Regulatory Changes: New Evidence from the Polish Pension System

Pension Fund Management, Investment Performance, and Herding in the Context of Regulatory Changes: New Evidence from the Polish Pension System

Performance measurement of ESG-themed megatrend investments in global equity markets using pure factor portfolios methodology

Saving with a Social Impact: Evidence from Trento Province

Contact Info

Product

Resources

About