“Sustainable” Versus “Traditional” Mutual Funds: Is There Really a Difference? A Comparative Analysis Within the EU SFDR Classification Framework
研究比较了欧盟SFDR分类下可持续与传统共同基金的绩效和行业配置，发现Art.9基金显著跑输，而Art.8基金的超额收益在控制规模与流动性后消失。
ABSTRACT This study analyzes the performance and sectoral allocation of “sustainable” versus “traditional” funds. Using a unique panel dataset of 9620 mutual funds distributed in Europe between October 2018 and January 2025, we examine the three types of ESG funds identified by the EU SFDR (Sustainable Finance Disclosure Regulation), namely, Art. 6 (“traditional”) and Art. 8 and 9 (“sustainable”). Our findings show that Art. 9 funds significantly underperformed Art. 6 and Art. 8 funds; Art. 8 portfolios overperformed Art. 6 funds, but the difference becomes insignificant when controlling for size and liquidity. Analysis of a subsample reveals no sectoral allocation differences between Art. 6 and Art. 8 funds, while Art. 9 funds display greater sectoral concentration. This article contributes to the literature on ESG investing with a detailed analysis of the correlation between the SFDR classification, the mutual funds’ performance and the sectoral investment distribution.