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Table 10: Effects of sustainability approaches and control variables Variable
ESG Impact [A+; D-] resp. [1; 0]
Carbon intensity (tCO2eq / mUSD revenue)
Critical economic activities (% revenue)
Major environmental controversies (% involvement)
Best-in-class (n=16)
no sig. influence
no sig. influence
no sig. influence
no sig. influence
Engagement (n=23)
no sig. influence
no sig. influence
no sig. influence
no sig. influence
no sig. influence
no sig. influence
no sig. influence
ESG integration (n=19)
no sig. influence
Exclusion (n=42)
no sig. influence
no sig. influence
no sig. influence
no sig. influence
Impact investment no sig. influence (n=5)
no sig. influence
no sig. influence
no sig. influence
Positive selection (n=27)
no sig. influence
no sig. influence
-0.9% p-value=0.020 *
no sig. influence
no sig. influence
no sig. influence
Global: -0.02 no sig. influence p-value<0.001 *** USA/N-America: -0.06 p-value<0.001 ***
no sig. influence
Regional investment focus
USA/N-America: +1.1% p-value=0.017 *
Benchmark type
no sig. influence
no sig. influence
no sig. influence
Concentration
conc. +0.01 → +0.005 conc. +0.01 → -58 p-value=0.025 * p-value=0.027 *
Tracking error
no sig. influence
Coverage
cov. +0.01 → +0.001 p-value=0.026 *
no sig. influence
Thematic products +0.04 (n=11) p-value=0.002 **
no sig. influence
conc. +0.01 → -1% p-value=0.003 **
no sig. influence
no sig. influence
no sig. influence
no sig. influence
no sig. influence
no sig. influence
no sig. influence
This table summarises the results from the four regression models. We report estimates and p-values of significant variables. * significant at 0.05-level, ** significant at 0.01-level, *** significant at 0.001-level Source: Inrate ESG Impact data and Climate Impact data as of October 2020.
4.4. Case studies 4.4.1. Case study 1: ESG fund The fund we examine in this case study is an example of a fund that included “ESG” in its name but failed quite clearly to deliver on this premise. The fund was passively managed, i.e. aimed to replicate the performance of its sustainability benchmark, which had a regional focus on the USA. The sustainability approaches used in the company selection for the benchmark were exclusion criteria and best-in-class. In this case, we knew that the exclusion was focused on
INFRAS | 3 May 2021 | Summary
