From the Abstract: "We present a comprehensive analysis of the performance and flows of U.S. actively-managed equity mutual funds during the COVID-19 [coronavirus disease 2019] crisis of 2020. We find that most active funds underperform passive benchmarks during the crisis, contradicting a popular hypothesis. Funds with high sustainability ratings perform well, as do funds with high star ratings. Fund outflows largely extend pre-crisis trends. Investors favor funds that apply exclusion criteria and funds with high sustainability ratings, especially environmental ones. Our finding that investors remain focused on sustainability during this major crisis suggests they view sustainability as a necessity rather than a luxury good."
Working Paper No. 2020-96
Becker Friedman Institute for Research in Economics
Becker Friedman Institute for Research in Economics: https://bfi.uchicago.edu/