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The ESG ETFs in the UK

Author

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  • Gerasimos G. Rompotis

    (Athens University MBA, National and Kapodistrian University of Athens)

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.

Suggested Citation

  • Gerasimos G. Rompotis, 2022. "The ESG ETFs in the UK," Journal of Asset Management, Palgrave Macmillan, vol. 23(2), pages 114-129, March.
    • Handle: RePEc:pal:assmgt:v:23:y:2022:i:2:d:10.1057_s41260-021-00251-z
    DOI: 10.1057/s41260-021-00251-z
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    References listed on IDEAS

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    Cited by:

    1. Ying-Sing LIU & Liza LEE, 2022. "Are Modifications in the ETF's Investment Performance and Risks during the COVID-19 Pandemic Event?," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 23(1), pages 05-17, June.
    2. Amit Kumar Singh & Yifang Zhang & Anu, 2023. "Understanding the Evolution of Environment, Social and Governance Research: Novel Implications From Bibliometric and Network Analysis," Evaluation Review, , vol. 47(2), pages 350-386, April.
    3. Gerasimos G. Rompotis, 2023. "The Performance of ESG ETFs in the U.S," Capital Markets Review, Malaysian Finance Association, vol. 31(2), pages 89-101.

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    More about this item

    Keywords

    ETFs; ESG; Performance; Ratings;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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