Investing in Sustainable Development as a Form of Alternative Investments in Financial Markets – Analysis of the Volatility of Rates of Return of Open-End SRI Funds in Poland

Dominika Krawczyńska

Abstract


Theoretical background: Socially responsible investing (SRI) is a specific type of investment, combining both financial objectives and investor preferences regarding the environment, society, or corporate governance. Since the period following the 2007 global financial crisis, a significant increase in interest in assets that meet SRI policies has been observed, which translated into a shift in the mutual fund products offered. SRI investment funds play a significant role in the SRI market due to the size of assets under management. They also have an indirect impact on the interest of individual investors in the theory of responsible investment by adjusting their offerings adequately.

Purpose of the article: The aim of the study is to determine to what extent the performance of open-ended socially responsible investment funds reflects changes in asset prices on the capital market in Poland.

Research methods: The analysis was carried out for the period from 1 January 2020 to 1 January 2022. Daily quotes for SRI funds were used, while only funds that operated continuously during the set period were selected. The WIG and WIGESG indexes were used as stock market benchmarks. Due to the fact that mutual funds are quoted once a day, a simple daily rate of return was used in the study. Using the linear correlation coefficient, a correlation matrix was constructed between the daily returns of the funds and the adopted benchmarks. The study was conducted with the use of the linear regression method to verify the impact of capital market price changes on the returns achieved by SRI mutual funds. Then, using the method of least squares, the model parameters were estimated for SRI funds.

Main findings: The results confirmed the influence of market benchmarks on the development of SRI fund returns in Poland. In addition, the results confirmed that the conventional benchmark (WIG) has a greater impact on fund returns than the ESG benchmark (WIGESG).


Keywords


socially responsible investments; SRI funds; mutual funds; performance evaluation of SRI funds

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DOI: http://dx.doi.org/10.17951/h.2023.57.2.51-65
Date of publication: 2023-06-27 19:34:40
Date of submission: 2022-08-01 16:02:05


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