What is the impact of United Nations Sustainable Development Goals on investment funds? / Benjamin HERNANDEZ / 2019

Titre : What is the impact of United Nations Sustainable Development Goals on investment funds? Type de document : Mémoire Auteurs : Benjamin HERNANDEZ, Auteur Année de publication : 2019 Note générale : Pour accéder aux fichiers PDF, merci de vous identifier sur le catalogue avec votre compte Office 365 via le bouton CONNEXION en haut de page. Langues : Anglais (eng) Mots-clés : Management DEVELOPPEMENT DURABLE ; ECONOMIE SOCIALE ET SOLIDAIRE ; FONDS D'INVESTISSEMENT ; ONU ; ROI Résumé : The purpose of this article is to demonstrate the impact of the sustainable development goals launched by the United Nations in 2015 on the performance of investment funds. To do this, a comparison of the returns of 86 socially responsible funds selected on the basis of different criteria (climate, environment, diversity, Human Rights and Labor) was made against 965 traditional funds, which do not include any criteria in their selections. The Fama-French 3 factor model was also used to determine the influence of the different criteria on abnormal returns. The results of this study are firstly that until 2015 SRI funds outperformed traditional funds but that this trend has been reversed since 2015. Indeed, the average returns at 10, 7, 5 and 3 years are higher for SRI funds than for traditional funds. Nevertheless, the highest earnings returns and losses were achieved by traditional funds. The one-year returns show different results with outperformance for SRI funds compared to traditional funds. It was also determined that abnormal returns could not be explained by the different selection criteria for SRI funds but only by market trends. Indeed, a correlation was observed between the different criteria and the SMB factor of the Fama-French model. It therefore seems that portfolios invest mainly in small-cap companies, which, according to the Fama-French model, explains the outperformance of the funds. Note de contenu : Bibliographie p. 26 Programme : PGE-Reims Spécialisation : Finance d’Entreprise - Corporate Finance Permalink : https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=496424