Abstract

The present paper studies the mean–variance efficiency of the sustainable investment (SI) practice in Mexico by proving the existence of a statistical equality in the performance levels of the IPC sustainability (IPCS) index against the broad market IPCcomp one. Using daily standard deviation and Sharpe ratio levels from November 2008 to August 2013, along with variance ratio and a one-factor CAPM spanning tests, our results showed that the SI strategy in Mexico is as mean–variance efficient as the broad market one, being a good substitute of the latter in the long term. Our results also refuted the assumption of a loss of mean–variance efficiency in the sustainable subset due to a lower diversification.