Data Set for the article Climent, Momparler, Carmona (2025). Predicting mutual fund performance with machine learning: Are ESG pillar scores relevant predictors of fund return?, Borsa Istanbul Review, 25, 1403-1419

Unofficial AI-generated summary based on the public title and abstract. Not an official translation.

🔬研究者:ESGスコアとファンドリターンの関係を機械学習で検証するためのデータセットとして利用可能。

🏢実務担当者:ESGデータを運用戦略に組み込む際の予測可能性の参考になる。

The data was collected in 2024 from the Refinitiv Eikon Database (https://www.refinitiv.com). We selected European mutual equity funds with a global geographic scope, focusing on actively managed share-based assets in euros, with continuous five-year performance records (january 1, 2020, to December 31, 2024), and a minimum investment requirement of up to €10,000, in order to concentrate on retail funds and exclude institutional funds. The variables used in the analysis are defined as follows: - Fund Return (ANNUAL RETURN): The annual total return of the fund, including both capital appreciation and dividends, calculated on a calendar-year basis. - ESG Score (ESGSCORE): A composite measure reecting the fund’s overall performance on Environmental, Social, and Governance criteria, based on peer-relative rankings. - Environmental Score (ENVSCORE): The fund’s score on environmental factors, such as emissions, resource use, and environmental management practices. - Social Score (SOCSCORE): The fund’s score on social factors, including community impact, human rights, product responsibility, and workforce practices. - Governance Score (GOVSCORE): The fund’s score on governance factors, such as board structure, transparency, shareholder rights, and executive compensation. - Total Expense Ratio (TER): The annual cost of managing the fund, expressed as a percentage of assets under management, covering management fees and other operating expenses. - Fund Total Net Assets (FUNDTNA): The total net value of the fund’s assets, calculated as total assets minus total liabilities, measured in thousands of euros. - Five-ear Annualized Standard Deviation of Returns (ANNUALSD5): A measure of the fund’s return volatility over the past five years, indicating the degree of variability in performance. - Alpha (ALPA): A risk-adusted performance metric showing the difference between the fund’s actual returns and its expected returns, given its level of market risk (beta). - Beta (BETA): A measure of the fund’s sensitivity to market movements, indicating how much the fund’s returns move in relation to the overall market. - Style Matrix (STLEMATRIX): A classification of the fund’s investment style and size, based on the Lipper Style Box, which categorizes funds by market capitalization and investment approach (e.g., value, growth, or core).

• openalex https://doi.org/10.5281/zenodo.21674825first seen 2026-07-31 06:16:52 · last seen 2026-07-31 06:16:54