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This research evaluates the risk-adjusted performance of sustainability indices in the Indian market.

Assessing the Risk-adjusted Performance and Volatility of Sustainability-focused Indices of the Emerging Indian Market

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This research evaluates the risk-adjusted performance of sustainability indices in the Indian market.
Comparison of NIFTY environmental, social and governance index, S&P BSE carbon-based thematic index, and S&P BSE GREENEX against NSE 100 index.
Analysis spans January 2015 to August 2024.
Utilized risk-adjusted measures, GARCH-type models for volatility analysis.
Sustainability investments provide competitive returns with enhanced downside protection.
N100ESG showed the best overall performance.
GREENEX excelled in risk-return resilience.
Market cap reliance may affect the purity of ESG investments.

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Analysis shows sustainability indices improve returns and downside risk protection in India, suggesting regulatory changes are needed.

Gupta et al. (2026) studied this question.

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