Call For Papers for Fall 2023, deadline 8/25
We provide the first analysis of the risk-adjusted performance of impact investing funds, private market funds with dual financial and social goals. We introduce a new dataset of impact fund cash flows constructed directly from financial statements. When accounting for market risk exposure, impact funds underperform the market by $0.30 on the dollar, but outperform VC funds by $0.15 on the dollar. We exploit known distortions in measures of venture capital (VC) performance to characterize the risk profile of impact funds. Impact funds have substantially lower market beta than VC funds, contradicting the idea of impact as a “luxury good.” Impact fund returns are not spanned by the market and a public sustainability factor.