Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JII
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Subscribe Now
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Index Investing
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Subscribe Now
  • Log in
The Journal of Index Investing

The Journal of Index Investing

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JII
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

Risk and Return Characteristics of Environmental, Social, and Governance (ESG) Equity ETFs

Srinidhi Kanuri
The Journal of Index Investing Fall 2020, 11 (2) 66-75; DOI: https://doi.org/10.3905/jii.2020.1.092
Srinidhi Kanuri
is an assistant professor in the Department of Finance, Real Estate, and Business Law, College of Business, at the University of Southern Mississippi in Hattiesburg, MS
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.
Don’t have access? Sign up today to begin your trial to the PMR platform 

Abstract

Environmental, social, and governance (ESG) ETFs attract investors who are driven by their personal values in investing, but also by investors who believe that ESG investing will produce a favorable return–risk trade-off. This article looks at the risk and return characteristics of ESG ETFs since their inception (February 2005) through July 2019 and compares them with investable proxies for US (Russell 3000 ETF—IWV) and global (SPDR® Global Dow ETF—DGT) equity markets. Using absolute and risk-adjusted performance measures, the author finds that equal- and value-weighted ESG portfolios outperformed the IWV and DGT in some periods and underperformed in others. However, during the entire period, IWV and DGT outperformed ESG portfolios and had higher absolute- and risk-adjusted performance.

TOPICS: Exchange-traded funds and applications, ESG investing

Key Findings

  • • Environmental, social, and governance (ESG) ETFs attract investors who are driven by their personal values in investing, but also by investors who believe that ESG investing will produce a favorable return–risk trade-off.

  • • This article looks at the risk and return characteristics of ESG ETFs since their inception (February 2005) through July 2019 and compares them with the US (Russell 3000 ETF—IWV) and global (SPDR® Global Dow ETF—DGT) equity markets.

  • • The period of study is divided into two bull markets (February 2005 to September 2007 and April 2009 to July 2019) and one bear market (October 2007 to March 2009). ESG portfolios outperformed IWV and DGT in some periods and underperformed in others. However, during the entire period, both IWV and DGT outperformed ESG portfolios, with higher absolute- and risk-adjusted performance.

  • • Results indicate that investors can definitely allocate a portion of their portfolios toward their desired ESG investment, as it would help them diversify and lower risk.

  • © 2020 Pageant Media Ltd
View Full Text

Don’t have access? Register today to begin unrestricted access to our database of research.

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Index Investing: 11 (2)
The Journal of Index Investing
Vol. 11, Issue 2
Fall 2020
  • Table of Contents
  • Index by author
  • Complete Issue (PDF)
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Index Investing.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Risk and Return Characteristics of Environmental, Social, and Governance (ESG) Equity ETFs
(Your Name) has sent you a message from The Journal of Index Investing
(Your Name) thought you would like to see the The Journal of Index Investing web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Risk and Return Characteristics of Environmental, Social, and Governance (ESG) Equity ETFs
Srinidhi Kanuri
The Journal of Index Investing Aug 2020, 11 (2) 66-75; DOI: 10.3905/jii.2020.1.092

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Risk and Return Characteristics of Environmental, Social, and Governance (ESG) Equity ETFs
Srinidhi Kanuri
The Journal of Index Investing Aug 2020, 11 (2) 66-75; DOI: 10.3905/jii.2020.1.092
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • LITERATURE REVIEW
    • DATA
    • DESCRIPTIVE STATISTICS
    • RETURNS AND RISK
    • RISK-ADJUSTED PERFORMANCE
    • CUMULATIVE WEALTH
    • METHODOLOGY FOR COMPUTING ALPHA
    • PERFORMANCE DURING BULL AND BEAR MARKETS
    • CONCLUSIONS
    • ADDITIONAL READING
    • APPENDIX
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 2154-7238 | E-ISSN: 2374-135X

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies