Defining sustainability: Insights into the holdings of exchange traded funds (ETF)

Abstract

This thesis examines ESG and conventional equity exchange-traded funds (ETFs), comparing their performance and portfolio structures. It relies on a dataset of leading U.S. and global funds to conduct the comparison of returns across different time horizons of 1, 3, 5, and 10 years, and statistical tests were applied to check for differences. Another part of the analysis looked at how strongly ESG and conventional ETFs coincide in their leading holdings. The results show that while investment horizon is a key driver of returns, differences in performance across fund types are rather small. No clear interaction between ETF type and horizon was found, what means that the performance differences between ESG and conventional ETFs do not depend on the time horizon. The overlap analysis reveals that both types of ETFs often hold the same large U.S. companies, even if sometimes with different weightings. Overall, ESG ETFs perform much like their conventional peers, with only slight differences in average returns, but their structure raises important questions about diversification and the real added value of sustainability labels.

Date of Award	2025
Original language	English
Supervisor	Michael Viehs (Supervisor)