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Stream/Area:
-
Subject:
-
Paper ID:
IJSREM65367
Volume:
10 |
6 |
Jun 2026
Pages:
1-6
Publication Frequency:
Monthly (12 issues per year)
License:International Journal of Scientific Research in Engineering and Management follows the Creative Commons Attribution 4.0 (CC BY 4.0) License, allowing free use and distribution with proper attribution.
Master of Business And Administration
MLR institute of Technology
Master of Business And Administration
MLR institute of Technology
This study examines the risk-adjusted performance of Environmental, Social, and Governance (ESG) themed mutual funds relative to conventional broad-market benchmarks, using the Aditya Birla Sun Life (ABSL) ESG Integration Strategy Fund as a representative case. Monthly Net Asset Value (NAV) data spanning December 2020 to April 2026 were analysed against the Nifty 100 ESG Total Return Index (TRI) and the Nifty 50 TRI. Performance was evaluated using average return, standard deviation, the Sharpe Ratio, the Treynor Ratio, Jensen's Alpha, and Beta. The results show that the ABSL ESG Fund delivered a lower average annual return (10.8%) than the Nifty 100 ESG TRI (11.6%) and the Nifty 50 TRI (12.5%), but also exhibited the lowest volatility (standard deviation of 2.34% against 2.70% and 3.10%, respectively) and the lowest systematic risk (Beta of 0.97). The fund's Sharpe Ratio (2.05) and Treynor Ratio (4.95) were marginally below those of the benchmarks, and Jensen's Alpha was negative (−1.50), indicating slight underperformance relative to risk-adjusted expectations. Taken together, the findings support a risk-mitigation rather than a return-maximisation rationale for ESG investing: the fund traded a modest return shortfall for materially lower volatility and stronger downside resilience. The study concludes that ESG funds, while not outperforming on raw returns, offer a viable, stability-oriented option for long-term and risk-averse investors, and recommends improved sector diversification and greater transparency in ESG scoring methodologies.
KEYWORDS
This study set out to evaluate the comparative performance of the ABSL ESG Integration Strategy Fund against the Nifty 100 ESG TRI and Nifty 50 TRI, to assess the effectiveness of ESG filters in reducing volatility and systematic risk, and to determine whether ESG integration's downside protection offsets any return shortfall. The findings show that the fund delivered moderate, steady returns with the lowest volatility and Beta among the three series, but trailed both benchmarks on absolute return and risk-adjusted metrics (Sharpe, Treynor) by a narrow margin, while recording the most negative Jensen's Alpha. On balance, the evidence supports ESG investing as a stability-oriented strategy rather than a return-maximising one. The fund is best suited to long-term, risk-averse, and ethically motivated investors who are willing to accept a modest return concession in exchange for lower volatility and stronger resilience during market stress. For asset managers, the results point to scope for improving sector diversification, tightening active management to narrow the Alpha gap, and strengthening the transparency of ESG scoring methodologies to address ongoing greenwashing concerns. For regulators, continued standardisation of ESG disclosure (such as the transition to BRSR Core) is likely to improve the reliability of future performance comparisons.
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Publication Date
6/26/2026
Peer Review Type
Double-Blind Peer Review
Review Rounds: 2
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The authors declare no conflict of interest related to this research work.
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