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| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | ESG/SRI criteria applied to ETFs - A comparison between investment portfolios of traditional passive ETFs and of passive ETFs selected according to ESG/SRI criteria |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 54 |
| Date | 2020 |
| Abstract Text | Through the construction of reliable Corporate Social Responsibility (“CSR”) scores for Environmental Social and Governance (“ESG”) passive Exchange Trade Funds (“ETFs”) as well as for traditional ones, the focus of my analysis is to investigate whether ESG passive ETFs are more sustainable than the traditional ones or not. The results obtained with the CSR scores show that there are no significant differences between ESG ETFs and traditional ones. On the other hand, the outcome using the Fama-French three-factor model indicates essential deviations in the performance of ESG ETFs, either using as a control variable the assets under management (“AuM”) or the years. ESG passive ETFs performed better than traditional ones, although in a rather minimal way. In brief, investing in sustainable assets does not negatively affect the performance as the resulting returns are barely the same (or even marginally better!) as the ones of straightforward traditional investment vehicles. Furthermore, the analysis of Sharpe Ratios confirms these results. |
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