| Abstract [eng] |
Relevance of the topic. In recent years, global investment practices have seen a marked shift towards sustainability principles. Growing attention to environmental, social responsibility, and governance criteria is changing the traditional approach to investment portfolio formation. Institutional and private investors are increasingly choosing to include sustainable investments in their portfolios that meet not only financial objectives but also social and environmental commitments. Research findings on the effectiveness of sustainable investments remain inconclusive. Some studies show that ESG-based portfolios may have lower risk levels and more stable returns in the long term, while others argue that these portfolios often face lower returns, especially in the short term. Meanwhile, it is becoming increasingly important for market participants to objectively assess how the combination of sustainable and unsustainable investments affects the overall efficiency of the portfolio in order to maintain a balance between profit, risk, and responsibility. The relevance of this work is based on the need to analyze and compare the efficiency of an investment portfolio consisting of sustainable and unsustainable investments in greater depth, using objective evaluation criteria such as return, risk, and risk-adjusted return indicators. Work object. Investment portfolio consisting of sustainable and unsustainable investments and assessment of its effectiveness. Work objective. Examine and evaluate the effectiveness of the investment portfolio in terms of sustainable and unsustainable investments. Work tasks: 1. Analyze the concept of sustainable investing, the theoretical aspects of investment portfolio formation, and the assessment of its effectiveness. 2. Examine the research of authors on the evaluation of the effectiveness of sustainable and unsustainable investment portfolios and develop a methodology for evaluating the effectiveness of sustainable and unsustainable investment portfolios. 3. Create a sustainable and unsustainable portfolio and analyze the results of the assessment of the effectiveness of sustainable and unsustainable investment portfolios. Conclusions. This study concludes that sustainable investing is a complex and rapidly evolving investment approach that integrates financial objectives with environmental, social, and governance (ESG) considerations. By extending traditional portfolio theory, sustainable investing allows investors not only to seek an optimal return–risk balance but also to manage long-term reputational and systemic risks. The review of academic literature showed that the performance of sustainable and non-sustainable investment portfolios should be evaluated using a comprehensive framework that includes return, total and systematic risk, and risk-adjusted performance indicators. Differences in ESG rating methodologies, limited data coverage, and the importance of sector neutrality were identified as key challenges. These insights were incorporated into the research methodology through the use of multiple ESG rating sources, clearly defined selection criteria, and sector-balanced, equally weighted portfolios. The empirical results for the 2019–2025 period indicate that non-sustainable portfolios more frequently generated higher returns and higher risk-adjusted performance, but at the cost of greater volatility and higher overall and systematic risk. In contrast, sustainable portfolios demonstrated lower volatility, greater stability, and better resilience during adverse market conditions, although they generally did not outperform non-sustainable portfolios in terms of risk-adjusted returns. Score of paper. The work consists of an introduction, 3 parts, and conclusions. The main material of the work is described on 55 pages, including 28 tables and 13 figures. The list of references used consists of 43 sources. |
