Relevant Research

Anthony Loviscek, Ph.D., the chairperson and a Professor of Department of Finance, presented his joint paper with Ms. Wenhui Li --- “Searching for Market Outperforming ESG-Equity Mutual Funds” at MBAA International’s Annual Conference, March 23-25, Chicago, IL.

Abstract: Interest in ESG-fund investing has been rising robustly in the 21st century. Collective performance, however, has mostly trailed that of broad market indices, and consistent track records of outperformance are difficult to find, especially going forward, or in foresight. Given these observations, this study searches for ESG-equity mutual funds that have a consistent track record of outperformance in foresight during the period of 2005 through 2021. The analysis is based on one-, three-, five-, and ten-year out-of-sample holding periods, with mutual fund portfolios constructed from the Black-Litterman model. Eight outperforming funds emerged out of a sample 104, providing a starting point for wealth managers and investors.

The paper is available upon request, please contact Hongfei Frank Tang, Ph.D., CFA.