Performance comparison of sustainable and conventional exchange traded funds for German private investors
Bernstein, Christian (2020)
Pro gradu -tutkielma
2020
School of Business and Management, Kauppatieteet
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe2020060139944
https://urn.fi/URN:NBN:fi-fe2020060139944
Tiivistelmä
This thesis investigates two recent trends of the financial world: sustainable and responsible investing and passive asset management with Exchange Traded Funds (ETFs). Within this context, the performance of sustainable and responsible ETFs will be compared with conventional ETFs in order to assess whether it might be beneficial for private investors to combine both trends in terms of the actual portfolio performance.The study covers a time frame of 260 weeks or five years, from 01.11.2013 to 19.10.2018.
The used data consists of ETFs that are available on the German market only. The data is based on Thomson Reuters Datastream as well as searching for available ETFs at www.justetf.com. For performance comparison, different factor models have been applied, i.e. the CAPM, the Fama-French 3- and 5-factor model as well as the Carhartt 4-factor model. The analysis is further complemented by the Sharpe ratio as a total risk-adjusted performance measure.
The empirical results show discussable outcomes. While making SRIs with ETFs, the performance is not worse compared to conventional ETFs. However, the supply of sustainable ETFs is still relatively low, leading to less diversification opportunities and possibly higher costs and risks due to their low volume.
The used data consists of ETFs that are available on the German market only. The data is based on Thomson Reuters Datastream as well as searching for available ETFs at www.justetf.com. For performance comparison, different factor models have been applied, i.e. the CAPM, the Fama-French 3- and 5-factor model as well as the Carhartt 4-factor model. The analysis is further complemented by the Sharpe ratio as a total risk-adjusted performance measure.
The empirical results show discussable outcomes. While making SRIs with ETFs, the performance is not worse compared to conventional ETFs. However, the supply of sustainable ETFs is still relatively low, leading to less diversification opportunities and possibly higher costs and risks due to their low volume.