In the dynamic landscape of investment, the comparison between conventional ETFs andESG-screened ETFs presents an interesting narrative of risk and return. With the ETF market soaringto $7.2 trillion in total net assets by 2021 and a surge in global enthusiasm for ESG investing, theintegration of financial and ethical considerations has become increasingly significant.This study delves into this comparison, dissecting the risk-return dynamics between conventional andESG-screened ETFs in developed markets. Against a backdrop of escalating interest in ESG criteria,two questions drive the study: How do the risk-return dynamics differ between conventional ETFs andESG-screened ETFs? Do ESG-screened ETFs outperform conventional ETFs relative to the S&P 500index? Leveraging Sharpe ratio calculations and GARCH modelling, the analysis extends into thepost-pandemic era, capturing recent market performances.Findings reveal mixed performance outcomes. While ESG-screened ETFs demonstrate stability,conventional ETFs achieve slightly higher risk-adjusted returns. Nonetheless, ESG-screened ETFsoffer stability without significant performance trade-offs, making them attractive for investors seekingalignment with ethical considerations. This research not only sheds light on ETF performancedynamics but also guides investors in integrating ESG principles into their investment strategies forbalanced financial and ethical outcomes.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:liu-204234 |
| Date | January 2024 |
| Creators | Hedlund, Filip, Palmblad Söderhielm, Gabriel |
| Publisher | Linköpings universitet, Nationalekonomi, Linköpings universitet, Filosofiska fakulteten |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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