Risk Characteristics and Long-Run Cointegration of ESG Mutual Funds: Evidence from ABSLAMC and BSE 100 ESG

AUM, volatility metrics, BSE 100 ESG benchmark, mutual fund performance

The Aditya Birla Sun Life ESG Integration Strategy Fund, launched in December 2020, achieved over ₹622 Cr in assets under management (AUM) by January 2026. The study investigates the fund's use of ESG factors for risk-adjusted returns, its consistent AUM growth, and investor confidence in sustainable investing. It analyzes AUM evolution through monthly data and employs modeling techniques like ARCH/GARCH to assess volatility, revealing time-varying heteroskedasticity. Furthermore, tests for long-term equilibria with the BSE 100 ESG benchmark and the application of GARCH-enhanced models indicate superior performance of the ESG fund when adjusted for volatility, highlighting its significance for sustainable portfolio development.