University of Twente Student Theses


The impact of SRI policy on the performance of Dutch pension funds

Mooijaart, J.B. (2022) The impact of SRI policy on the performance of Dutch pension funds.

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Abstract:This study examines the impact of SRI on the performance of Dutch pension funds. Previous studies analyzed the relationship between SRI and performance. They analyzed the relationship between screening intensity and fund performance and often use mutual funds or portfolios that were created by researchers. However, little research has been done on the topic of SRI and pension fund performance. Pension fund performance is measured in two different ways: 1) the excess return, and 2) the Sharpe ratio. The excess returns are determined by comparing the absolute returns of the entire portfolio, the asset class equity, and the asset class fixed-income securities to internal benchmarks and standard benchmarks. The VBDO benchmark is used to determine the SRI scores and consists of four different categories: 1) governance, 2) policy, 3) implementation, and 4) accountability. The data sample that is used in this study consists of the largest 48 pension funds between 2012 and 2015. The regression results show that policy has a significant negative effect on portfolio return and implementation has a significant positive effect on portfolio return. The results are counterintuitive since the results indicate that including SRI in the policy reduces portfolio performance, but implementing the policy increases the portfolio return. Comparing equity return to a standard benchmark shows similar results. After combining the governance, policy, implementation, and accountability score into one SRI score, the results do not show a significant relationship between SRI and pension fund performance. However, when the fixed-income securities returns are compared to a standard benchmark, the results show a significant positive relationship between SRI and fixed-income securities.
Item Type:Essay (Master)
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:85 business administration, organizational science
Programme:Business Administration MSc (60644)
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