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The Performance of ESG ETFs vis-à-vis non-ESG ETFs in Hong Kong

by Gerasimos G. Rompotis a, b,*
a
Department of Economics, National and Kapodistrian University of Athens, Athens, Greece
b
School of Business, National and Kapodistrian University of Athens, Athens, Greece
*
Author to whom correspondence should be addressed.
CEF  2024 2(1):7; https://doi.org/10.58567/cef02010002
Received: 4 June 2024 / Accepted: 16 July 2024 / Published Online: 18 February 2025
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Abstract

The performance of ETFs in Hong Kong that apply environmental, social and governance (ESG) criteria to make their investment decisions is examined in this study. The performance of these ETFs is assessed against the performance of competitive non-ESG ETFs. The study period spans from 1/12/2022 to 29/2/2024. From a methodological perspective, raw returns, tracking errors and risk-adjusted returns are computed. Raw returns are computed in percentage terms with daily close trade prices. Tracking error is calculated as the difference in daily returns between ETFs and Hang Seng Index, which is used as a proxy for the entire stock market of Hong Kong. Risk-adjusted returns include Sharpe, Treyor, Modigliani & Modigliani, and Information Ratios. A simple regression model is applied too, via which the daily excess return of each ETF, that is the return above the risk-free rate, is regressed on the corresponding return of the market index. The empirical results indicate that the ESG ETFs clearly underperform their non-ESG peers, also being a little riskier and more expensive than them. In particular, the average daily return of ESG ETFs is equal to -0.058%, while the respective return of non-ESG ETFs is slightly better at -0.033%. At the cumulative level, the average return of ESG ETFs is equal to -19.22%, while the respective return of the non-ESG ETFs amounts to -12.41%. When it comes to risk, the ESG group presents an average measure of 1.572%, whereas the non-ESG group has an average risk of 1.490%. In regard to expenses, the average management fee of the ESG ETFs is equal to 0.18%, while the average management fee of the non-ESG peers is 0.09%.

Keywords: ETFs; Sustainable Investing; Performance; Risk-Adjusted Return; Hong Kong;
Copyright: © 2025 by Rompotis. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY) (Creative Commons Attribution 4.0 International License). The use, distribution or reproduction in other forums is permitted, provided the original author(s) or licensor are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.
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APA Style
Rompotis, G. G. (2024). The Performance of ESG ETFs vis-à-vis non-ESG ETFs in Hong Kong. Climate Economics and Finance, 2(1), 7. doi:10.58567/cef02010002
ACS Style
Rompotis, G. G. The Performance of ESG ETFs vis-à-vis non-ESG ETFs in Hong Kong. Climate Economics and Finance, 2024, 2, 7. doi:10.58567/cef02010002
AMA Style
Rompotis G G. The Performance of ESG ETFs vis-à-vis non-ESG ETFs in Hong Kong. Climate Economics and Finance; 2024, 2(1):7. doi:10.58567/cef02010002
Chicago/Turabian Style
Rompotis, Gerasimos G. 2024. "The Performance of ESG ETFs vis-à-vis non-ESG ETFs in Hong Kong" Climate Economics and Finance 2, no.1:7. doi:10.58567/cef02010002

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ACS Style
Rompotis, G. G. The Performance of ESG ETFs vis-à-vis non-ESG ETFs in Hong Kong. Climate Economics and Finance, 2024, 2, 7. doi:10.58567/cef02010002
AMA Style
Rompotis G G. The Performance of ESG ETFs vis-à-vis non-ESG ETFs in Hong Kong. Climate Economics and Finance; 2024, 2(1):7. doi:10.58567/cef02010002
Chicago/Turabian Style
Rompotis, Gerasimos G. 2024. "The Performance of ESG ETFs vis-à-vis non-ESG ETFs in Hong Kong" Climate Economics and Finance 2, no.1:7. doi:10.58567/cef02010002
APA style
Rompotis, G. G. (2024). The Performance of ESG ETFs vis-à-vis non-ESG ETFs in Hong Kong. Climate Economics and Finance, 2(1), 7. doi:10.58567/cef02010002

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