Expertise among SRI fixed income funds and their management companies

41 Pages Posted: 18 Sep 2015 Last revised: 31 Mar 2017

See all articles by Andreas G. F. Hoepner

Andreas G. F. Hoepner

Smurfit Graduate Business School, University College Dublin; European Commission - DG FISMA

Marcus Nilsson

Sociovestix Labs - a DFKI spin-off

Date Written: March 30, 2017

Abstract

This paper explores if environmental social and governance (ESG) expertise matter for fixed income investments. This investigation is conducted by manually collecting fund and firm characteristics directly from the fund management companies and analysing the performance of a global sample of 108 SRI fixed income funds during the period October 2000 to April 2013. This area has not previously been explored in a fixed income setting, as previous research has investigated how ESG expertise affects the performance of socially responsible investment (SRI) equity funds. Following on from previous research, this paper initially uses the size of SRI assets of fund companies, ESG engagement activities of fund companies, and screening intensity of the funds as proxies for ESG expertise as these have been found to differentiate performance for SRI equity funds. This paper finds that ESG engagement activities are a significant differentiating performance factor. Specifically, funds from fund management companies not involved in ESG engagement activities perform significantly worse indicating the materiality of fund management companies´ ESG expertise and ESG engagement in fixed income investments.

Keywords: bond mutual funds, environmental social and governance (ESG) engagement, environmental social and governance (ESG) expertise, fixed income, performance measurement, responsible investment

JEL Classification: G11, G12, G23

Suggested Citation

Hoepner, Andreas G. F. and Nilsson, Marcus, Expertise among SRI fixed income funds and their management companies (March 30, 2017). Available at SSRN: https://ssrn.com/abstract=2517057 or http://dx.doi.org/10.2139/ssrn.2517057

Andreas G. F. Hoepner

Smurfit Graduate Business School, University College Dublin ( email )

Blackrock, Co. Dublin
Ireland

European Commission - DG FISMA ( email )

2 Rue de Spa
Brussels, 1000
Belgium

Marcus Nilsson (Contact Author)

Sociovestix Labs - a DFKI spin-off ( email )

c/o German Research Center for
Artificial Intelligence (DFKI)
Kaiserslautern, 67663
Germany
07525813580 (Phone)

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