The heterogeneity of the diversification effect of sustainable development goals related exchange-traded funds

Wei Kuang

Journal of Sustainable Finance & Investment, 2024, vol. 14, issue 2, 366-387

Abstract: With the launch of the United Nations 2030 Agenda for 17 Sustainable Development Goals (SDGs), investors are encouraged to contribute to solving some of the world's most pressing problems through their business activities. This paper examines the diversification benefits of SDGs exchange-traded funds (ETFs) from the perspective of tactical and strategic investors. Specifically, the risk-adjusted returns of equity market portfolios with and without SDGs ETFs are compared. The incremental impact is assessed using variable weightings, while the persistence is investigated over time. The results show that the effects of diversification vary greatly across SDGs. ETFs linked to economic growth and innovation improve reward-risk ratios significantly, particularly for strategic investors. ETFs associated with renewable energy, on the other hand, deteriorate portfolio efficiency. The ETF based on good health has the potential to reduce portfolio downside risk. The findings provide useful implications for investors seeking to add value through socially responsible investing.

Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/20430795.2021.1992336 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:jsustf:v:14:y:2024:i:2:p:366-387

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/TSFI20

DOI: 10.1080/20430795.2021.1992336

Access Statistics for this article

Journal of Sustainable Finance & Investment is currently edited by Dr Matthew Haigh

More articles in Journal of Sustainable Finance & Investment from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().