Bæredygtige Investeringer og Aktivt Forvaltede Fonde: En analyse af aktivitet, bæredygtighed og performance

Abstract

The global shift towards an increased emphasis on sustainability has prompted an increased interest in sustainable finance, where investments are measured and selected on the basis of non-financial metrics such as environmental, social, and governance impact, alongside the regular financial metrics such as return and risk. Furthermore, the increased interest in sustainable finance appears to be prevalent for both passively and actively managed investment funds, with regards to both capital flows and supply of sustainable investment products. This thesis examines the relationship between activity, sustainability and performance in actively managed funds and aims to shed light on the effectiveness of actively managed sustainable investment funds. Methodologically, this study utilizes a series of quantitative analyses to assess sample mean values, variable correlations and regression on risk-adjusted performance measures, on the basis of various activity and sustainability measures. The findings reveal a distinct relationship between fund activity and financial performance, where increased levels of activity measured by either Active Share or Tracking Error, generally leads to a lower risk-adjusted financial performance. Contrary to this, the findings reveal a much more nuanced relationship between sustainability measures and financial performance, where certain measures, such as increased Environmental Risk, leads to increased financial performance, whereas an increase to Social Risk leads to a significant decrease in risk-adjusted financial performance. These findings are based on a dataset limited to actively managed Danish investment funds, all of which score a Morningstar Sustainability Rating at Above Average or beer, hence the findings should not be expected to be applicable, when comparing funds that either do not show a certain level of sustainability or active management. This study concludes that actively managed investment funds in the realm of sustainable finance have demonstrated the ability to generate risk-adjusted alpha over a three-year period. However, emerging indications suggest that this may not persist in the future. Furthermore, the study concludes that a significant part of the alpha is derived from sustainability measures, while also indicating that the alpha is partly derived from variables omied from this study. The implications of these findings extend to private investors and offer insights into the impact of fund activity and sustainability measures on risk-adjusted alpha, which may enable investors to make more informed investment decisions, aligned with their sustainability objectives.