A volatility-match approach to measure performance: the case of socially responsible exchange traded funds (ETFs)

Manuel Lobato, Javier Rodríguez and Herminio Romero

Journal of Risk Finance, 2021, vol. 22, issue 1, 34-43

Abstract: Purpose - This study examines the risk-adjusted performance of socially responsible exchange traded funds (SR ETFs) in comparison to conventional ETFs. Design/methodology/approach - The main empirical result is based on a risk-adjusted performance metric that does not rely on a linear framework. It measures the difference between the returns of an ETF and the returns of a volatility-match and efficient portfolio. In addition, performance is measured using alpha based on single and multifactor formulations. Findings - Results show that the performance of SRI ETFs is not different from the performance of conventional ETFs. Originality/value - Given the results of the study, socially aware investors can choose to invest in SRI ETFs without sacrificing performance.

Keywords: Exchange-traded funds; Socially responsible investments; Risk-adjusted performance (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:jrfpps:jrf-04-2020-0066

DOI: 10.1108/JRF-04-2020-0066

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