Performance of Equity Investments in Sustainable Environmental Markets

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dc.contributor.authorGurrib, Ikhlaas
dc.contributor.authorKamalov, Firuz
dc.contributor.authorStarkova, Olga
dc.contributor.authorMakki, Adham
dc.contributor.authorMirchandani, Anita
dc.contributor.authorGupta, Namrata
dc.date.accessioned2023-10-09T14:35:17Z
dc.date.available2023-10-09T14:35:17Z
dc.date.copyright© 2023
dc.date.issued2023-05
dc.description.abstractDespite a significant increase in global clean energy investments, as part of the decarbonization process, it remains insufficient to meet the demand for energy services in a sustainable manner. This study investigates the performance of sustainable energy equity investments, with focus on environmental markets, using monthly equity index data from 31 August 2009 to 30 December 2022. The main contributions of our study are (i) assessment of the performance of trading strategies based on the trend, momentum, and volatility of Environmental Opportunities (EO) and Environmental Technologies (ET) equity indices; and (ii) comparison of the performance of sustainable equity index investments to fossil fuel-based and major global equity indices. Market performance evaluation based on technical analysis tools such as the Relative Strength Index (RSI), Moving Averages, and Average True Range (ATR) is captured through the Sharpe and the Sharpe per trade. The analysis is divided according to regional, sector, and global EO indices, fossil fuel-based indices, and the key global stock market indices. Our findings reveal that a momentum-based strategy performed best for the MSCI Global Alternative Energy index with the highest excess return per unit of risk, followed by the fossil fuel-based indices. A trend-based strategy worked best for the MSCI Global Alternative Energy and EO 100 indices. The use of volatility-based information yielded the highest Sharpe ratio for EO Europe, followed by the Oil and Gas Exploration and Production industry, and MSCI Global Alternative Energy. We further find that a trader relying on a system which simultaneously provides momentum, trend, or volatility information would yield positive returns only for the MSCI Global Alternative Energy, the S&P Oil and Exploration and Production industry, NYSE Arca Oil, and FTSE 100 indices. Overall, despite the superior performance of the MSCI Global Alternative Energy index when using momentum and trend strategies, most region and sector EOs performed poorly compared to fossil fuel-based indices. The results suggest that the existing crude oil prices continue to allow fossil fuel-based equity investments to outperform most environmentally sustainable equity investments. These findings support that sustainable investments, on average, have yet to demonstrate consistent superior performance over non-renewable energy investments which demonstrates the need for continued, rigorous, and accommodating regulatory policy actions from government bodies in order to reorient significant capital flows towards sustainable equity investments. © 2023 by the authors.
dc.identifier.citationGurrib, I., Kamalov, F., Starkova, O., Makki, A., Mirchandani, A., & Gupta, N. (2023). Performance of Equity Investments in Sustainable Environmental Markets. Sustainability, 15(9), 7453. https://doi.org/10.3390/su15097453
dc.identifier.issn20711050
dc.identifier.urihttps://doi.org/10.3390/su15097453
dc.identifier.urihttps://hdl.handle.net/20.500.12519/885
dc.language.isoen
dc.publisherMDPI
dc.relation.ispartofseriesSustainability (Switzerland); Volume 15, Issue 9
dc.rightsThis article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/)
dc.rights.holderCopyright : © 2023 by the authors.
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectenvironmental markets
dc.subjectperformance
dc.subjectsustainable index investing
dc.subjecttechnical analysis
dc.titlePerformance of Equity Investments in Sustainable Environmental Markets
dc.typeArticle

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