The performance differences of Nordic sustainable and conventional mutual funds in 2017-2024 : evidence from the COVID-19 pandemic and the Russo-Ukrainian war
Year: 2024
Type: dissertation
Abstract: This bachelor’s thesis examined the performance of Nordic sustainable and conventional mutual funds from 2017 to 2024. The objective of this thesis was to obtain an insight into the connection between sustainability and the financial success of mutual funds. Additionally, the aim was to assess whether non-crisis and crisis periods influence the performance of the funds, and if the effects differ based on sustainability. \n \nThe data utilized in this thesis consisted of five sustainable and conventional funds and the benchmark index. In the selection of the funds, the European Union’s SFDR framework and ESG scores were applied. The performance was assessed in two time periods, a non-crisis period and a crisis period, which consisted of the COVID-19 pandemic and the Russo-Ukrainian war. The performance of the funds was analysed by average returns and volatilities, in addition to Jensen’s alpha, the Sharpe ratio and Treynor index. Same calculations were performed on the portfolios constructed from the funds. \n \nThe results of the thesis demonstrated that sustainable investing has the capacity to yield efficient returns. Sustainable mutual funds performed superiorly to conventional funds in both periods. During the crisis period, the differences between the portfolios diminished. In addition, the sustainable portfolio was capable of clearly outperforming the market in the economically stable period. The results partially correspond to prior research that examined the performance of sustainable and conventional funds.
Source: LUTPub (LUT University)
Author: Majander, Ada
Institution: Lappeenranta-Lahti University of Technology
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W6986315322