4.1. Overview

As mentioned before, we performed three types of comparisons: ▪ Sustainability funds vs. conventional funds to assess the capital allocation effect of sustainability funds, ▪ Sustainability funds vs. their conventional benchmarks to measure how asset managers influence the portfolio impact of the fund as compared to the benchmark. ▪ Conventional funds vs. the conventional benchmarks of the sustainability funds as a control.

For the portfolio impact assessment of funds and benchmarks, we used the four sustainability measurements as listed in chapter 3.2.2. In terms of the capital allocation effect, we found that the ESG Impact scores of the sustainability funds were significantly higher than those of the conventional funds (Figure 11). While being significant, the difference of 0.04 resp. 9% is barely enough to improve the ESG Impact grade, halfway for instance from C- to C. Furthermore, neither carbon intensities nor the share of critical activities of the sustainability funds were significantly reduced compared to the conventional funds. The sustainability funds, however, showed significantly reduced involvements in major environmental controversies compared to the conventional funds (by 69%).

The analysis for the asset management effect shows that all sustainability measurements of the sustainability funds were significantly improved compared to their conventional benchmarks: the ESG Impact scores of the sustainability funds were significantly higher by 13%. At the same time, carbon intensities as well as the share of critical activities and involvements in major environmental controversies were significantly reduced (by 49% for carbon intensities, by 30% for critical activities and by 92% for involvements in major environmental controversies).

There were no significant differences between any of the sustainability measurements for the control, i.e. the comparison between conventional funds and the conventional benchmarks of the sustainability funds. Therefore, we did not include this comparison in Figure 11.

The results of the regression analysis show that the sustainability approaches hardly affected the dependent variables. In fact, only thematic products influenced the ESG Impact score. Amongst the control variables, the concentration significantly affected ESG Impact scores, carbon intensities and critical activities, whereas the regional investment focus and coverage significantly affected the ESG Impact score.