Recently, interest in socially responsible investing has grown, including new investment vehicles such as environmental, social, and governance exchange-traded funds (ESG ETFs). Despite their rising popularity, few studies have attempted to examine the performance characteristics of these stylized funds. This study aimed to fill this knowledge gap by elaborating on the performance attributes of ESG ETFs and examining fund managers’ security selection and market timing skills. Our results suggest that these funds generally underperform relative to conventional ETFs in many aspects. Additionally, the market timing skills of fund managers require improvement but are comparable to those of conventional ETFs. These results are robust to selecting the individual funds and alternative indices used in the sample. Furthermore, both the security selection and market timing skills of ESG ETF managers deteriorated significantly during the COVID-19 pandemic. Finally, the results indicate a slightly weaker cointegrated relationship between ESG ETFs and their benchmark indices when compared to conventional ETFs, suggesting that potential investors in ESG ETFs should carefully inspect the funds to make informed decisions.

最近，人们对社会责任投资的兴趣有所增长，包括环境、社会和治理交易所交易基金（ESG ETF）等新的投资工具。尽管它们越来越受欢迎，但很少有研究试图检验这些风格化基金的业绩特征。本研究旨在通过详细阐述 ESG ETF 的业绩属性并检查基金经理的证券选择和市场择时技能来填补这一知识空白。我们的结果表明，这些基金在许多方面普遍低于传统 ETF。此外，基金经理的市场择时技巧有待提高，但与传统 ETF 相当。这些结果对于选择样本中使用的个别基金和另类指数来说是稳健的。此外，在 COVID-19 大流行期间，ESG ETF 经理的证券选择和市场择时技能都显着恶化。最后，结果表明，与传统 ETF 相比，ESG ETF 与其基准指数之间的协整关系略弱，这表明 ESG ETF 的潜在投资者应仔细检查基金，以做出明智的决策。