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Macro Asset Allocation with Social Impact Investments

Author

Listed:
  • Massimo Biasin

    (Economics and Law Department, University of Macerata, via Crescimbeni 14, 62100 Macerata, Italy)

  • Roy Cerqueti

    (Economics and Law Department, University of Macerata, via Crescimbeni 14, 62100 Macerata, Italy)

  • Emanuela Giacomini

    (Economics and Law Department, University of Macerata, via Crescimbeni 14, 62100 Macerata, Italy)

  • Nicoletta Marinelli

    (Economics and Law Department, University of Macerata, via Crescimbeni 14, 62100 Macerata, Italy)

  • Anna Grazia Quaranta

    (Economics and Law Department, University of Macerata, via Crescimbeni 14, 62100 Macerata, Italy)

  • Luca Riccetti

    (Economics and Law Department, University of Macerata, via Crescimbeni 14, 62100 Macerata, Italy)

Abstract

Using a unique dataset of 50 listed companies that meet the majority of the OECD requirements for social impact investments, we construct a social impact finance stock index and investigate how investing in social impact firms can contribute to portfolio risk-return performance. We build portfolios with three different methodologies (naïve, Markowitz mean-variance optimization, GARCH-copula model), and we study the performance in terms of returns, Sharpe ratio, utility, and forecast premium based on a constant relative risk aversion function for investors with different levels of risk aversion. Consistent with the idea that social impact investment can improve portfolio risk-return performance, the results of our macro asset allocation analysis show the importance of a large fraction of investor portfolios’ stake committed to social impact investments.

Suggested Citation

  • Massimo Biasin & Roy Cerqueti & Emanuela Giacomini & Nicoletta Marinelli & Anna Grazia Quaranta & Luca Riccetti, 2019. "Macro Asset Allocation with Social Impact Investments," Sustainability, MDPI, vol. 11(11), pages 1-19, June.
    • Handle: RePEc:gam:jsusta:v:11:y:2019:i:11:p:3140-:d:237010
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    References listed on IDEAS

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    Cited by:

    1. Shahid, Muhammad Naeem & Azmi, Wajahat & Ali, Mohsin & Islam, Muhammad Umar & Rizvi, Syed Aun R., 2023. "Uncovering risk transmission between socially responsible investments, alternative energy investments and the implied volatility of major commodities," Energy Economics, Elsevier, vol. 120(C).
    2. Karime Chahuán-Jiménez, 2020. "Correlation between the DJSI Chile and the Financial Indices of Chilean Companies," IJFS, MDPI, vol. 8(4), pages 1-14, November.
    3. Bernal, Oscar & Hudon, Marek & Ledru, François-Xavier, 2021. "Are impact and financial returns mutually exclusive? Evidence from publicly-listed impact investments," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 93-112.
    4. Biasin, Massimo & Cerqueti, Roy & Giacomini, Emanuela & Marinelli, Nicoletta & Quaranta, Anna Grazia & Riccetti, Luca, 2022. "Clusters of social impact firms: A complex network approach," Global Finance Journal, Elsevier, vol. 52(C).
    5. Elisa Baraibar-Diez & Manuel Luna & María D. Odriozola & Ignacio Llorente, 2020. "Mapping Social Impact: A Bibliometric Analysis," Sustainability, MDPI, vol. 12(22), pages 1-20, November.
    6. Daniel Cupriak & Katarzyna Kuziak & Tomasz Popczyk, 2020. "Risk Management Opportunities between Socially Responsible Investments and Selected Commodities," Sustainability, MDPI, vol. 12(5), pages 1-20, March.
    7. Fabio Pisani & Giorgia Russo, 2021. "Sustainable Finance and COVID-19: The Reaction of ESG Funds to the 2020 Crisis," Sustainability, MDPI, vol. 13(23), pages 1-18, November.

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