TBLI EUROPE 2015 - ESG Analyses and Indices - Theodor Cojoianu
-
Upload
asn-bank -
Category
Economy & Finance
-
view
320 -
download
1
Transcript of TBLI EUROPE 2015 - ESG Analyses and Indices - Theodor Cojoianu
![Page 1: TBLI EUROPE 2015 - ESG Analyses and Indices - Theodor Cojoianu](https://reader031.fdocuments.us/reader031/viewer/2022021921/58ec843e1a28ab666f8b469b/html5/thumbnails/1.jpg)
European ESG and Cleantech
Mutual Fund Performance
T.F. Cojoianua, Dr. A.G.F. Hoepnerb
a Doctoral Researcher – Smith School of Enterprise and the Environment,
University of Oxford.b Associate Professor of Finance – ICMA Centre, Henley Business School,
University of Reading.
![Page 2: TBLI EUROPE 2015 - ESG Analyses and Indices - Theodor Cojoianu](https://reader031.fdocuments.us/reader031/viewer/2022021921/58ec843e1a28ab666f8b469b/html5/thumbnails/2.jpg)
Presentation Outline1. Global Investment Outlook
2. European ESG, Cleantech and Conventional Mutual Fund Performance
3. Does Asset Manager’s ESG Sophistication Matter in Cleantech Mutual Fund Performance?
![Page 3: TBLI EUROPE 2015 - ESG Analyses and Indices - Theodor Cojoianu](https://reader031.fdocuments.us/reader031/viewer/2022021921/58ec843e1a28ab666f8b469b/html5/thumbnails/3.jpg)
![Page 4: TBLI EUROPE 2015 - ESG Analyses and Indices - Theodor Cojoianu](https://reader031.fdocuments.us/reader031/viewer/2022021921/58ec843e1a28ab666f8b469b/html5/thumbnails/4.jpg)
Setting the Scene – Global Equity/Debt Outstanding
Source: McKinsey Global Institute (2013) - Financial Assets Database Analysis (183 Countries)
Global Stock of Equity and Debt Outstanding ($ trillion) – constant 2011 exchange rates
![Page 5: TBLI EUROPE 2015 - ESG Analyses and Indices - Theodor Cojoianu](https://reader031.fdocuments.us/reader031/viewer/2022021921/58ec843e1a28ab666f8b469b/html5/thumbnails/5.jpg)
Setting the Scene – New Cleantech Investment
Source: Bloomberg New Energy Finance (2014) (billion $ / year)
![Page 6: TBLI EUROPE 2015 - ESG Analyses and Indices - Theodor Cojoianu](https://reader031.fdocuments.us/reader031/viewer/2022021921/58ec843e1a28ab666f8b469b/html5/thumbnails/6.jpg)
Research Aims1. Create a methodology that eliminates survivorship bias
from mutual fund performance studies.
2. Conduct a financial performance analysis which more closely matches the asset manager/fund selection process of asset owners.
Research Questions1. Who outperforms the market? Conventional, ESG or
green mutual funds?
2. Does asset manager’s sophistication in responsible investment make a difference to the performance of green mutual funds?
![Page 7: TBLI EUROPE 2015 - ESG Analyses and Indices - Theodor Cojoianu](https://reader031.fdocuments.us/reader031/viewer/2022021921/58ec843e1a28ab666f8b469b/html5/thumbnails/7.jpg)
Fund Selection and Matching
Fund Type Number of Funds Unique Funds
Green* 37 37
Conventional** 111 matches 70
ESG/SRI** 36 matches
(Lehman fund not covered anymore)
21
*Green funds are selected from EurekaHedge Database.
**Conventional and ESG/SRI matches are obtained from Thomson Reuters Datastream.
• Lehnen & Hoepner (2009) match each of the 37 green European domiciled mutual funds with 3 corresponding conventional mutual funds and 1 ESG/SRI mutual fund.
• Matches have very close inception dates and sizes, as well as similar investment universe (European or Global Equities).
![Page 8: TBLI EUROPE 2015 - ESG Analyses and Indices - Theodor Cojoianu](https://reader031.fdocuments.us/reader031/viewer/2022021921/58ec843e1a28ab666f8b469b/html5/thumbnails/8.jpg)
Mutual Fund Performance Measurement• Used a standard Carhart (1997) 4 factor model
tititiftmtiiftit MOMHMLSMBRRRR )(
Fund Return
Risk-Free Rate
AbnormalReturn
Market Coefficient
Market Return
Risk-Free Rate
Small Market Cap-
Big Market Cap(Growth Investment Strategy)
High – LowBook-to-Market Ratios
(Value Investment Strategy)
Momentum Investment Strategy
![Page 9: TBLI EUROPE 2015 - ESG Analyses and Indices - Theodor Cojoianu](https://reader031.fdocuments.us/reader031/viewer/2022021921/58ec843e1a28ab666f8b469b/html5/thumbnails/9.jpg)
Results – Delisting Rate Post 2009
81%
19%
Green Funds Delisting Percentage (37 funds)
Active Delisted
63%
37%
Conventional Funds Delisting Percentage (70 funds)
Active Delisted
53%47%
ESG/SRI Funds Delisting Percentage (21 funds)
Active Delisted
![Page 10: TBLI EUROPE 2015 - ESG Analyses and Indices - Theodor Cojoianu](https://reader031.fdocuments.us/reader031/viewer/2022021921/58ec843e1a28ab666f8b469b/html5/thumbnails/10.jpg)
Results – Financial Performance
38%
13%
49%
Green Funds Performance (37 funds)
59%
41%
Conventional Funds Performance (70 funds)
34%
33%
33%
ESG/SRI Funds Performance (21 funds)
![Page 11: TBLI EUROPE 2015 - ESG Analyses and Indices - Theodor Cojoianu](https://reader031.fdocuments.us/reader031/viewer/2022021921/58ec843e1a28ab666f8b469b/html5/thumbnails/11.jpg)
Several observations• ESG/SRI European domiciled funds started pre-2009 tend to
have a higher probability of being de-listed than conventional or green funds and tend to underperform the market.
• Green funds tend to have a significant tilt towards small cap companies, suggesting that the low carbon technologies public equity space is yet to mature.
• Green funds tend to perform on average on par with conventional funds, and in the past 2 years have also been shown to outperform (Ibikunle & Steffen, 2014).
![Page 12: TBLI EUROPE 2015 - ESG Analyses and Indices - Theodor Cojoianu](https://reader031.fdocuments.us/reader031/viewer/2022021921/58ec843e1a28ab666f8b469b/html5/thumbnails/12.jpg)
Is asset manager’s ESG technical expertise relevant in cleantech investing?
• All equity only green funds are selected from the CSSP/your SRI database with inception date starting 2008 (26 in total).
• Out of the 26 funds, 7 funds belong to asset managers who run only ESG investment strategies and products.
• The remaining 19 funds are run by asset managers who offer both conventional and responsible investment funds.
![Page 13: TBLI EUROPE 2015 - ESG Analyses and Indices - Theodor Cojoianu](https://reader031.fdocuments.us/reader031/viewer/2022021921/58ec843e1a28ab666f8b469b/html5/thumbnails/13.jpg)
15%
57%
14%
14%
Green Funds (ESG Asset Management Houses -7 funds)
16%
26%
26%
32%
Green Funds (Generalist Asset Manager – 19 funds)
Is asset manager’s ESG technical expertise relevant in cleantech investing?