Advancing the assessment of sustainability risk in the equity investment fund industry

Identificador:  imarina:9469324

Handle: https://hdl.handle.net/20.500.11797/imarina9469324

Autores:  Fabregat-Aibar, L; Escrig-Olmedo, E; Barberà-Mariné, MG; Fernández-Izquierdo, MA

Resumen:
It is imperative for the fund management industry to integrate the current relevant global risks into its evaluation processes. This necessitates clarifying how sustainability ratings providers-the principal source of extra-financial information for fund managers-assess sustainability risks, as required by the Sustainable Finance Action Plan. To this end, this study aims to analyse how the Morningstar Sustainability Rating-one of the most widely used sustainability ratings by practitioners and researchers worldwide-evaluates sustainability risks and advances this assessment with a new proposal for a sustainability risk rating based on a strong sustainability approach. This measure minimises the offset of fund's environmental, social, and governance (ESG) risks, in addition to considering the managed risk in relation to the ESG risk exposure.