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Environmental fund performance compared to conventional funds

Krauthausen, M. (2020) Environmental fund performance compared to conventional funds.

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Abstract:The goal of this thesis was determining whether there is a difference in performance between environmental and conventional funds. For that a group of low-carbon emitting funds in Europe were identified and paired with appropriate conventional funds of the same size and location. Historical data for 10 years was then collected for each fund and their daily raw returns, Jensen’s alphas, Sharpe, and Treynor ratios calculated. Those ratios were then combined into equally weighted portfolios and compared using the non-parametric Mann-Whitney U mean rank test. Additionally, Jensen’s alpha, Sharpe ratio and the Treynor ratio were calculated for each fund in order to get more insight. Unfortunately, there were a number of constraints regarding the data availability and collection, as the current situation in Europe is characterized by a large amount of heterogeneity in the definitions and reporting of environmental sustainability. This study did not find any significant difference between the two groups neither through the statistical tests nor through the annualized performance of each fund. The conclusion therefore is, according to the data at hand, there is no distinguishable difference between the performances of our identified environmental (low-carbon emitting) funds and their conventional counterparts.
Item Type:Essay (Bachelor)
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:83 economics
Programme:International Business Administration BSc (50952)
Link to this item:http://purl.utwente.nl/essays/81842
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