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sample t-tests (two-sided, un-paired)72. Furthermore, we performed two-sided paired t-tests73 to investigate whether sustainability funds differ from their specific conventional benchmarks as a measure of the asset management effect. Due to this pairwise comparison, we included benchmarks multiple times if several sustainability funds had the same benchmark. As a control, we also tested the difference between conventional funds and the conventional benchmarks of the sustainability funds by means of Welch two-sample t-tests (two-sided). In this group-wise comparison, we naturally included each benchmark only once. Finally, we performed regression analyses. We specifically used linear models (LM) with Gaussian family distribution to analyse the effect of the different sustainability approaches on the dependent sustainability impact variables of the funds. As control variables, we used the investment focus by region, the benchmark type, the portfolio concentration as well as the tracking error (see chapter 3.2.5).
3.4. Limits of this analysis In this chapter, we summarise the limits of our analysis. 1. The study focused on the capital allocation effect on portfolio impact (see chapter 3.1). By doing so, we did not cover the following topics: ▪ We did not assess greenwashing. To do this, it would have been necessary to assess a sustainability fund’s explicit intention, marketing material, and consulting practices. ▪ Evaluating the capital allocation effect on portfolio impact, as we did in this study, does not cover the entire capital allocation impact of a sustainability fund. As explained in chapter 2.2, sufficiently large market power is required in particular for capital allocation to generate an overall investment impact on the environment and society. ▪ Capital allocation is not the only lever to achieve a positive investment impact. Our research design did not allow us to assess the impact of ESG-related active ownership, i.e. engagement or (proxy) voting. These approaches might imply that a fund is deliberately invested in economic activities with an adverse impact that the investor is working on to improve incrementally. To address the investment impact of engagement or (proxy) voting, we would have needed a radically different study design. However, the decision not to focus on these approaches did not reflect any views on whether they have a positive investment impact.
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A two-sample t-test is a statistical hypothesis test. The test is used to determine whether the means of two groups of datapoints are significantly different from each other. 73 A paired t-test is based on two groups of matched pairs as opposed to a t-test based on two independent groups. It is often used for comparisons of repeated measures, e.g. before vs. after patients receive a drug in clinical tests. Here, we basically compare before vs. after application of sustainability approaches.
INFRAS | 3 May 2021 | Summary
