What question did this study set out to answer?

This research aims to compare risk-adjusted performance between ESG-oriented and non-ESG ETFs across different market regimes, especially during COVID-19.

June 17, 2026RisksOpen Access

Risk-Adjusted Performance of ESG and Non-ESG ETFs Across Market Regimes

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Authors

DVDacio Villarreal-SamaniegoTecnológico Nacional de México LELuis Jacob Escobar-SaldívarUniversity of Monterrey RSRoberto J. Santillán‐SalgadoTecnológico de Monterrey

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Implication

Randomized trial examines risk-adjusted performance of ESG ETFs versus non-ESG ETFs, indicating the influence of market regimes.

Key Points

This research aims to compare risk-adjusted performance between ESG-oriented and non-ESG ETFs across different market regimes, especially during COVID-19.
Classified 28 passively managed ETFs into four sustainability-based categories.
Used factor-based asset pricing models from the Fama–French framework for performance evaluation.
Estimated regime-specific regressions for pre-COVID, COVID, and post-COVID periods.
Non-ESG ETFs underperformed on a risk-adjusted basis during the pre-COVID period, effect disappearing thereafter.
ESG-oriented ETFs showed limited evidence of abnormal performance across regimes.
Factor exposures for ETFs varied, reflecting changes in sector composition and macro-financial conditions.

Cite This Study

Villarreal-Samaniego et al. (2026) studied this question.

synapsesocial.com/papers/6a3239c2d50b63ecad20510e https://doi.org/10.3390/risks14060135

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Risk-Adjusted Performance of ESG and Non-ESG ETFs Across Market Regimes

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Key Points

Cite This Study

Risk-Adjusted Performance of ESG and Non-ESG ETFs Across Market Regimes

Discussion

Member takes

Implication

Key Points

Cite This Study

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