Evaluating ESG Mutual Funds in India: A data-driven approach to performance metrics

Purpose: The study aims to benefit investors in making informed decision by identifying the best ESG mutual fund among eight funds available as an investment option. Design/Methodology/Approach: Quantitative technique used to determine the performance of eight ESG funds as of March 31, 2024, and since their inception, with the Nifty 50 index as the benchmark. Risk-adjusted metrics like Treynor’s measure, Jensen's alpha, Sharpe measure and Sortino measure were applied for performance evaluation. Findings: According to the performance study of ESG mutual funds, the research found that Quant Equity ESG fund has been able to outperform the peer fund, while the ICICI Prudential ESG Exclusionary strategy fund, Axis ESG integration, is positioned second and third among eight ESG funds. Research Limitations: The study was restricted to theme-based ESG mutual funds in India, and the performance was considered from April 1st, 2023, to March 31st, 2024, and since inception. External factors such as economic disruptions may have affected fund performance and influenced the outcome. Practical implications: The study offers insights to investors for making informed decisions based on risk-adjusted returns also offers a foundation for future research. Originality: The novelty of the study lies in calculating sophisticated performance metrics, including downside risk, Treynor's measure, Jensen's alpha, and Sortino ratio, using daily NAV data, which are usually not furnished in standard mutual fund factsheets.