Balancing values and value: ESG (environmental, social and governance) and performance trade-offs in multi-asset funds

Title (eng)
Balancing values and value: ESG (environmental, social and governance) and performance trade-offs in multi-asset funds
Author
Abednego Brandy Opey
Advisor
Anna Matysek
Advisor
Eva-Maria Bauer
Description (eng)
This study explores the connection between environmental, social, and governance (ESG) classifications and the financial performance of European multi-asset funds. It utilises the Sustainable Finance Disclosure Regulation (SFDR) framework to categorise these funds effectively. Adopting a dual-leg analytical framework, the research evaluates both structural ESG integration under SFDR Articles 6, 8, and 9, as well as corresponding fund performance across risk-adjusted metrics. Data were drawn from 269 funds domiciled in the European Union, with classification and performance indicators sourced from Refinitiv and verified through regulatory disclosures. Quantitative analysis employed Modern Portfolio Theory (MPT) to assess return, volatility, Sharpe, Sortino, and Treynor ratios, while stakeholder theory informed the interpretation of ESG classification as both a regulatory and reputational signal. The findings reveal that Article 6 funds consistently delivered the highest average returns over five- and ten-year horizons, followed by Article 8 funds. Article 9 funds showed the lowest returns. In terms of risk-adjusted metrics, Article 6 and 8 funds achieved positive Sharpe ratios over longer periods, while Article 9 funds underperformed and exhibited higher volatility. Also, emissions data showed significant overlap across SFDR categories, with some Article 6 funds outperforming Article 8 and 9 funds in emissions metrics, raising concerns about classification consistency. The study concludes that higher ESG ambition (Article 9) does not guarantee superior financial performance or lower risk, suggesting a potential trade-off between sustainability goals and returns. These results hold a significant impact on fund managers, institutional investors, and policymakers engaged in sustainable finance.
Keywords (eng)
ESG integrationSustainable Finance Disclosure Regulation (SFDR)multi-asset fundsrisk-adjusted performancestakeholder theorysustainable investing
Type (eng)
Master theses
Language
[eng]
Persistent identifier
https://door.donau-uni.ac.at/o:5743
Date created
2025
License
All rights reserved