Table 1.
Descriptive statistics (annualized log-transformed daily returns).
| Funds | MSCI SRI Indices | ||||
|---|---|---|---|---|---|
| ESG Funds | World | US | Japan | Europe | |
| Mean | -0.010 | 0.057 | 0.095 | 0.014 | 0.016 |
| Min | -31.384 | -23.153 | -29.171 | -14.382 | -29.605 |
| Max | 16.467 | 19.851 | 21.794 | 14.529 | 18.660 |
| Kurtosis | 25.484 | 22.461 | 18.808 | 7.940 | 28.963 |
| Skewness | -2.367 | -1.310 | -0.844 | 0.080 | -2.022 |
| Std. Div. | 3.274 | 2.841 | 3.565 | 2.511 | 2.756 |
| MSCI Indices | |||||
|---|---|---|---|---|---|
| World | US | Japan | Europe | ||
| Mean | - | 0.027 | 0.061 | -0.008 | -0.030 |
| Min | - | -23.461 | -29.067 | -14.664 | -31.598 |
| Max | - | 18.930 | 20.226 | 15.977 | 19.206 |
| Kurtosis | - | 21.914 | 18.891 | 9.556 | 29.634 |
| Skewness | - | -1.467 | -1.041 | 0.121 | -2.115 |
| Std. Div. | - | 2.890 | 3.500 | 2.457 | 2.912 |
Notes: For ESG funds, the average value of daily returns of the SRI/ESG ETFs listed in the US is used.