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A comparison of the performance of Green bond funds, bond Mutual funds and bond ETFs
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Resumo(s)
This dissertation measures and compares the performance of green bond funds, bond mutual funds and bond ETFs, all domiciled in the European region, from January 2005 to December 2019. This period has been divided into three subperiods in order to analyse the performance before, during and after the financial crisis of 2007-2008. The sample consists of monthly data for a total of 3,484 funds and their performance was assessed by using traditional risk-adjusted measures, namely Sharpe ratio, Treynor ratio, and Jensen’s Alpha. The main findings show that, on average, bond mutual funds outperformed bond ETFs and green bond funds in all the studied subperiods. Furthermore, when analysing each fund category separately, all fund categories have performed best during the crisis period, which can be considered a fly-to-safety event, where the prices of safer assets tend to rise. Regarding the performance of green bond funds, although they have outperformed their peers at some points in time, there is no clear evidence to support this. However, some investors may prefer to invest in this type of asset due to the green bond funds' environmental contribution.
Descrição
Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
Palavras-chave
Risk-adjusted performance Green bond fund Bond mutual fund Bond ETF ESG Financial crisis SDG 8 - Decent work and economic growth