A perfomance dos fundos sustentáveis é sustentável? Uma análise de fundos brasileiros que adotam práticas ESG

Abstract

Environmental, Social, and Governance (ESG) practices can provide various benefits for companies and society. Thus, initiatives related to ESG practices can help the definition of investment strategies. In this context, this research examines the risk-adjusted performance of Brazilian funds with sustainable practices. Specifically, the aim of this study is to analyze whether the performance of sustainable funds tends to be persistent over time. Risk-adjusted performance was measured based on Jensen's Alpha, considering the period from January 2005 to December 2022. The research hypothesis was tested through panel data regression analysis. The main findings indicated that, on average, the past performance of funds did not have a positive effect on future performance. The main contribution of this research lies in the analysis of performance persistence among Brazilian sustainable funds over an extended time horizon (2005–2022), providing empirical evidence regarding the relationship between past and future risk-adjusted returns in a segment that remains under-explored in the domestic literature. As a suggestion for future research, it is recommended to include the pandemic period (2020–2021) as a crisis dummy variable to investigate whether the behavior of sustainable funds during the COVID-19 pandemic differs from that observed during other periods of financial constraint already addressed in the literature.