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1. Key themes:

  • The number of sustainability-focussed funds has continued to grow reaching a new record of 3,672 funds at the end of Q2 2022. However, the pace of growth slowed down (2% in Q2) relative to the previous 12 months when new funds were established at an average rate of ~4% per annum
  • Three of the top five fastest growing funds were “short-term” focussed suggesting the appetite for this maturity band as investors navigate a more volatile market environment and look to lower their portfolios’ duration
  • Consistently, ESG funds have underperformed from the beginning of the year with Article 9 funds (those with ESG as a core objective) the most exposed to the macro and geopolitical headwinds, in part due to the portfolio concentration in certain sectors
  • However, a core focus on ESG allowed Article 9 funds to be less exposed to outflows thereby highlighting their resilience in a bearish market

2. Sustainability funds characteristics

Total AUM of sustainability focussed funds by asset class (in USD trillions notional)

Total AUM of sustainability focussed funds by country (in USD trillions notional)

General attributes for the funds (By number of funds)

Total AUM and number of SFDR classified funds

Note: The EU Sustainable Finance Disclosure Regulation (SFDR) is a set of EU rules used to classify funds incorporating sustainability into investment processes. Article 8 indicates that the fund promotes environmental or social characteristics; Article 9 indicates that the fund has sustainable investment as its objective; Article 6 indicates that the fund does not incorporate sustainability as per EU standards. Out of the total 3,040 funds, 2,138 funds (70%) domiciled in Europe were classified as per the SFDR.


3. Sustainability fund evolution and performance

Evolution in the number of sustainability focussed funds

Evolution in AUM of sustainability focussed funds

SFDR Flows – AUM Q-Q % change

SFDR funds’ performance – total return (%)

4. Tables

Top 5 sustainability funds by AUM – Q2 2022

Top 5 sustainability funds by relative growth – Q2 2022 growth

Top 5 new sustainability focussed funds – Q2 2022

Notes: 

Total AUM is equal to USD2.1 trillion for fund asset classes and countries charts as of end of Q2 2022.

Country classification is as per fund manager’s country.

A total of 3,865 funds were considered for general attributes classification.

The 2,138 funds classified as per the SFDR are domiciled in Austria, Belgium, Bulgaria, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Netherlands, Portugal, Romania, Slovakia, Slovenia, Spain, and Switzerland.

SFDR funds’ performance calculated as of date of last close price as provided by Bloomberg.

Fixed income asset class includes funds represented by corporate, government, aggregate, mortgage backed, municipals, asset backed, bank loans, convertible, inflation, protected, and preferred. These funds have ratings IG A or higher, IG B or higher, high yield and maturities ranging from ultra-short, short, inter, and long.

Mixed allocation asset class includes funds with risk characteristics ranging from aggressive, moderate, conservative, dynamic, and global.

Money market includes non-US money market (currency focussed, general MMKT, enhanced MMKT investing mainly in government-issued money markets) and US money market strategies (first tier, global, govt and agency, second tier, treasury and repo, treasury).

Alternative assets include funds characterised by investment strategies such equity hedge, event driven, fixed income directional, FI relative value, macro, CTA/Managed futures, and multi-strategy.

ESG includes environmental, social, and corporate governance – funds investing in companies compliant with ESG criteria.

Socially Responsible includes funds investing in securities of companies meeting socially responsible standards.

Environmentally Friendly includes funds investing in securities of companies contributing to improving the quality of the environment.

Climate Change includes funds investing in securities of companies facilitating adaptation to the impacts of climate change.

Clean Energy includes funds investing in securities of companies contributing to less carbon intensive energy production and consumption.

Source: Bloomberg; General attributes used for funds search include Clean Energy, Climate Change, Environmentally Friendly, ESG, and Socially Responsible

Updated on 24 July 2022.

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