Expertise among SRI fixed income funds and their management companies
41 Pages Posted: 18 Sep 2015 Last revised: 31 Mar 2017
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: Suggested Citation