Hodnocení výkonnosti portfolia podílových fondů na základě ESG ratingu

Abstract

This thesis analyses the performance of mutual funds in relation to their Environmental, Social, and Governance (ESG) scores. The aim of the thesis was to evaluate the performance of a portfolio consisting of 30 mutual funds based on their ESG ratings and to verify whether funds with higher sustainability scores exhibit, on average, better performance. Fund performance was assessed based on risk-adjusted returns and the market timing ability of portfolio managers. Two approaches were applied for the construction of benchmarks and the risk-free rate. The evaluation was conducted using weekly data covering the period from January 2019 to December 2023. The analysis is based on the calculation of key performance indicators such as the Sharpe ratio, Sortino ratio, Treynor ratio, Jensen’s alpha, Information ratio, and the M² measure. The thesis also includes market timing analysis using the Treynor-Mazuy and Henriksson-Merton models. Funds were divided into two groups according to their ESG scores (1 globe and 5 globes based on the Morningstar Sustainability Rating), and the results were compared using both a common benchmark and individual benchmarks. The identified performance differences contribute to a better understanding of the relationship between sustainability and mutual fund returns.