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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Sind Nachhaltigkeitsfonds nachhaltiger und finanziell erfolgreicher als konventionelle Anlagefonds? Eine Analyse von 200 Aktienfonds. |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Date | 2021 |
| Abstract Text | This master thesis is about the sustainability and the financial performance of a selection of sustainability funds (Nachhaltigkeitsfonds, NF) and conventional funds (konventionelle Anlagefonds, KF) that are approved in Switzerland. In the first part it is analyzed if NF have a higher ESG rating than comparable KF. Additionally, it is analyzed which sustainability investment strategies (Nachhaltigkeitsanlagestrategien, NAS) applied by NF influence the ESG rating of a fund. This evaluation is based on the portfolios of the funds on the 31st of December 2019. The ESG rating of Refinitiv and Inrate are used as the measure of sustainability. It can be shown that NF have a higher ESG rating than KF. Moreover, funds with an investment focus «Switzerland» and «Europe» have a higher and funds with an investment focus «North America» have a lower ESG rating on average than funds with an investment focus «Global». The NAS «positive screening» and «negative screening» correlate positively with the ESG rating of a fund. The NAS «engagement» in contrast correlates negatively with the ESG rating. In the second part it is analyzed if NF and KF differ in their financial performance in a time window from July 2016 to June 2020. Jensen’s Alpha (Jensen, 1968) is estimated with the CAPM and the Five Factor Model (FFM) (Fama & French, 2015) with daily total return data and the Fama French factors. First, it is analyzed if the average financial performance of NF or KF is different from the regional benchmarks and if NF and KF differ from each other in their financial performance. The analysis shows no clear relationship. In a second analysis with estimated alphas for each fund and a Wilcoxon test (Wilcoxon, 1945), there is some evidence that NF perform better than KF. The Wilcoxon test is statistically significant over 3 time windows (2016-2020, 2017-2020, 2019-2020) with the CAPM and the FFM. So, there is evidence that the NF performed better in these 3 time windows compared to the KF. In no analysis there is evidence that NF perform worse than KF. |
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