Journal
BUSINESS STRATEGY AND THE ENVIRONMENT
Volume 29, Issue 2, Pages 682-697Publisher
WILEY
DOI: 10.1002/bse.2397
Keywords
sustainable investment; environmental; social and governance (ESG); stock markets; sustainability indices; portfolio performance; Sustainable Development Goals (SDGs)
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Funding
- Carlos Chagas Filho Foundation for Research Support in the State of Rio de Janeiro (FAPERJ) [E-26/202.824/2018]
- Brazilian National Council for Scientific and Technological Development (CNPq) [306532/2016-6, 408470/2016-0]
- Brazilian Coordination of Improvement of Higher-Level Personnel (CAPES) [001]
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To contribute to overcoming global sustainability challenges, investors have been increasingly interested in making sustainable investments and incorporating environmental, social and governance (ESG) criteria into their portfolio selection decisions and managerial activities. However, these investors and other agents interested in sustainable investment need updated and robust information to support their decision making. We analyzed the performance of several Dow Jones Sustainability Indices (DJSIs) and compared them with their respective market benchmarks from 2013 to 2018. The indices comprise the following regions and countries: the world, the Asia-Pacific, Europe, emerging markets and the US. The analysis was conducted based on both classic and modern portfolio metrics. The results suggest that sustainable investment performance is still heterogeneous worldwide, but there is a promising opportunity for investors to obtain superior risk-adjusted returns in certain regions while incorporating sustainable investment practices. The findings are of utmost importance to financial market practitioners, business managers, academics and other stakeholders interested in promoting investments, corporate practices and scientific knowledge to achieve the Sustainable Development Goals (SDGs).
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