A volatility-match approach to measure performance: the case of socially responsible exchange traded funds (ETFs). Issue 1 (25th May 2021)

• Record Type: Journal Article
• Authors: Lobato, Manuel; Rodríguez, Javier; Romero, Herminio
• Is Part Of: Journal of risk finance. Volume 22:Issue 1(2021)
• Page Start: 34
• Page End: 43
• Publication Date: 2021-05-25
• Subjects: Exchange-traded funds -- Socially responsible investments -- Risk-adjusted performance; Risk management -- Periodicals; Risk (Insurance) -- Periodicals; Risk assessment -- Periodicals; 658.155
• DOI: 10.1108/JRF-04-2020-0066
• Languages: English
• ISSNs: 1526-5943

Abstract

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.