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

Welling Fanni, Stoklasa Jan

Annals of Computer Science and Information Systems

2021

Vol. 29

63--73

The paper applies the tools of fsQCA and their recent modifications by Stoklasa, Luukka and Talášek to analyze the possible drivers of high performance of European ESG funds. 429 mutual equity growth ESG funds from the European area are being analyzed. We focus mainly on the connection of Morningstar sustainability rating with the performance of the funds during 2018-2021 measured by Jensen's alpha and the Sharpe ratio. Other possible drivers of the success of these funds are also being explored. We identify the prevailing assumed relationships between funds' sustainability and other characteristics with their performance and formulate rules to be investigated using the fsQCA methodology. More specifically the possibility of high performance being associated with a high sustainability rating of the funds is explored in detail. Our results indicate that although the high performance cannot be clearly associated with the high sustainability rating of a fund, high sustainability rating seems to be preventing the low performance of the fund.