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Table 8: Results of t-tests comparing conventional funds and the conventional benchmarks of the sustainability funds ESG Impact [A+; D-] Carbon intensity resp. [1; 0] (tCO2eq / mUSD revenue)
Critical activities (% revenue)
Major environmental controversies (% involvement)
p-value
0.459, not sign.
0.871, not. sign.
0.370, not. sign.
0.358, not sign.
Ø conventional funds
0.48
1061
14%
1.2%
Ø benchmarks
0.46
1090
16%
1.8%
* significant at 0.05-level, ** significant at 0.01-level, *** significant at 0.001-level Source: Inrate ESG Impact data as of October 2020 and Climate Impact data as of October 2020.
Table 9: Results of t-tests comparing the percentage of critical activities in conventional funds and the conventional benchmarks of the sustainability funds Agriculture & fishing
Mining & metal production
Fossil fuels
Cement production
Transportation
Defence
Nuclear energy
Genetic engineering
0.213, not sign.
0.936, not sign.
0.652, not sign.
0.581, not sign.
0.209, not sign.
0.192, not sign.
0.245, not sign.
0.906, not sign.
Ø conventional funds
1.5%
1.5%
6.4%
0.3%
3.2%
0.7%
0.4%
1.8%
Ø conventional benchmarks
1.0%
1.5%
7.1%
0.3%
4.8%
1.0%
0.6%
1.9%
p-value
* significant at 0.05-level, ** significant at 0.01-level, *** significant at 0.001-level Source: Inrate ESG Impact data as of October 2020.
4.3. Regression: effects of sustainability approaches on the funds’ portfolio impact We investigated the effects of seven sustainability approaches (best-in-class, engagement, ESG integration, exclusion, impact investment, positive selection, thematic sustainability approach) on the portfolio impact of sustainability funds, compared to the portfolio impact of conventional funds. The impact was measured with the four dependent impact variables (see chapter 3.2.2). This way we could examine if the application of a sustainability approach effectively enhanced the sustainability impact of a portfolio. As a control, we included the regional investment focus, the benchmark type, portfolio concentration and tracking error in the regression models. Amongst the sustainability approaches, positive selection and thematic sustainability approaches each significantly improved one of the dependent impact variables (Table 10):
INFRAS | 3 May 2021 | Summary
