The ESG ETFs in the UK

Gerasimos G. Rompotis ()
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Gerasimos G. Rompotis: Athens University MBA, National and Kapodistrian University of Athens

Journal of Asset Management, 2022, vol. 23, issue 2, No 3, 114-129

Abstract: Abstract This study examines the performance of 49 so-called ESG ETFs in the UK. These funds apply environmental, social and governance criteria in their investing strategies. Raw and risk-adjusted returns are estimated with standard methodology including the Capital Assets Pricing Model, the Fama and French (Journal of Financial Economics 116:1–22, 2015) Five-Factor Model, and the Sharpe and Treynor ratios. On average terms, no significant alpha is achieved by ESG ETFs in the UK, whereas there are not differences in Sharpe and Treynor ratios between ETFs and their benchmarks. However, some empirical evidence obtained indicates that ESG ETFs outperform the FTSE 100 Index, which stands as a proxy for the UK stock market. Along with performance, we examine whether investors award responsible ETFs by entrusting more money to them. However, no significant relationship is found between the ESG rating of ETFs and their assets. On the contrary, it is revealed that the return of ETFs is negatively related to their ESG metrics.

Keywords: ETFs; ESG; Performance; Ratings (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (7)

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DOI: 10.1057/s41260-021-00251-z

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