Socially Responsible Bond ETFs in the US: A Performance Evaluation

This paper seeks to answer whether socially responsible bond Exchange Traded Funds (ETFs) in t he USA can outperform the main local aggregate and stock market indices. More specifically, performance of 62 ETFs with Environmental, Social Governance (ESG) Scores 7/10 or above is assessed over period 1/1/2018 - 31/12/2021. The sample has been selected based on data availability study period. Standard research methodology applied including single-factor model risk -adjusted return metrics Sharpe Information ratios. Performance persistence evaluated too. findings show that, raw terms, mean ETF underperforms Bloomberg US Aggregate Bond Index S&P 500 Index. In addition, examined cannot produce any material above-market return. Furthermore, daily returns seem persist but weekly monthly display a reverting behavior. A similar behavior observed between annual rankings ETFs. Overall, our resu lts are line those literature that show, average, ESG portfolios beat non-ESG peers consistent basis.