Sustainable value creation: coherence of corporate social responsibility and performance of socially responsible investment funds

Figures & data

Figure 1. Relationship between corporate social performance and performance of the fund. Source: Koellner et al. (2005) Copyright © 2005 John Wiley & Sons, Ltd. and ERP Environment. Reproduced by permission of John Wiley & Sons, Ltd. Permission to reuse must be obtained from the rightsholder..

Figure 2. Sustainable value creation research methodology.

Source: Author’s calculations.

Table 1. Composition of selected funds.

Fund name	Top 5 holdings of the fund	% of the fund	Fund name	Top 5 holdings of the fund	% of the fund	Fund name	Top 5 holdings of the fund	% of the fund
Banco Etisk Europa	Anglo American	4,1	Ethica Balancerad	H&M	2,7	Ethica Forskiting	H&M	1,1
	Vodafone	3,8		Nordea Bank	2,2		Nordea Bank	1,0
	BG Group	3,5		Ericsson	2,1		Ericsson	0,9
	Novartis	3,4		TeliaSonera	1,9		TeliaSonera	0,8
	Unilever	3,1		Atlas Copco	1,7		Volvo	0,6
Ethica Sverige Global	Volvo	4,3	Ethica Sverige Mega	Volvo	8,3	Ethica Sverige	H&M	9,8
	H&M	4,0		H&M	8,2		Ericsson	7,9
	Ericsson	3,9		Ericsson	8,0		Nordea Bank	7,5
	Nordea Bank	3,6		Nordea Bank	6,8		Volvo	6,2
	Atlas Copco	2,8		Sandvik	5,4		Teliasonera	6,1
Humanfonden	Ericsson	9,8	Talenten Aktiefond Mega	Volvo	4,10
	Volvo	9,2		Ericsson	4,00
	H&M	8,0		H&M	4,00
	Sandvik	6,3		Nordea Bank	3,60
	Nordea Bank	6,1		Atlas Copco	3,00

Source: Swedbank Robur (2012).

Figure 3. Diagram of MOORA and MULTIMOORA.

Source: Brauers and Zavadskas (2012).

Table 2. Results of sustainability measurement.

Company	VA	CEE	HCE	SCE	ICE	VAIC	Tobin's Q	MVA
Anglo American	0.2419	0.0857	1.6456	0.3923	2.0379	2.1236	−0.1272	−0.0582
Vodafone	0.6235	0.0928	3.8912	0.7430	4.6342	4.7300	1.4124	−0.1524
BG Group	0.1364	0.0553	4.7828	0.7909	5.5737	5.6290	−0.2403	−0.0343
Novartis	0.2404	0.0728	6.0228	0.8340	6.8568	6.9300	2.2013	0.1606
Unilever	0.2982	0.2165	1.3889	0.2800	1.6689	1.8900	2.6684	0.1186
H&M	0.1169	0.4798	1.4534	0.3119	1.7653	2.2500	6.2320	0.7432
Nordea Bank	0.1528	0.1265	1.4097	0.2906	1.7003	1.8300	2.3372	−0.0028
Ericsson	0.3641	0.3702	1.5528	0.3560	1.9088	2.2790	2.0114	0.4581
TeliaSonera	0.1331	0.1151	2.4881	0.5981	3.0862	3.2000	1.4614	0.0165
Atlas Copco	0.0989	0.3702	1.4617	0.3159	1.7776	2.1478	3.2871	0.0302
Volvo	0.4373	0.3890	2.2009	0.5456	2.7465	3.1400	1.8177	0.4108
Sandvik	0.1496	0.4130	1.4784	0.3236	1.8020	2.2200	2.2204	0.0139

Source: Author’s calculations.

Table 3. Results of sustainability measurement.

Company	EVA	ROA	ROE	Sustainable growth rate	Market-to-book ratio	Earnings per share	Price-earnings ratio	Social performance	Ecologic performance
Anglo American	0.1108	0.1094	0.1834	0.1641	0.6665	4.9194	5.6221	0.3333	0.2522
Vodafone	0.2757	0.1282	0.0899	0.0422	2.1255	0.0868	23.6397	0.3126	0.2489
BG Group	−0.2904	0.0737	0.1524	0.1264	0.0122	0.9410	0.0799	0.0988	0.0012
Novartis	0.0825	0.0787	0.1402	0.0528	20.9364	2.9160	14.9312	0.3123	0.2509
Unilever	0.0489	0.0973	0.3098	0.1431	4.6063	1.5410	14.8670	0.3884	0.0004
H&M	−0.0018	0.2629	0.3587	0.0022	8.0307	1.1012	22.3876	0.0067	0.000014
Nordea Bank	0.1273	0.0050	0.1358	0.0771	0.9256	0.6515	9.1788	0.4814	0.0001
Ericsson	0.0689	0.0448	0.0865	0.0853	0.1127	0.4424	1.3020	0.2197	0.0003
Telia Sonera	0.1600	0.0830	0.1699	0.0704	1.6328	0.5606	9.6111	0.3642	0.3731
Atlas Copco	0.0206	0.1729	0.4504	0.2403	0.5932	1.2366	13.2911	0.1103	0.0003
Volvo	0.0245	0.0513	0.2114	0.1404	2.3559	9.9064	1.1029	0.0000	0.0002
Sandvik	0.0014	0.0594	0.1729	0.0606	2.9553	0.5693	17.0891	0.1097	0.0154

Source: Author’s calculations.

Table 4. Results of sustainability measurement.

Fund name	SEj	Fund name	SEj
Banco Etisk Europa	19.7696	Ethica Sverige Mega	26.6892
Ethica Balancerad	1.8301	Ethica Sverige	1.6187
Ethica Forskiting	12.1437	Humanfonden	10.6638
Ethica Sverige Global	23.7205	Talenten Aktiefond Mega	106.8929

Source: Author’s calculations.

Table 5. Correlation analysis.

Name of the fund	HCE	SCE	ICE	VAIC	MVA	ROA	Sustainable growth rate	Market-to-book ratio
Banco Etisk Europa	0.74	0.55	0.72	0.73	0.65	−0.54	−0.53	0.96

Source: Author’s calculations.

Table 6. Correlation analysis.

Name of the fund	VA	Sustainable growth rate	Earnings per share	Price-earnings ratio	Name of the fund	Ecologic performance
Ethica Sverige	0.75	0.79	0.98	−0.55	Humanfonden	0.996

Source: Author’s calculations.

Table 7. Correlation analysis.

Name of the fund	CEE	HCE	SCE	ICE	MVA	Social performance	Ecologic performance
Ethica Forskiting	−0.76	0.66	0.60	0.65	−0.69	0.58	0.98

Source: Author’s calculations.

Table 8. Correlation analysis.

Name of the fund	CEE	VAIC	EVA	Social performance	Ecologic performance
Talenten Aktiefond Mega	−0.85	−0.62	0.80	0.84	−0.58

Source: Author’s calculations.

Table 9. Correlation analysis.

Name of the fund	VA	CEE	HCE	SCE	ICE	VAIC	EVA	Social performance
Ethica Sverige Mega	−0.58	−0.70	−0.51	−0.56	−0.53	−0.67	0.64	0.69

Source: Author’s calculations.

Table 10. Correlation analysis.

Name of the fund	CEE	HCE	SCE	ICE	VAIC	EVA	ROE	Earnings per share	Social performance
Ethica Sverige Global	−0.80	−0.51	−0.53	−0.52	−0.68	0.89	−0.62	−0.52	0.91

Source: Author’s calculations.

Table 11. Correlation analysis.

Name of the fund	CEE	HCE	SCE	ICE	VAIC	Tobin’s Q	Earnings per share	EVA	Social performance	Ecological performance
Ethica Balancerad	−0.70	0.98	0.97	0.98	0.90	−0.57	−0.51	0.79	0.50	0.99

Source: Author’s calculations.

Koellner, T., Weber, O., Fenchel, M. & Scholz, R. (2005). Principles of sustainability rating of investment funds. Business Strategy and Environment, 14, 54–70. Retrieved from http://dx.doi.org/ 10.1002/bse.42310.1002/(ISSN)1099-0836

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Swedbank Robur. (2012, December 2). Retrieved from http://www.swedbankrobur.com/

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