Publicação
Risk and return characteristics of european equity funds under sfdr articles 6, 8, and 9 BPI gestão de ativos - measuring impact for “BPI impacto clima” funds
| Resumo: | Within the EU’s Sustainable Finance Disclosure Regulation (SFDR), this study tests whether sustainability labels and EU-Taxonomy alignment translate into superior risk-adjusted returns. A panel of 48 global equity funds across Articles 6, 8 and 9 is analysed over 3-, 5- and 10-year horizons using Sharpe, Sortino, Jensen’s α and Expected Tail Loss. Article 9 portfolios consistently carry higher volatility and downside risk, while their performance edge is sporadic and metric-specific; Article 8 funds often equal or surpass conventional peers. Reported Taxonomy alignment shows no significant financial effect, indicating that current EU disclosures signal ambition rather than assured outperformance. |
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| Autores principais: | Gradias, Gereon Paul |
| Assunto: | SFDR EU taxonomy Sustainable funds Risk-adjusted returns CEMS MIM |
| Ano: | 2025 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso embargado |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | Within the EU’s Sustainable Finance Disclosure Regulation (SFDR), this study tests whether sustainability labels and EU-Taxonomy alignment translate into superior risk-adjusted returns. A panel of 48 global equity funds across Articles 6, 8 and 9 is analysed over 3-, 5- and 10-year horizons using Sharpe, Sortino, Jensen’s α and Expected Tail Loss. Article 9 portfolios consistently carry higher volatility and downside risk, while their performance edge is sporadic and metric-specific; Article 8 funds often equal or surpass conventional peers. Reported Taxonomy alignment shows no significant financial effect, indicating that current EU disclosures signal ambition rather than assured outperformance. |
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