Bæredygtige investeringer i USA og Europa: Performanceevaluering af bæredygtige investeringer konstrueret med udgangspunkt i ESG og SDG i USA og Europa

Abstract

This thesis is motivated by the increasing focus on sustainable investments in both Europe and the United States, why it aims to examine how the inclusion of sustainability in an investment impacts the financial performance in both geographic areas. Within the literature, there is generally disagreement about which sustainability criteria a sustainable investment should be based on. While the most used sustainability criteria at present is ESG, there is a growing emphasis on also incorporating the UN's 17 Sustainable Development Goals, SDG. Therefore, this thesis finds that an optimal sustainable investment will be based on both ESG and SDG. The research utilizes data from Refinitiv and considers the S&P500 and STOXX600 as investment universes for the US and Europe, respectively. The data includes among other things ESG scores and non-financial metrics for the construction of a self-developed SDG score. The analysis is based on sustainably constructed portfolios, which aims to integrate the combined impact of ESG and SDG. These portfolios will comprise the top 15% of companies with the highest sustainability scores in each parameter. Furthermore, the portfolio has a sector-neutral composition compared to the benchmark and will be evaluated using different performance metrics and factor models. Additionally, separate portfolios for ESG and SDG are established to examine their individual contributions to the overall portfolio. Overall, the thesis finds that in both Europe and the United States, higher risk-adjusted returns can be achieved compared to benchmark, and that it is possible to achieve a limited, positive excess return in Europe. The same conclusion regarding positive excess return can be drawn for the US, albeit at a weak significance level. In Europe, it is found that both the ESG- and SDG-element contribute positively to the combined portfolio, while the SDG-element seems to limit parts of the financial performance of the combined portfolio in the US. The obtained excess returns are of limited size, why it is interesting for future research to investigate how factors such as sector neutrality, transaction costs, and the increasing focus on sustainability may have influenced these.