US Sustainable Mutual Funds: A COVID-19 Perspective
Abstract
We analyze the performance and flows of sustainable US active equity mutual funds from September 2018 to December 2023, focusing on the COVID-19 market crash. Utilizing panel data, we find that 5-globe funds outperform 1-globe funds during good economic times and underperform in bad times. Additionally, 5-globe funds performance is less resilient during the COVID-19 market crash than 1-globe funds. Analyzing fund flows, our research supports a ’flight to quality’ effect, where investors shift their funds away from 1-globe funds during times of crisis. Furthermore, we identify that 1-globe funds significantly accelerate their flows compared to 5-globe funds post-crash relative to pre-crash. This suggests that investors treat sustainability as a luxury, investing in it primarily
during good economic times.
Description
Masteroppgave(MSc) in Master of Science in Sustainable Finance, Handelshøyskolen BI, 2024