Durán Santomil, PabloOtero González, LuisDomingues, Renato Heitor CorreiaReboredo Nogueira, Juan Carlos2020-03-272020-03-272019Durán-Santomil, P.; Otero-González, L.; Correia-Domingues, R.H.; Reboredo, J.C. Does Sustainability Score Impact Mutual Fund Performance? Sustainability 2019, 11, 2972http://hdl.handle.net/10347/20946Given that sustainable investing constitutes a major force across global financial markets, in 2016 Morningstar began reporting Morningstar Sustainability scores. We used the 2016, 2017 and 2018 scores to study the e ects of socially responsible investments (SRI) on European equity fund performance. Sustainability scores impacted positively on performance, which was consistent with the idea that the mutual funds invested in companies with better scores generate better risk-adjusted and not-risk adjusted performance. We also tested the relation on mutual fund flows and risk. The sustainability score in the previous year is significant on the flows, so higher-rated funds receive a larger volume of funds. In terms of risk, the level of sustainability is negatively related to the value at risk (VaR) of the fund, supporting that higher scored mutual funds o er better protection against extreme losses.eng© 2019 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/)https://creativecommons.org/licenses/by/4.0/Mutual fund performanceMutual fund flowsSustainability scoreESG scoreSocially responsible investmentSRIjournal article10.3390/su111029722071-1050open access