What question did this study set out to answer?

This analysis aims to determine how ESG integration affects the financial performance of ETFs, focusing on risk-adjusted returns.

The Impact of Sustainable Investing on ETF Performance: A Risk-Adjusted Analysis

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Randomized trial analyzes ESG impact on ETF performance, highlighting sustainable strategies for investing.

This analysis aims to determine how ESG integration affects the financial performance of ETFs, focusing on risk-adjusted returns.
Analyzed a dataset of 560 ETFs
Applied Fama–French three-factor, Carhart’s four-factor, and Fama–French five-factor models to assess performance
Evaluated how ESG scores influence risk-adjusted returns across different ETF strategies.
Incorporating ESG criteria enhances risk-adjusted returns
Higher ESG-rated portfolios are generally more profitable but follow conservative investment approaches
Increased returns are associated with higher risk due to conservative strategies.

Keffala et al. (2026) studied this question.

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