This study adds to the literature on sustainable investment performance by assessing the risk-adjusted returns of ESG ETFs before and during the COVID-19 market crash. Employing five factor models and post-expense returns before and after the market crash caused by the pandemic, it is determined that during the pre-COVID crash period, lower-rated sustainable ETFs tend to outperform the market and higher-rated ESG ETFs. During the crash period, the models’ alphas are found to be negative and insignificant. Overall, higher sustainability ratings of ESG ETFs did not protect the ETFs ETFs from losses during the downturn, but they did not perform worse than the market.

本研究通过评估 COVID-19 市场崩盘之前和期间 ESG ETF 的风险调整回报，增加了有关可持续投资业绩的文献。采用五因素模型和大流行引起的市场崩盘前后的费用后回报，可以确定在COVID崩盘前的时期，评级较低的可持续ETF往往跑赢市场，评级较高的ESG ETF往往跑赢大市。在崩溃期间，发现模型的 alpha 为负且无关紧要。总体而言，较高的 ESG ETF 可持续性评级并没有保护 ETF ETF 在低迷时期免受损失，但它们的表现并不比市场差。