An Equation with many Variables: Unhiding the Relationship between Sustainability and Investment Performance
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An Equation with many Variables : Unhiding the Relationship between Sustainability and Investment Performance. / Peylo, Benjamin Tobias; Schaltegger, Stefan.
In: Journal of Sustainable Finance & Investment, Vol. 4, No. 2, 03.04.2014, p. 110-126.Research output: Journal contributions › Journal articles › Research › peer-review
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TY - JOUR
T1 - An Equation with many Variables
T2 - Unhiding the Relationship between Sustainability and Investment Performance
AU - Peylo, Benjamin Tobias
AU - Schaltegger, Stefan
PY - 2014/4/3
Y1 - 2014/4/3
N2 - Financial investment performance of stock portfolios is driven by many factors of influence like portfolio diversification, quality of funds management or gravitational effects of market phases. It is, therefore, quite possible that relationships between sustainability and financial performance elude measurability because they may be overshadowed and dominated by other, more powerful or temporarily more influential factors. Using a new quantitative model for portfolio optimisation that simultaneously controls for both financial and sustainability related effects, we investigate whether and how different levels of sustainability in stock portfolios influence investment return when other factors with known influence on investment performance are neutralised. The model is applied to the German Stock Market Index Deutscher Aktienindex (DAX) for the period of 2003–2012 with regard to varying market phases. The findings show a distinct yet nonlinear relationship between sustainability and investment performance that is especially strong in phases of crisis. These results may indicate a business case for socially responsible investment (SRI) that has not yet been fully capitalised with the existing SRI instruments.
AB - Financial investment performance of stock portfolios is driven by many factors of influence like portfolio diversification, quality of funds management or gravitational effects of market phases. It is, therefore, quite possible that relationships between sustainability and financial performance elude measurability because they may be overshadowed and dominated by other, more powerful or temporarily more influential factors. Using a new quantitative model for portfolio optimisation that simultaneously controls for both financial and sustainability related effects, we investigate whether and how different levels of sustainability in stock portfolios influence investment return when other factors with known influence on investment performance are neutralised. The model is applied to the German Stock Market Index Deutscher Aktienindex (DAX) for the period of 2003–2012 with regard to varying market phases. The findings show a distinct yet nonlinear relationship between sustainability and investment performance that is especially strong in phases of crisis. These results may indicate a business case for socially responsible investment (SRI) that has not yet been fully capitalised with the existing SRI instruments.
KW - Sustainability sciences, Management & Economics
KW - socially responsible investment (SRI)
KW - financial performance
KW - sustainability
KW - socially responsible investment (SRI)
KW - portfolio management
KW - portfolio optimisation
KW - financial performance
KW - sustainability
UR - http://www.scopus.com/inward/record.url?scp=84915828765&partnerID=8YFLogxK
U2 - 10.1080/20430795.2013.837808
DO - 10.1080/20430795.2013.837808
M3 - Journal articles
VL - 4
SP - 110
EP - 126
JO - Journal of Sustainable Finance and Investment
JF - Journal of Sustainable Finance and Investment
SN - 2043-0795
IS - 2
ER -