07072014080515346

Business Strategy and the Environment
Bus. Strat. Env. 14, 54–70 (2005)

Published online in Wiley InterScience (www.interscience.wiley.com). DOI: 10.1002/bse.423
Principles for Sustainability Rating of

Investment Funds
Thomas Koellner,1,2* Olaf Weber,1,2 Marcus Fenchel2 and Roland Scholz1,2
1
GOE m.b.H. Zürich, Switzerland
2
ETH Zürich, Switzerland
ABSTRACT
During the last decade, the idea of sustainable investments hit the market. Investors
both private and institutional started to supplement financial considerations with
social and ecological ones. Meanwhile the supply of mutual funds in the ‘green’
investment sector increased enormously. Currently in Europe about 300 mutual funds
are available that are managed according to sustainability and social responsibility.
Potential investors face the difficulty of keeping track of the various funds and choos-
ing among them based on a reliable comparative assessment. This paper outlines the
basic principles and methods on which such a comparative sustainability rating is
based. The method was designed to be analogous to rating of the funds financially.
The sustainability rating is based on assessment of the research processes in the fund
management as well as investigation of the fund portfolio in terms of composition
and sustainability performance. It should support investors in their investment
choices by offering them a third party view. Copyright © 2005 John Wiley & Sons, Ltd
and ERP Environment.
Received 20 May 2003; revised 2 February 2004; accepted 1 March 2004
Introduction
$1000 INVESTMENT IN A ‘GREEN’ FUND HAVE ON SUSTAINABILITY? DOES
W
HAT IMPACT DOES A
the same investment in a ‘normal’ mutual fund have less of an ecological and socio-economic
impact? These questions are becoming increasingly important as investors are beginning to
seek beyond the financial aspects of their investments to consider and to incorporate eco-
logical and socio-economic criteria. Still, the fundamental objective of both private and institutional
investors is to maximize the expected rate of return on their investment portfolios. Liquidity and risk are
the financial constraints on their activities (Steiner and Bruns, 2000, p. 50). Meanwhile, in some coun-
* Correspondence to: Dr. Thomas Koellner, ETH Zurich, Natural and Social Science Interface (NSSI), ETH-Zentrum HAD, CH-8092 Zurich,
Switzerland. E-mail: thomas.koellner@env.ethz.ch
Copyright © 2005 John Wiley & Sons, Ltd and ERP Environment
55 Sustainability Rating of Investment Funds
tries institutional investors, such as pension funds, are even required to state their investment principles
with respect to sustainability (Kasemir et al., 2001).
Accordingly, there is an increase in the supply of investment products, especially investment funds,
claiming to comply with sustainability criteria. In Europe, about 300 different sustainability funds are
available (SRIcompass, 2002). In this paper, sustainability funds are defined in the broadest sense,
ranging from ethical funds to eco-efficiency funds (which focus on cleaner technology) to sustainability
funds (which take ecological, socio-cultural, ethical and economic aspects into account, all at the same
time). Sustainability funds can be large cap stock funds (mixtures of multinational companies), pioneer
stock funds (only small and medium sized companies in the technology development sector, such as
solar energy companies) or bond funds (O’Rourke, in press).
Investors with sustainability goals need to compare and assess the variety of funds based on both
financial as well as non-financial criteria. While approaches to and methods for assessing financial
performance exist, the assessment of non-financial performance (i.e. ecological and social performance)
is rather underdeveloped. Consequently, fund managers are not able to set up standards for non-finan-
cial performance, and thus they are unable to account for this aspect to investors and their stakehold-
ers. For the investment-banking sector to play a serious role in sustainable development, however,
accountability is imperative. Otherwise, sustainable investment will remain a buzzword (see also
Welford, 1997).
Given the large number of sustainability funds, there is a growing need for transparency with respect
to ecological and social performance (Jeucken, 2001, p. 91; Kahlenborn, 2001). Because investors have
a limited capacity for handling extensive information, there is a growing demand for instruments tai-
lored towards the investors’ needs. The sustainability rating of a fund can provide the desired trans-
parency and should complement the existing financial rating.
A sustainability rating integrates very diverse types of knowledge. These include knowledge about
goals and values, availability of information, and methodological principles and approaches. Our objec-
tive in this paper is to develop a conceptual framework for rating the non-financial performance of sus-
tainability funds and to discuss methodological approaches to this rating.
Driver Outcome Model for Sustainability Investment Funds
A driver outcome model can represent the cause and effect relationship between business processes in
fund management and the performance of these processes in terms of sustainability. The underlying
assumption of this model is that business processes are important drivers of both financial and non-
financial performance. External drivers (e.g. natural catastrophes, market development), which cannot
be influenced by fund management, are not included in this model.
To develop the model we first briefly describe the processes involved in fund management. Invest-
ment funds consist of a portfolio of bonds, shares or other funds into which one can invest (Elton
and Gruber, 1995, p. 18). The portfolios are either managed passively, in which an existing index is
replicated, or actively, in which assets are selected in order to deviate from an existing index
(Rauschenberger, 2002). Based on portfolio theory (Markowitz, 1959, cited by Elton and Gruber, 1999b),
active asset managers strive for a reduction in financial risks and an increase in financial returns through
asset allocation (Figure 1). According to Sharpe (1992), ‘. . . a passive fund manager provides an investor
with an investment style, while an active fund manager provides both style and selection’.
Sustainability funds are managed in accordance with ecological and socio-economic goals and strate-
gies (Schaltegger and Figge, 2001). For actively constructed funds managers follow stated goals and
selection rules and pick suitable assets out of an investment universe (Figure 2). The selection is based
Copyright © 2005 John Wiley & Sons, Ltd and ERP Environment Bus. Strat. Env. 14, 54–70 (2005)
Thomas Koellner et al. 56
Assets (stocks, bonds)
Value
Fund A
Fund B Benchmark
Time
Asset
Asset Performance
Performance
allocation
allocation of
ofportfolio
portfolio
Figure 1. Cause and effect relationship between asset allocation and performance of investment funds
Business/research processes
in fund management (drivers of sustainability)
Goals and strategy of fund management
Fund Business
research processes
Strategic asset allocation

(Benchmark, currency, countries, sectors, etc.)
Operational asset allocation

(Asset selection, timing, etc.)
Performance of
fund portfolio (outcome)
Portfolio structure
(Proportion of stocks, bonds, etc.)
Sustainability of asset C
Sustainability of asset B
Sustainability of asset A
Corporate management
Operational system
Economical Ecological Social

performance performance performance
Ø Economical Ø Ecological Ø Social

performance performance performance
Figure 2. Drivers and outcomes for sustainability in the asset allocation process
on financial as well as non-financial criteria. For example, in the case of conventional funds, rules include
strategic asset allocation (e.g. composition of a portfolio with respect to countries or sectors) and oper-
ational asset allocation (e.g. timing of buying orders). Asset allocation is supported by fund research and
business processes. In general, fund managers refer to the sustainability rating of a company or country
in order to select desirable assets, such as being best in class.
The direct outcome of the fund managers’ activities is a portfolio composed of different assets, each
with a specific percentage on the total value. The indirect outcomes are the fund’s returns in terms of
financial return and in terms of sustainability (e.g. selected companies having a high degree of energy
efficiency). Differences in portfolio composition result in measurable differences in the financial as
well as the non-financial performance. The fund management activities, especially the asset allocation
process, are performance drivers and the portfolio’s average sustainability performance is the outcome.
There is a cause and effect relationship between the asset allocation process and the portfolio’s
performance.
A portfolio of companies with good sustainability performance is the added value that a fund manager
provides. In addition, fund managers can influence companies directly, by encouraging sustainable prac-
tices, or indirectly, by exercising their voting rights at stockholders’ meetings. At the extreme end, fund
managers could even choose companies that are explicitly bad and try to improve them through their
influence.
Framework and General Principles for Rating Sustainability
Investment funds are rated financially by independent agencies (e.g. Feri Trust, Standard & Poor’s,
Lipper, Morningstar) in order to support investors’ decisions. They mostly rate funds based on time
series of risk-adjusted returns on investments, such as with Jensen’s a coefficient (Cook and Hebner,
1993). For reliable ratings, however, it is not sufficient to focus on past performance alone, as this is
only an ex post measurement and theoretically does not allow any projections into the future. There-
fore, the ex post assessment has recently been completed by an assessment of the quality of the man-
agement processes and of the experience of fund managers.1 This combination is expected to be a better
predictor of future fund performance than assessments of funds’ historical investment returns alone
(Behrenwaldt and Verweyen, 2001, p. 171; Wehlmann, 2001). Empirical investigations of hedge funds
by Edwards and Caglayan (2001) suggest that the skill levels of fund managers might explain the posi-
tive excess returns. Of course, predicting future performance is uncertain, but nevertheless balanced
financial ratings including both ex post and ex ante criteria are expected to be better than one-sided
ratings. Cook and Hebner (1993) proposed a multi-criterion approach to fund rating, which takes factors
such as volatility, level of diversification, quality of service and fees into consideration. Cook and Hebner
stated ‘This approach also recognizes that individual investors have heterogeneous preferences, and
hence, it allows investors to formulate different ratings (and consequently rankings) of the set of com-
peting mutual funds’.
Interestingly enough, to date the non-financial rating is biased towards rating business and research
processes while almost completely neglecting the performance aspect. As in the financial rating,
however, an appropriate rating system should reflect a balance between the assessment of strategies and
business processes for which fund managers are liable and the sustainability performance of the fund
portfolio itself. This approach is evident in the balanced scorecard model by Kaplan and Norton (1996,
p. 148), which was developed further to apply to corporate sustainability (Johnson, 1998; Figge et al.,
2001). For our assessment system, an essential feature of the balanced scorecard is the differentiation
between lead and lag indicators (Kaplan and Norton, 1996, p. 155), and thus the ability to distinguish
between performance drivers and outcome. In the end the fundamental objective of sustainable invest-
ment funds is that their outcomes are environmentally and socio-economically sustainable e.g. low
energy consumption, social justice). Fund management, research and portfolio construction are impor-
1
An example is the Standard & Poor’s Fund Management Rating, which is based on interviews (www.funds-sp.com).
External
(Companies)
• Social
• Green impact
innovation
• Land use
• Corporate impacts
environmental
• Toxic emissions
management
• Energy efficiency
Drivers Outcome
• Communication • Financial
Performance
with companies
• Screening criteria
• Diligence of • Influence on
fund research companies
• Portfolio
• Fund composition
strategy
Internal
(Asset Manager)
Figure 3. Balanced set of indicators for rating investment funds
tant means of reaching this goal. We recommend a comprehensive assessment utilizing a balanced set
of criteria and indicators, because of dependency and temporal lagging. In addition, it is necessary to
distinguish between internal and external aspects from the fund managers’ perspective. Examples for
each aspect are given in Figure 3.
We extend the financial rating for funds that are managed according to sustainability, ethical goals or
environmental goals. To achieve this we propose using the following set of principles, based partly on
the work of Krahnen and Weber (2001), to rate banks’ corporate clients.
1. Sustainability ratings should complement existing financial ratings of investment funds.
2. The overall goal in rating sustainability is to contribute to transparency and sustainability in the invest-
ment market.
3. The rating system should particularly support continuous improvement in the quality of sustainabil-
ity funds and their management with respect to sustainability goals.
4. Relevant stakeholders and actors should be involved in the process of setting up methods for rating
and the principles behind them.
5. The rating should be comprehensive in terms of sustainability (i.e. the ecological/environmental,
socio-cultural, ethical and economic aspects). At the same time, it should be transparent and
operational.
6. Each fund should be rated with respect to two aspects:
• business/research processes in fund management (driver)
• sustainability performance of a portfolio of funds (outcome).
7. Ratings for individual funds should be based on comparison to a benchmark and its peer group (i.e.
a homogenous group of funds). The ratings should indicate the best practice within each peer group
and across peer groups. That means peer groups should also be assessed comparatively with respect
to investors’ objectives.
8. The results of rating for an individual fund should include an aggregated result (a grade) as well as
a detailed description of the fund’s characteristics.
9. A back testing procedure should be elaborated upon in order to identify incidences of default (i.e. good
funds rated as bad or vice versa) and to assess the reliability and validity of the ratings.
10. The rating system itself should be continuously improved and its compliance with quality criteria
monitored.
Methodological Aspects of Sustainability Rating
The above principles have the following consequences on rating. The method of rating sustainability
should be one that allows investment funds to be assessed with respect to business/research processes
in fund management (how powerful are the sustainability drivers?). The investment portfolio’s performance
should be assessed in terms of sustainability (what is the outcome?). An approach to standardization is
necessary (what is the basis for comparing different outcomes?). We must set the general system borders
and the time perspective (what do we include in the assessment? how do we deal with improvements in the
future?). Finally, peer groups and benchmarks have to be chosen (which types of fund are comparable and
what is the yardstick for assessing performance?).
Assessment of Research Processes in Fund Management

Sustainability drivers are defined as business and research processes that are relevant to the sustainable
performance of funds. In principle, such processes can be detected at two important levels: first at the
level of fund management, and second at the level of the corporate management of the companies that
funds invest in. Compared with the corporate manager, the fund manager’s influence on the sustain-
ability outcome is indirect. By defining research processes, investment strategies and selection rules,
however, he can influence how sustainable his fund’s investments are. A comprehensive assessment
should look at those features that can immediately be influenced by a fund manager and are important
for the outcome in terms of sustainability:
• the quality of the research method (e.g. match/mismatch of strategy and criteria, reliability, validity,
involvement of stakeholder in defining criteria)
• the diligence in carrying out research activities (e.g. size and relevant experience of research team,
information sources, on-site research, continuous monitoring)
• the overall accountability/compliance (e.g. independent control committee, existence of quality stan-
dards, continuous improvement in research processes, measurement for sustainability performance
including backtracking, establishment of a procedure for detecting defaults)
• the dissemination of information (e.g. general reporting, transparency of methods applied, trans-
parency of portfolio structure)
• the impact on companies in the investment portfolio (e.g. feedback loop to established companies).
Sustainability Performance Measurement of Investment Portfolios

There are two important requirements for measuring performance of investment portfolios: the defin-
ition of sustainability performance must be clear and indicators must be accurate (Austin and Hoffer
Gittell, 2002).
The definition of sustainability performance requires a clear understanding of fundamental objectives

and the means–ends network (Keeney, 1992, p. 69). A hierarchy of objectives allows a breakdown of
the overall objective (e.g. sustainable development) into subordinate objectives (e.g. ecological, social and
economic sustainability). A means–ends network allows the relationship between drivers and outcomes
to be structured in terms of a sequence of if/then statements (e.g., if the environmental management
is good, then the ecological sustainability of the company will increase). Ideally, the endpoints of the
means–ends network and the fundamental objectives are identical. In order to measure the sustain-
ability performance reliably, it is necessary to consider the interdependence of means–ends networks,
including temporal lags.
Following a top-down approach, we first define the fundamental objectives hierarchy with respect to
the sustainability of investment funds. The overall objective of a sustainability fund consists of finan-
cial and non-financial objectives.
• The financial performance of the fund portfolio can be broadly defined as the return on investment
adjusted for risk.
• The sustainability performance of a fund is defined for its portfolio of bonds and stocks in the fol-
lowing areas:
economic impact – corporate governance, innovations, suppliers’ relations etc.
social impact (including all aspects of ethics and culture) – exploitative child labor, human rights,
stakeholder relations etc.

ecological impact – energy input, water use, material use, land use, radiation, ecotoxic emissions,
CO2 emissions, CFC-11 emissions, noise etc.

The total performance of a fund increases if one or more aspects of performance improve. If, for
example, the ecological impact is reduced as a result of less toxic emissions, then the ecological perfor-
mance increases. Improvements in environmental management do not increase the performance of a
portfolio, because management activities are drivers towards higher performance but do not necessar-
ily result in lower ecological impacts. They are means in the means–ends network. Applying a balanced
set of criteria to rate the fund, however, means for high performance such as strategies and manage-
ment activities are also evaluated.
An important methodological issue, which is unique to investment funds, is the impact of the port-
folio composition on performance. We argue that when it comes to funds their composition has a large
impact on their performance. Clearly financial performance depends on the allocation of the portfolio.
The same principle applies to sustainability performance. If the proportion of a stock with bad sustain-
ability performance (e.g. bad social sustainability due to extensive violation of human rights) increases,
then the sustainability performance of the portfolio overall should decrease. An assessment method
should take the proportion of each asset explicitly into account.
In this paper, we will not explicitly address either the measurement of financial performance (see text-
books such as Elton and Gruber, 1995) or that of non-financial performance in terms of a comprehen-
sive set of criteria and indicators. To deal with corporate sustainability reporting, the activities of WBCSD
(2000), the Global Reporting Initiative (GRI, 2000) and the International Organization for Standard-
ization (ISO, 1999) provide valuable resources for developing a set of criteria and indicators that can be
used for assessing the performance of investment funds.
Standardization and Functional Unit

In order to compare the sustainability outcomes of different investment funds, it is necessary to stan-
dardize the measures of the assessment. In environmental reporting, the sustainability outcome is often
standardized by using an indicator of economic performance (e.g. CO2 emissions per sale, energy use
per workplace, material input per product unit). This concept was developed by Schaltegger and Sturm
(1992) and allows comparison of dissimilar items, such as companies of different size. Eco-efficiency is
frequently defined as the value added divided by the environmental impact (Schmidheiny and Zorraquìn,
1996; Helminen, 2000; WBCSD, 2000).
The same approach is basically evident in life cycle assessment (LCA). In this method, the value
according to which the standardization is performed is named the functional unit (ISO, 1997). The func-
tional unit, however, cannot be arbitrarily chosen, but must be a logical consequence of the product
under investigation (Wenzel et al., 1997). It refers to the basic function expected from a product. For
example, in an LCA for beverage containers made from different materials (PET bottles, aluminum cans
and glass bottles), this basic function is packaging. As a result, the functional unit is chosen as ‘pack-
aging for 1000 liters of liquid’ and the environmental consequences of containers of beverages are com-
pared on this basis. For each type of material, criteria such as energy consumption, material input and
toxic emissions are assessed for packaging for 1000 liters. The material with the least environmental
consequence is then considered to be preferable in terms of environmental impact.
SPj
SE j = (1)
functional unit
SEj: sustainability efficiency of investment in fund j

SPj: sustainability performance of fund j.
functional unit = R1 year (2)
R: financial return (e.g. based on a period of one year) for fund j.
Analogous to the example above, various investment products are compared on the bases of their sus-
tainability performance standardized per functional unit (1). The basic function of an investment fund
is to yield a financial return. An example of a functional unit appropriate for LCA is financial return per
year (measured as 1 year, 3 years or year-to-date performance; absolute or relative to a benchmark). The
result is a figure that relates the sustainability performance of a fund to its financial performance, called
the sustainability efficiency. Also, risk-adjusted performance measures, such as the Sharpe ratio, Treynor
ratio or Jensen ratio, can be used (Elton and Gruber, 1995). Risk-adjusted performance measures are
preferable, because they allow better comparison of funds that differ in volatility.
Based on this approach, investment products could be assessed according to their sustainability
performance, standardized for e.g. 1% financial performance per year. The strength of this approach
is that the focus is on the interface between financial performance and non-financial performance.
This approach allows investors to be supported in their investment decision through an integrated
assessment.
Aggregation
Aggregating different aspects of sustainability performance into a single score is quite challenging. An
additive aggregation procedure, based on multi attribute utility theory, can be used to assess the fund’s
sustainability performance overall (MAUT; von Winterfeld and Edwards, 1986; Scholz and Tietje, 2002,
p. 141). The main assumption is that the overall performance of a decision alternative (e.g. an invest-
ment in a specific fund) consists of individual performances for single criteria (3). The overall perfor-
mance is calculated as the weighted sum of the performances of the individual criteria.
n
SP = Â w i pi (3)
i =1
SP: overall sustainability performance of a fund

wi: weight for sustainability criterion i
pi: performance of criterion i
n: total number of criteria.
A critical issue with this approach is whether all the criteria can be condensed into a single score
result. Some of the criteria may be of non-compensatory nature. This means that good performance of
other criteria will not compensate for bad performance of these criteria. In the assessment method, this
type of criterion can be included as veto criteria. Some examples of veto criteria include problematic prod-
ucts/services (defense, nuclear power, alcohol, . . .) or assets with negative ratings in portfolio without engage-
ment. When such criteria are not fulfilled, there is no compensation for them by other criteria and the
fund can be heavily downgraded.
Time Perspective
An important methodological issue is whether to assess the current sustainability performance or its
projected future performance. This is important because sustainability funds either build on a strong
potential for improvements in the future (e.g. best-in-class funds with large caps, such as fund A in
Figure 4) or on a powerful sustainability performance (e.g. solar energy funds, such as fund B).
It is possible to trace the development of the sustainability performance of shares or funds over time
on the basis of criteria and quantitative indicators. The performance of investment products, both his-
torical and current, can be evaluated by periodically reissuing questionnaires or environmental assess-
ments. To satisfy the criteria of sustainable development, however, the projected future sustainability
should be assessed. The potential for improvement with respect to sustainability among branches, com-
panies or countries can be assessed through conducting a scenario analysis. This method also takes the
social and political frameworks’ effect on future performance into account (Scholz and Tietje, 2002).
Furthermore, assessment of sustainability drivers (e.g. corporate environmental management) can indi-
cate a sustainability outcome in the future.
The outcomes of an assessment of a fund’s sustainability performance depend very much on the time
perspective chosen. In 2003, for example, fund A resulted in less environmental burden than fund B
(see Figure 4), but over time the advantage of A will diminish until B is better, because the potential for
improvement is higher in fund B. Therefore, a combined assessment of past performance and projected
future performance is the most reliable method of evaluating a fund’s performance. This is because the
consistency of sustainability performance over time is an important decision criterion. For example,
emissions – such as CO2 – can concentrate in the environment and, therefore, showing a low cumu-
lated environmental emission (i.e. all emissions in a defined period added together) is beneficial. In
mathematical terms, this cumulated sustainability performance is represented by the integral over time,
which is equal to the area below each performance curve in Figure 4.
Finally, a back testing procedure can be established in order to increase the validity of the assessment.
Back testing procedures are recommended for rating the corporate clients of banks (Krahnen and Weber,
2001). In this context, the ex ante probability of default (i.e. rating a bad client as good) should not be
30
Environmental
Fund A
20
burden
Fund B
10
00
04
20
08
20
12
20
16
20
20
20
Time
20
Figure 4. It is possible to compare two investment funds (depicted by a yellow line and a blue line) with respect to their envi-
ronmental performance at a chosen point in time or as it develops over a period of time
significantly different from the ex post realized default frequency. Although these principles were
designed in another context, they can also be used in sustainability rating. Here, back testing makes it
possible to assess whether projected improvements in performance (based on scenario analysis or indi-
cators for performance drivers) have been achieved ex post. For example, if CO2 emissions of a portfo-
lio of companies are expected to improve over time because of specific continuous improvement
processes being initiated, back testing would reveal whether or not the expected improvement in per-
formance was achieved. Consequently, one could conclude that this type of continuous improvement is
appropriate for decreasing CO2 emissions. In the end, management activities (or other drivers) can be
assessed based on their sustainability outcome, such as reduced CO2 emission. It is very important that
back testing is based on a real portfolio for the whole period considered. Otherwise, any kind of port-
folio could be created and back tested to create a positive performance curve.
System Border
An investment fund that is rated as excellent with respect to sustainability should have a positive impact
on the environment and society. In order to assess these impacts practically, however, it is necessary to
specify the system borders of the environment and society. It is not possible to investigate the social and
ecological impact without narrowing the system down. At the same time, the system must not be too
narrow, because relevant information might be lost. As we suggest above, the system to be assessed
should include the fund research and management. In addition, the fund portfolio should be included
in the assessment, because this is expected to have a decisive influence on the sustainability perfor-
mance of funds. The system borders also encompass corporate management, corporate product policy
and the companies’ ecological and social performance.
Peer Group and Benchmark

Until now, performance measurement was developed in terms of an isolated assessment for a single
fund. It is more relevant, however, to compare the fund’s performance (both financial and non-
financial) with the performance of other funds and relative to a benchmark. Such a comparison allows
one to distinguish the general trends in performance, which affect most funds similarly, from the
individual performance of a specific fund. The superior financial performance of a fund compared with
a chosen benchmark and other funds is a strong investment criterion. For such comparisons, it is nec-
Type Description
Equity funds Actively managed funds

Ethical funds Characterized by principle driven and/or religiously motivated lists of criteria
for excluding companies (e.g. no alcohol, no drugs, no military goods)
Environmental technology funds Companies focused on environmental technologies used for cleaner production,
recycling etc.
Eco-efficiency funds Large companies demonstrating best environmental practice in class
Sustainability leader funds Large companies with best sustainability practice in class (also focuses on best
sectors possible: best in best class)
Eco-pioneer/venture funds Innovative small- and mid-cap companies focused on environmental
technologies and services
Environmental resource funds Topic of funds is linked to environmental resources: e.g. water, energy or
sustainable forestry
Sustainable bond funds Country or company bonds selected on the basis of sustainability criteria
Sustainable index funds Passively managed fund that is highly diversified; best-in-class approach
Fund of funds Portfolio of funds as described above
Table 1. Typology for investment funds (adapted from Schaltegger and Figge, 2001)
essary to build homogenous peer groups and apply appropriate benchmarks to each peer group. The
benchmark has the function of setting the standard and allows a particular fund to be rated on a cardi-
nal scale. Ranking the investigated funds on an ordinal scale complements the rating, because it reveals
the best funds in each peer group. Please note the relativity of ranking. Even funds with a moderate
rating on an absolute scale might attain top ranking if all of the other funds are worse.
Peer groups are defined as homogenous based on a consistent set of criteria. Two of the more widely
used criteria for the financial rating of equity funds are the market capitalization of stocks and the invest-
ment style in terms of risks/opportunities. Existing classifications for sustainability funds use a number of
implicit and explicit criteria (Schaltegger and Figge, 2001; Rauschenberger, 2002, p. 181). Based on the
existing work, we propose the following set of criteria:
• financial risk/opportunity style – growth style with high risk, intermediate style, value style with low risk
• allocation of portfolio
country allocation – Europe, America, Australia, Asia, Africa, world
sector allocation – information technology, food etc.
asset allocation – stocks,2 bonds (country or corporate), private equity, funds, real estate
• sustainability goals – economic, ecological, socio-cultural and /or ethical goals

• sustainability style – all sectors included and then best in class, or only best sectors included and then
best in class, or specifically green topics (e.g. water, green energy, sustainable forestry).
In principle, all combinations of criteria are possible; in practice, however, peer groups can be defined,
which show common combinations of criteria (Table 1). A more sophisticated approach is to analyze the
portfolio structure using cluster analysis. Each fund can be viewed as one point in an N-dimensional
space. The dimensions are based on criteria expected to differentiate the funds. With cluster analysis,
the portfolios are analyzed comparatively and grouped into clusters according to the similarities and dis-
2
Further criteria for characterizing stocks are (i) market capitalization – large caps, mid caps, small caps – and (ii) innovativeness of compa-
nies – pioneers, early successors, late successors.
similarities of their asset structure (Marathe and Shawky, 1999; Haslem and Scheraga, 2001). Elton and
Gruber (1999a) were able to show that for stock analysis the application of such classification techniques
improved the prediction of performance.
Benchmarks should replicate the market structure and, therefore, are often stock indices, which are
strongly diversified. One benchmark at best is chosen for each peer group. In general, benchmarks (i)
should be a real and realistic alternatives for investments, (ii) have to be chosen before investment
decisions are made, (iii) should be inexpensive and (iv) should be well diversified, and consequently
difficult to outperform, especially when the performance is risk adjusted (Sharpe, 1992; Gast, 1998;
Rauschenberger, 2002). For the peer groups shown in Table 1, it might be problematic to define appro-
priate benchmarks, because until now only a few sustainability indices have existed. Important sus-
tainability indices include the Dow Jones Sustainability Index (DJSI World), FTSE4Good (joint venture
between the Financial Times and the London Stock Exchange), Ethibel Sustainability Index (in cooper-
ation with Standard & Poor’s) and the German Natur-Aktien-Index.
Discussion
General problems of sustainability rating

Rating investment funds with respect to their sustainability performance is necessary to support poten-
tial investors in their investment decisions. The sustainability rating, however, creates several general
problems. These can be classified into three groups: value-setting, methodological choices and infor-
mation access.
(i) In every sustainability or environmental assessment, values and preferences are crucial. The under-
lying values particularly influence the criteria investigated and the selection of indicators. If only
a small team of researchers is involved in these steps, the results are largely determined by their
subjective view. Especially in the context of sustainable development, considering the view of
stakeholders is imperative. Stakeholders can be involved in the design of the set of criteria and
determination of criterion weights as suggested by the theory of multi-criterion decision-making
(Saaty, 1990). Subjectivity, however, is not only a problem with sustainability rating; subjective
weights are used in financial rating as well, for example, for integrating fund performance over dif-
ferent time horizons (Morey and Morey, 1999).
(ii) As mentioned above, existing investment funds can be classified as homogenous peer groups. The
design of a consistent method that allows rating across peer groups, however, is problematic as
the differences between peer groups (e.g. ethical funds and sustainable leader funds) are quite sub-
stantial. Within each peer group, differences in sector allocation and country allocation have to be
taken into account. In addition, defining the functional unit and the system borders and deter-
mining how to evaluate the ecological performance (each sector individually and across different
sectors) are important methodological choices.
(iii) A sophisticated method requires good data. Acquiring access to information about companies,
however, can be very difficult. Compared with financial reporting, sustainability reporting is less
developed (Edwards et al., 2002). Müller-Wenk (1978) suggested an environmental accounting
system as much as 25 years ago and it was developed further worldwide (see, e.g., Rubenstein, 1994;
Helminen, 2000; Tyteca et al., 2002). A comprehensive and consistent environmental accounting
system, however, has not yet been established in practice. Available information on the social
and ecological impacts is often neither systematic nor standardized, and there is a remarkable dif-
ference in diligence between companies. Initiating international guidelines about sustainability
reporting and encouraging the emergence of databases such as the Toxic Release Inventory (TRI)
in the US might improve comparability (GRI, 2000; WBCSD, 2000; Gerde and Logsdon, 2001).
A recent investigation has concluded that the reporting activities of multinational companies are
not as far developed as described in the guidelines (Morhardt et al., 2002). Quite interestingly, Cerin
(2002) found that for the Swedish stock exchange effort providing environmental reports on the
Internet is positively correlated with the companies’ market capitalization and CO2 emissions per
turnover.
(iv) An important issue of sustainability rating is assessing the integration of sustainability research
into the investment processes. Cleary, professional asset managers need to take into account the
potential trade-off between the prospective return of assets and their sustainability performance.
How the results of SRI research are integrated into portfolio construction, however, must be clearly
defined. This includes transparency about decision-making, including the weights of sustainability
performance versus financial performance. If this is not the case, even excellent SRI research can
have little influence on portfolio construction and, finally, on a fund’s sustainability performance.
For a comprehensive rating of sustainability investment funds, it is necessary to consider both the
financial rating and the non-financial rating. Reviewing the financial rating allows one insights into
past monetary performance. Ideally, the sustainability rating should complement the financial one,
since it addresses the sustainable development of companies in the portfolio as well as their ecological
impact and social responsibility. Several studies suggest a dependency between corporate sustainability,
corporate governance and a long-term positive financial performance (Schaltegger and Figge, 2000;
Stanwick and Stanwick, 2000; King and Lenox, 2001). Sustainability rating, therefore, might mitigate
the problems of a financial rating that is only focused on past financial performance and neglects soft
factors.
Comparability of Different Types of Fund

The comparability of product, project or service alternatives is a general issue in multi-criterion deci-
sion-making (Stewart and Losa, 2003). In environmental life cycle assessment, which is also based on
multi-criterion decision-making (Hofstetter, 1998), alternatives that fulfill the same function with
respect to the intended goal of activity are compared (Curran, 1996, p. 2.2). For example, different trans-
portation alternatives – such as railway, truck and aircraft – are comparatively assessed. All of the alter-
natives have the same function (transportation), but the environmental burdens for one unit of goods
or one person differ from alternative to alternative.
Analogous to the above example, comparative assessment of different solar energy funds is straight-
forward, because all solar energy funds deal with the same type of product. In this case, the functional
unit referred to is the service within one sector. Comparison of different types of fund, however, is more
problematic. For example, deciding whether solar energy funds or sustainability leader funds are prefer-
able with respect to socio-ecological impacts is very difficult. The two types of fund are characterized by
completely different structures. According to this line of reasoning, rating funds across peer groups is
impossible; it is only possible to determine the best fund within a peer group. Potential investors,
however, must actively select between investment funds belonging to different peer groups. From their
point of view, they should have comparisons between the financial and non-financial performance of all
relevant investment funds in order to make an informed decision.
Central to this argument is the issue of the perceived function of the financial investments. In the
context of sustainability, a distinction should be made between the function of investments on a macro
level and on micro. On the macro level, investments satisfy human needs by providing financial support
for economic activities. In this context, the basic function is the physical output of an individual plant
or an economic sector (such as solar energy, which can be used for cooking, heating and transporta-
tion). This means that in order to compare the socio-ecological impact of investment products on the
macro level, functional units should refer to the various units of service output, size of the plants or
number of workers.
For an individual investor, the function of an investment on the micro level is primarily to obtain a
return on his investment. The choice for one or the other investment alternative is mainly influenced
by their financial performance. Considerations about desirable services or sectors are only taken into
account secondarily – unless such considerations have an immediate influence on the financial perfor-
mance of his portfolio. At this level, the functional unit should refer to the financial aspect of an invest-
ment. Various alternatives for such units were described above in detail.
In principle, functional units can be based on either the financial economy or the physical economy.
Which one they are based on, however, affects the comparability of the investment products. On the
micro decision level, all types of investment should be commensurable and replaceable for investors.
The act of deciding on an investment includes implicit or explicit comparison of different investment
alternatives. A financial functional unit is appropriate in this context. This allows comparison of
investment alternatives in order to support investors in their decisions. For example, alternatives can be
compared on the basis of sustainability performance per 1% rate of return. Not all types of investment
are comparable on the macro decision level, because the physical function of one service sector
(transportation) cannot be compensated for by the function of another sector (nourishing). The values
provided by these sectors are considered to be incommensurable, and no common unit of measurement
for their service or value exists (Martinez-Alier et al., 1999). Consequently, functional units for
macro analysis should refer to the basic services, such as transportation or nourishment, not financial
aspects. Quite interestingly, in sustainable investment products, the macro level and the micro
level meet.
Efficiency versus Absolute Systemic Impact (Effectiveness)

An important issue to be addressed is the question that should be assessed: investment funds’ eco-
efficiency or their absolute systemic impacts. Eco-efficiency refers to the relative input of energy and
amount of emissions per unit of a product’s function (Schaltegger and Sturm, 1992). If, however, con-
sumption is increasing, even a high level of efficiency might be overcompensated. Also, rebound effects
are possible, as described by Dyllick and Hockerts (2002) for the car industry: ‘Thus more efficient (and
thus less costly) cars might very well backfire from an ecological point of view by increasing the number
of cars and of kilometers driven per year. In order to avoid this type of rebound effect, companies will
have to focus on the absolute amount of mobility-induced CO2 emissions worldwide. The focus then
might shift from fossil fuel efficiency to the effectiveness of solar powered fuel cells’.
Eco-efficiency alone cannot guarantee sustainable development on a global level. In addition, the
absolute systemic impact of a portfolio of companies bundled in a mutual fund should be assessed. For
this purpose, a comparative assessment of sectors is strongly required. For the reasons given, an assess-
ment of companies within their class alone (best-in-class approach; see, e.g., Knoepfel, 2001) is not suf-
ficient. The methodological choice described above has implications for the rating of investment funds.
One might follow the logic that it is necessary to go beyond ecoefficiency and take the absolute impact
into account. In that case funds bundling large multinational companies might then rate worse than
eco-pioneer funds with small- and mid-cap companies focusing totally on environmental technologies
and services. In the end, this decision is up to the investor.
Conclusion
The utility of sustainability rating depends very much on the decision-makers’ intentions. Sustainabil-
ity rating generally allows funds with positive sustainable performance to be identified, thus facilitating
better-informed investment decisions. In addition, an investment in a portfolio can be traced over time
with respect to changes in its sustainability performance. Decisions that are subject to compliance can
be defended based on an objective rating. A sustainability rating also has the potential to initiate a dis-
course on the quality of sustainable investments among the public and the fund manager. A similar
concept, namely benchmarking between companies, has been employed for initiating discourse on sus-
tainable development between participating companies (Springett, 2003). Hopefully, such a discussion
will be helpful in ‘greening’ the banking sector well beyond the direct impacts (e.g. energy use) of a
bank’s activities (Lundgren and Catasús, 2000).
Acknowledgement
This paper is a result of the project Sustainability Rating, financially supported by the Swiss Agency for the Environment, Forest
and Landscape (SAEFL/BUWAL) and the Federal Office for the Spatial Development of Switzerland (ARE). We would like to
thank all of the participants in our workshops for the lively discussions and their input: Jan-Hein Alfrink (Dexia), Erol Bilecen
(Bank Sarasin), Uwe Grazek (imug), Beat Hess (Fondvest), Andreas Holzer (ZKB), Ivo Knöpfel (OnValues), Oliver Karius
(SAM), Daniel Peter (INFRAS/INrate), Markus Pfister (ABS), Armando Rojas (National Bank of Costa Rica), Ingeborg
Schumacher (UBS), Thomas Stadler and Simon Tobler (SAEFL/BUWAL), Thomas Vellacott (WWF), Daniel Wachter (ARE)
and Urs-Peter Wepfer (Global Care).
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Biography
Dr. Thomas Koellner (corresponding author), Dr. Olaf Weber and Professor Roland Scholz can be con-
tacted at GOE m.b.H. Zürich, Sumatrastrasse 25, CH-8006 Zurich, Switzerland
Tel.: +41 1 361 13 05
E-mail: koellner@goe.ch
or at ETH Zurich, Natural and Social Science Interface (NSSI), ETH-Zentrum HAD, CH-8092 Zurich,
Switzerland
Tel.: +41 1 6326311
Fax: +41 1 6321029
E-mail: thomas.koellner@env.ethz.ch
Dr. Marcus Fenchel is based at ETH Zurich, Natural and Social Science Interface (NSSI), ETH-
Zentrum HAD, CH-8092 Zurich, Switzerland.

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Business Strategy and the Environment

Bus. Strat. Env. 14, 54–70 (2005)

Principles for Sustainability Rating of

Received 20 May 2003; revised 2 February 2004; accepted 1 March 2004

$1000 INVESTMENT IN A ‘GREEN’ FUND HAVE ON SUSTAINABILITY? DOES

Driver Outcome Model for Sustainability Investment Funds

Assets (stocks, bonds)

Goals and strategy of fund management

Strategic asset allocation

Operational asset allocation

Economical Ecological Social

Ø Economical Ø Ecological Ø Social

Framework and General Principles for Rating Sustainability

Methodological Aspects of Sustainability Rating

Assessment of Research Processes in Fund Management

Sustainability Performance Measurement of Investment Portfolios

The definition of sustainability performance requires a clear understanding of fundamental objectives

stakeholder relations etc.

CO2 emissions, CFC-11 emissions, noise etc.

Standardization and Functional Unit

SEj: sustainability efficiency of investment in fund j

functional unit = R1 year (2)

R: financial return (e.g. based on a period of one year) for fund j.

SP: overall sustainability performance of a fund

Peer Group and Benchmark

Equity funds Actively managed funds

sector allocation – information technology, food etc.

• sustainability goals – economic, ecological, socio-cultural and /or ethical goals

General problems of sustainability rating

Comparability of Different Types of Fund

Efficiency versus Absolute Systemic Impact (Effectiveness)

SRIcompass. 2002. Homepage. www.sricompass.org/funds [26 August 2002].

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