Does the asset allocation policy affect the performance of climate-themed funds? Empirical evidence from the Scandinavian mutual funds market

Łukasz Dopierała , Magdalena Mosionek-Schweda , Daria Ilczuk


The aim of this paper is to evaluate the performance of climate-themed mutual funds, taking into consideration the structure of their asset allocation, especially their geographical focus of investment. Additionally, the influence of differences in the industry allocations on the funds’ investment results is evaluated. Our analyses are based on climate-friendly mutual funds registered in Scandinavian countries (i.e., Denmark, Norway, and Sweden) during 2010–2019. To classify the analyzed funds as climate-friendly, we use the relative carbon footprint measure, which is a novelty in studies on ESG funds (meeting the environmental, social, and corporate governance criteria). In our analyses, we use the absolute performance as well as the relative performance methods. The obtained results confirm that geographical and industrial asset allocations significantly affect the performance of Scandinavian climate-friendly funds. On the basis of our studies, we may state that analyzed mutual funds do not get abnormal returns, and their performance mostly depends on the market state. Additionally, the unconditional firm size factor did not influence the return of particular portfolios, while the conditional firm size factor was significant for European, global, and North American funds. Moreover, the firm value factor was significant. Finally, the momentum factor was only significant for the emerging markets portfolio when it reached positive values.
Author Łukasz Dopierała (FE/IIB)
Łukasz Dopierała,,
- Institute of International Business
, Magdalena Mosionek-Schweda (FE/IIB)
Magdalena Mosionek-Schweda,,
- Institute of International Business
, Daria Ilczuk
Daria Ilczuk,,
Journal seriesSustainability, ISSN 2071-1050, (N/A 70 pkt)
Issue year2020
Publication size in sheets1.10
Keywords in Englishclimate-friendly mutual funds, performance evaluation, socially responsible investment, ESG funds
ASJC Classification3305 Geography, Planning and Development; 2105 Renewable Energy, Sustainability and the Environment; 2308 Management, Monitoring, Policy and Law
Languageen angielski
LicenseRepository; published final; Uznanie Autorstwa (CC-BY); with publication
Dopierala_Lukasz_Does_the_asset_allocation_policy_affect_2020.pdf Dopierala_Lukasz_Does_the_asset_allocation_policy_affect_2020.pdf 1,23 MB
Score (nominal)70
Score sourcejournalList
ScoreMinisterial score = 70.0, 14-05-2020, ArticleFromJournal
Publication indicators WoS Citations = 0.000; Scopus SNIP (Source Normalised Impact per Paper): 2016 = 0.911; WoS Impact Factor: 2018 = 2.592 (2) - 2018=2.801 (5)
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LicencjaUtwór jest udostępniany na licencji Creative Commons Uznanie autorstwa 4.0 Międzynarodowe (CC BY 4.0)
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