RT Journal Article
SR Electronic
T1 Exchange Traded Funds as an International Diversification Tool for Socially Responsible Investors
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP jwm.2019.1.079
DO 10.3905/jwm.2019.1.079
A1 Javier Rodríguez
A1 Herminio Romero
YR 2019
UL https://pm-research.com/content/early/2019/08/27/jwm.2019.1.079.1.abstract
AB This study assessed the true international diversification value of socially responsible exchange traded funds (SRI ETFs) that invest globally, in comparison with their more traditional counterparts. We used a two-step process to estimate international diversification value. First, we estimated orthogonal returns, which are the returns of a market free from the influence from other markets; then we used these in a two factor model to infer the exposure to international markets of SRI ETFs. Overall results showed that SRI ETFs international diversification value was significantly higher than that of conventional ETFs that also invest globally.TOPICS: Analysis of individual factors/risk premia, exchange-traded funds and applications, developed markets, performance measurementKey Findings• ETFs are one of the fastest growing investment vehicles worldwide.• Socially responsible investments are generating interest amongst investors, specially millennial.• Global SRI ETFs provide better international diversification than traditional ETFs.