ESG fund performance and the coronavirus pandemic: an analysis of the United States, Italy, and Brazil

• Autor(a) principal: CAVAZZONI, Pietro
• Data de Publicação: 2023
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Biblioteca Digital de Teses e Dissertações do FECAP
• Texto Completo: http://tede.fecap.br:8080/handle/123456789/1102
• topic: COVID-19 (Disease) - Economic aspects; Performance indicators - Brazil; Investment funds.; COVID-19 (Disease) - Aspectos econômico; ADMINISTRAÇÃO DE EMPRESAS

This research aims to evaluate the relationship between ESG scores and funds performance before and during the COVID-19 pandemic in Italy, Brazil, and the US. The literature on sustainability and investment performance in the stock markets brings mixed results, with some studies showing better performance for responsible investments and others showing worse performance due to, for instance, lower diversification. However, some studies show sustainable investments are more resilient during moments of economic uncertainty so ESG funds could have been a safer investment during the COVID-19 pandemic. Analyzing a total of 3052 funds from the US, 32 from Italy, and 2073 from Brazil from April-2013 to April-2023, and considering four different measures of performance: (i) excess total returns to the risk-free rate, (ii) Sharpe Ratio, (iii) risk-adjusted returns according to the CAPM, and (iv) risk-adjusted returns according to the Four Factor Model, we investigate how are ESG ratings related with funds performance before and during the pandemic. For the Italian funds, neither the ESG scores nor the pandemic period is related to performance. For the Brazilian funds, considering the risk-adjusted returns, though no significant performance is observed for different ESG levels nor during the pandemic in general, funds with higher ESG scores performed better in the pandemic period. For the US, though funds with higher ESG scores performed less in general, they were more resilient during the pandemic, with better (or less bad) performance.