A comparison of the performance of Green bond funds, bond Mutual funds and bond ETFs

Detalhes bibliográficos
Autor(a) principal: Rodrigues, Ana Rita Rosado
Data de Publicação: 2023
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/152103
Resumo: Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
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spelling A comparison of the performance of Green bond funds, bond Mutual funds and bond ETFsRisk-adjusted performanceGreen bond fundBond mutual fundBond ETFESGFinancial crisisSDG 8 - Decent work and economic growthDissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and ManagementThis dissertation measures and compares the performance of green bond funds, bond mutual funds and bond ETFs, all domiciled in the European region, from January 2005 to December 2019. This period has been divided into three subperiods in order to analyse the performance before, during and after the financial crisis of 2007-2008. The sample consists of monthly data for a total of 3,484 funds and their performance was assessed by using traditional risk-adjusted measures, namely Sharpe ratio, Treynor ratio, and Jensen’s Alpha. The main findings show that, on average, bond mutual funds outperformed bond ETFs and green bond funds in all the studied subperiods. Furthermore, when analysing each fund category separately, all fund categories have performed best during the crisis period, which can be considered a fly-to-safety event, where the prices of safer assets tend to rise. Regarding the performance of green bond funds, although they have outperformed their peers at some points in time, there is no clear evidence to support this. However, some investors may prefer to invest in this type of asset due to the green bond funds' environmental contribution.Oliveira, Luís Alberto Ferreira deRUNRodrigues, Ana Rita Rosado2023-04-24T16:44:19Z2023-04-102023-04-10T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/152103TID:203268636enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:34:28Zoai:run.unl.pt:10362/152103Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:54:48.039443Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv A comparison of the performance of Green bond funds, bond Mutual funds and bond ETFs
title A comparison of the performance of Green bond funds, bond Mutual funds and bond ETFs
spellingShingle A comparison of the performance of Green bond funds, bond Mutual funds and bond ETFs
Rodrigues, Ana Rita Rosado
Risk-adjusted performance
Green bond fund
Bond mutual fund
Bond ETF
ESG
Financial crisis
SDG 8 - Decent work and economic growth
title_short A comparison of the performance of Green bond funds, bond Mutual funds and bond ETFs
title_full A comparison of the performance of Green bond funds, bond Mutual funds and bond ETFs
title_fullStr A comparison of the performance of Green bond funds, bond Mutual funds and bond ETFs
title_full_unstemmed A comparison of the performance of Green bond funds, bond Mutual funds and bond ETFs
title_sort A comparison of the performance of Green bond funds, bond Mutual funds and bond ETFs
author Rodrigues, Ana Rita Rosado
author_facet Rodrigues, Ana Rita Rosado
author_role author
dc.contributor.none.fl_str_mv Oliveira, Luís Alberto Ferreira de
RUN
dc.contributor.author.fl_str_mv Rodrigues, Ana Rita Rosado
dc.subject.por.fl_str_mv Risk-adjusted performance
Green bond fund
Bond mutual fund
Bond ETF
ESG
Financial crisis
SDG 8 - Decent work and economic growth
topic Risk-adjusted performance
Green bond fund
Bond mutual fund
Bond ETF
ESG
Financial crisis
SDG 8 - Decent work and economic growth
description Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
publishDate 2023
dc.date.none.fl_str_mv 2023-04-24T16:44:19Z
2023-04-10
2023-04-10T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/152103
TID:203268636
url http://hdl.handle.net/10362/152103
identifier_str_mv TID:203268636
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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