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Investments in ESG-Rated Mutual Funds: Is Good Better than Great?

Bernadette M. Ruf, Nandita Das, Swarn Chatterjee and Aman Sunder
The Journal of Wealth Management Summer 2019, 22 (1) 56-61; DOI: https://doi.org/10.3905/jwm.2019.1.070
Bernadette M. Ruf
is an accounting professor at Delaware State University in Dover, DE
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Nandita Das
is an associate professor and director of fianncial planning at Delaware State University in Dover, DE
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Swarn Chatterjee
is a professor of fianncial planning at the University of Georgia in Athens, GA
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Aman Sunder
is the chair of the graduate degree program at the College for Financial Planning in Centennial CO
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Abstract

Socially responsible mandated mutual funds are a popular class of funds characterized by strategies that address sustainability, responsibility, and impact. The dramatic growth of socially responsible mandated mutual funds during the last decade, makes it important to understand how their social metrics (environmental, social, and governance; ESG) relates to their financial performance. This article compares the risk-adjusted returns of socially responsible mutual funds (SRMF) with funds rated by Morningstar® Portfolio ESG ScoreTM grouped into low, medium, and high ratings. We find that during the period of pre-recession boom, the funds with high-ESG ratings had a significantly higher risk-adjusted performance than did funds with a low-ESG or mid-ESG rating. This trend continued during the early parts of the Great Recession. During periods of economic recovery and growth, SRMF rated low on ESG performed significantly better than highly rated SRMFs. For medium rated SRMFs, other than prior to the Great Recession, fund performance was not consistently significantly different from highly rated SRMFs.

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The Journal of Wealth Management: 22 (1)
The Journal of Wealth Management
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Summer 2019
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Investments in ESG-Rated Mutual Funds: Is Good Better than Great?
Bernadette M. Ruf, Nandita Das, Swarn Chatterjee, Aman Sunder
The Journal of Wealth Management Apr 2019, 22 (1) 56-61; DOI: 10.3905/jwm.2019.1.070

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Investments in ESG-Rated Mutual Funds: Is Good Better than Great?
Bernadette M. Ruf, Nandita Das, Swarn Chatterjee, Aman Sunder
The Journal of Wealth Management Apr 2019, 22 (1) 56-61; DOI: 10.3905/jwm.2019.1.070
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