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Recent Advances in Business Analytics. Selected papers of the 2021 KNOWCON-NSAIS workshop on Business Analytics

Annals of Computer Science and Information Systems, Volume 29

Possible drivers of high performance of European mutual ESG funds—an fsQCA view on sustainable investing

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DOI: http://dx.doi.org/10.15439/2021B2

Citation: Recent Advances in Business Analytics. Selected papers of the 2021 KNOWCON-NSAIS workshop on Business Analytics, Jan Stoklasa, Pasi Luukka and Maria Ganzha (eds). ACSIS, Vol. 29, pages 63–73 ()

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Abstract. The paper applies the tools of fsQCA and theirrecent modifications by Stoklasa, Luukka and Tal\'a\v{s}ek to analyzethe possible drivers of high performance of European ESGfunds. 429 mutual equity growth ESG funds from the Europeanarea are being analyzed. We focus mainly on the connectionof Morningstar sustainability rating with the performance ofthe funds during 2018-2021 measured by Jensen's alpha andthe Sharpe ratio. Other possible drivers of the success ofthese funds are also being explored. We identify the prevailingassumed relationships between funds' sustainability and othercharacteristics with their performance and formulate rules tobe investigated using the fsQCA methodology. More specificallythe possibility of high performance being associated with a highsustainability rating of the funds is explored in detail. Our resultsindicate that although the high performance cannot be clearlyassociated with the high sustainability rating of a fund, highsustainability rating seems to be preventing the low performanceof the fund.

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