To trust or not to trust? A comparative study of conventional and clean energy exchange-traded funds

Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach

“…Afterwards, the green ETFs were highly volatile, causing a lower performance than the S&P 500. Alexopoulos ( 2018 ) studies the performance of portfolios based on renewable and conventional energy ETFs during bear and bull market periods and finds that a portfolio aggregating all ETFs exceeds two disaggregated (renewable and conventional energy ETFs) portfolios, through providing higher returns and lower risk. In the same vein, La Monaca et al ( 2018 ) use the Markowitz’s classical approach to test whether including renewable energy ETFs in a portfolio provides diversification benefits over a period of 2, 7 and 9 years, respectively.…”

The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis

“… Becchetti et al (2015) further show that socially responsible funds outperform conventional funds during the 2008 global financial crisis (GFC), but not in the course of the prior 2001 dotcom crisis. Alexopoulos (2018) assesses the performance of a broad set of clean energy and conventional energy ETFs under two shocks of different nature – the 2008 GFC and the 2014 oil crisis – and document that the former shock affected more the performance of clean energy ETFs than the latter did in conventional energy ETFs. Broadstock et al (2021) and Omura et al (2021) contribute to this body of literature by offering evidence in the context of the COVID-19 pandemic.…”

“…This ETF offers exposure to the global wind power industry by tracking the performance of the ISE Clean Edge Global Wind Energy Index (GWE), which includes both pure play wind power companies and firms with more broad-based activities that keep some focus on wind power. Also used in recent literature ( Alexopoulos, 2018 , Miralles-Quirós and Miralles-Quirós, 2019 , Çelik et al, 2022 ), this ETF is rated AA by MSCI ESG fund ratings. 12 In addition, this ETF is particularly suitable for our analysis because it provides exposure to a particularly well-recognized segment of the green energy market.…”

“…Thus, our approach allows one to compare the performance of the active management of each ESG portfolio against (1) the passive strategy of investing in the corresponding asset and holding this position (2) the active management of a set of competing ESG portfolios that involve very diverse asset classes from the equity, Treasury, commodity and cryptocurrency markets. Second, studies on the performance of ESG assets mostly rely on the widely employed Sharpe ratio ( Alexopoulos, 2018 , Omura et al, 2021 , Yousaf et al, 2022 ), whereas we assess the performance of our different investment strategies by employing downside risk performance measures in addition to the former. The advantage of the downside risk performance measures over the Sharpe ratio is that the returns are not adjusted by the standard deviation, which considers both negative and positive deviations from the mean return, but by the negative deviations of returns from a minimal acceptable return or threshold.…”

The Efficiency of Alternative and Conventional Energy Exchange-Traded Funds: Are Clean Energy Exchange-Traded Funds a Safer Asset?

“…When examining past financial crises, Alexopoulos (2018) employed return and risk measures and found that the 2008 financial crisis affected clean energy ETFs more significantly than the 2014 oil crisis affected conventional energy ETFs, as the former were more sensitive to exogenous factors than the latter. Dawar et al (2021) provided evidence for the decreasing dependence of clean energy stock returns on crude oil returns, reinforcing the theory that these two assets react differently to market turmoil.…”