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

IF 5.7 Q1 BUSINESS, FINANCE

Journal of Risk Finance Pub Date : 2021-05-25 DOI:10.1108/JRF-04-2020-0066

M. Lobato, Javier Rodríguez, Herminio Romero

引用次数: 46

Abstract

PurposeThis study examines the risk-adjusted performance of socially responsible exchange traded funds (SR ETFs) in comparison to conventional ETFs.Design/methodology/approachThe 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.FindingsResults show that the performance of SRI ETFs is not different from the performance of conventional ETFs.Originality/valueGiven the results of the study, socially aware investors can choose to invest in SRI ETFs without sacrificing performance.

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衡量业绩的波动性匹配方法：以对社会负责的交易所交易基金（ETF）为例

目的本研究考察了社会责任交易所交易基金（SR ETF）与传统ETF相比的风险调整绩效。设计/方法/方法主要实证结果基于不依赖于线性框架的风险调整业绩指标。它衡量ETF的回报与波动性匹配和有效投资组合的回报之间的差异。此外，使用基于单一和多因素配方的α来测量性能。研究结果表明，SRI ETF的表现与传统ETF的表现没有什么不同。Originality/value根据研究结果，具有社会意识的投资者可以选择在不牺牲表现的情况下投资SRI ETF。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Risk Finance BUSINESS, FINANCE-

CiteScore

6.20

自引率

6.70%

发文量

期刊介绍： The Journal of Risk Finance provides a rigorous forum for the publication of high quality peer-reviewed theoretical and empirical research articles, by both academic and industry experts, related to financial risks and risk management. Articles, including review articles, empirical and conceptual, which display thoughtful, accurate research and be rigorous in all regards, are most welcome on the following topics: -Securitization; derivatives and structured financial products -Financial risk management -Regulation of risk management -Risk and corporate governance -Liability management -Systemic risk -Cryptocurrency and risk management -Credit arbitrage methods -Corporate social responsibility and risk management -Enterprise risk management -FinTech and risk -Insurtech -Regtech -Blockchain and risk -Climate change and risk