B. Further Evaluations

Figure 24: Capital allocation effect across the different critical economic activities

Distribution of the raw data of the conventional and sustainability funds for the eight different types of critical activities. For a description of how to read boxplots, see Figure 12.

Source: Inrate ESG Impact data as of October 2020

Figure 25: Asset management effect across the different critical economic activities

Distribution of the raw data of the sustainability funds and their conventional benchmarks for the eight different types of critical activities. For a description of how to read boxplots, see Figure 12.

Source: Inrate ESG Impact data as of October 2020

Figure 26: Conventional funds compared to the conventional benchmarks of the sustainability funds (control) across the different critical economic activities

Distribution of the raw data of the sustainability funds and their conventional benchmarks for the eight different types of critical activities. For a description of how to read boxplots, see Figure 12.

Source: Inrate ESG Impact data as of October 2020

Table 13: Effects of sustainability approaches and control variables

Variable ESG Impact [A+; D-] resp. [1; 0]

Best-inclass (n=16) Engagement (n=23) ESG integration (n=19) Exclusion (n=42) Impact investment (n=5) Positive selection (n=27) Thematic products (n=11)

Regional investment focus

Benchmark type

Concentration

+0.02 p-value=0.054 not sign. +4 p-value=0.978 not sign. +0.7% p-value=0.752 not sign. -0.05 p-value=0.242 not sign.

+0.01 p-value=0.442 not sign. +7 p-value=0.970 not sign. -0.3% p-value=0.172 not sign. +0.06% p-value=0.922 not sign.

-0.01 p-value=0.607 not sign. -17 p-value=0.925 not sign. -2.7% p-value=0.367 not sign. -0.2% p-value=0.744 not sign.

+0.02 p-value=0.057 not sign. -145 p-value=0.301 not sign. -3.2% p-value=0.183 not sign. -0.1% p-value=0.813 not sign.

-0.02 p-value=0.173 not sign. +49 p-value=0.794 not sign. +3.3% p-value=0.293 not sign. +0.2% p-value=0.690 not sign.

+0.01 p-value=0.221 not sign. -138 p-value=0.286 not sign. -2.9% p-value=0.172 not sign.

+0.04 p-value=0.002 **

Global: -0.02 p-value<0.001 *** USA/N-America: -0.06 p-value<0.001 *** Sustainability: -0.01 p-value=0.548 not sign. No benchmark: -0.03 p-value=0.138 not sign. Sustainability: +92 p-value=0.570 not sign. No benchmark: +405 p-value=0.168 not sign. Sustainability: +2.2% p-value=0.416 not sign. No benchmark: +6.3% p-value=0.200 not sign. Sustainability: +0.1% p-value=0.877 not sign. No benchmark: +0.04% p-value=0.959 not sign.

conc. +0.01 → +0.005 p-value=0.025 *

Carbon intensity (tCO2eq / mUSD revenue)

+256 p-value=0.132 not sign. +4.9% p-value=0.082 not sign. -0.3% p-value=0.524 not sign.

Global: -128 p-value=0.277 not sign. USA/N-America: -2 p-value=0.991 not sign. Global: -2.2% p-value=0.275 not sign. USA/N-America: -0.2% p-value=0.945 not sign.

conc. +0.01 → -58 p-value=0.027 *

Critical activities (% revenue) Major environmental controversies (% involvement)

-0.9% p-value=0.020 *

conc. +0.01 → -1.4% p-value=0.003 ** Global: +0.5% p-value=0.141 not sign. USA/N-America: +1.1% p-value=0.017 *

conc. +0.01 → -0.15% p-value=0.054 not sign.

Tracking error

te. +1 → +0.03 p-value=0.585 not sign. te. +1 → +1041 p-value=0.203 not sign. te. +1 → -7.6% p-value=0.578 not sign. te. +1 → -0.1% p-value=0.958 not sign.

Coverage cov. +0.01 → +0.001 p-value=0.026 * cov. +0.01 → -0.24 p-value=0.967 cov. +0.01 → -0.08% p-value=0.518 not sign. cov. +0.01 → -0.03% p-value=0.182 not sign.

This table summarises the results from the four regression models. We report estimates and p-values. * significant at 0.05level, ** significant at 0.01-level, *** significant at 0.001-level

Source: Inrate ESG Impact data and Climate Impact data as of October 2020.