We studied the Corporate Sustainability Index (ISE) of the Brazilian Mercantile, Futures and Stock Exchange (BM&FBOVESPA), with the main objective of analyzing the performance of sustainable investments in the Brazilian stock market during the period from December 2005 to December 2010. We mainly used the following measures: Sharpe, Treynor, Jensen, Sortino, Modigliani and Modigliani, and Omega. Our results show that although sustainable investments exhibited some interesting characteristics, such as low diversifiable risk and increasing liquidity, they did not achieve satisfactory financial performance in the analysis period. As the adoption of criteria that demand high performance of companies in relation to sustainability issues becomes mandatory, the value of these investments will tend to increase.
Sustainable investment; Socially responsible investment; Corporate Sustainability Index (ISE); Portfolio performance analysis
