Online seminar – The risk and return of impact investing funds
Jessica Jeffers, Assistant Professor of Finance and David G. Booth Faculty Fellow, Chicago Booth
We provide the first analysis of the risk exposure and consequent risk-adjusted performance of impact investing funds, private market funds with dual financial and social goals. We introduce a new dataset of impact fund cash flows, and exploit distortions in existing measures of VC performance to characterise the risk profile of impact funds relative to benchmarks. We show that impact funds have a lower market than comparable private market strategies, especially VC funds. When accounting for market risk exposure, impact funds underperform the public market, though not more so than comparable private market strategies. Adding a public sustainability factor to our pricing model helps explain impact fund returns, though the correlation of impact fund cash flows with the public sustainability factor on its own is not necessarily positive. We explore how private market sustainable investing captures distinct risk exposures from both public sustainable investing and nonimpact private market investing.
Jessica Jeffers studies empirical corporate finance. Her interests include human capital and investment decisions, in particular entrepreneurship and social enterprise. She has been awarded the AQR Top Finance Graduate Award and the Kauffman Dissertation Fellowship for entrepreneurship studies.
Jeffers earned a PhD in finance from The Wharton School, University of Pennsylvania and a BA in economics and mathematics from Yale University. Outside of academia, Jeffers has worked in management consulting for the financial industry.
To join the seminar, register and join the Zoom meeting and enter the meeting ID.
Meeting ID: 868 6554 9117
The webinar may be recorded and shared on Cambridge Judge Business School’s websites, social media and other channels.
10 May 2022
Start Time: 13:00
End Time: 14:15