Rentabilidade comparada de ETFs ESG e convencionais: uma análise para a bolsa de Nova Iorque

Abstract

ESG investments are, over the years, becoming more popular in the world financial market. The concern with the environment, the work environment and the social environment in which companies operate, has become a competitive feature for the current market. In addition to companies adopting these practices to remain in the market, other companies adopt them because they understand the advantages that this agenda proposes. ESG guidelines bring benefits to the entire community surrounding the company, but for investors, does it make sense to invest in companies with an ESG focus? For this, we sought to comparatively analyze the behavior of ETFs focused on ESG guidelines and conventional ETFs, that is, without restrictions. 10 ESG ETFs and 10 Conventional ETFs from the New York Stock Exchange (NYSE) were chosen for this analysis, comparing the performance of these 2 groups, and having the S&P 500 index as a parameter, as the basis of market behavior. Empirical tests were performed for this analysis using variables such as CAPM, Jensen's Alpha, Sharpe Ratio and CAGR. After carrying out these tests and analyses, although with a higher expected return, the ESG portfolio does not present a favorable real performance, obtaining an average performance of 19.94% compared to 24.01% of the conventional portfolio. The portfolio of ESG ETFs still does not perform better than Conventional ETFs, which is much lower than that performed by the market.