This article examines the risk-related performance of ESG (Environmental, Social, and Governance) investments through the ETFs, with the employment of Oil & Gas ETFs as benchmark. We introduce the Value-at-Risk () and modified Sharpe Ratio () based on such measurement as representative of tail risk protection. The sample of this study is from March 2012 to January 2022, which covers the Covid-19 period, and we threat that period as a special shock. We provide unique forecast combination methods with a scoring function to predict the VaR of chosen ETFs, which helps to incorporate the economic value into the prediction. We test the out-of-sample performance of our forecast combination models and prove that they are more accurate than each of the underlying models. Our paper indicates that, during the pandemic crisis, ESG ETFs provide better Value-at-Risk but identical modified Sharpe Ratio compared to Oil & Gas ETFs. Additionally, we display that the pure ESG ETF investment does not generate either positive or negative excess returns in the long-run.

中文翻译：

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ESG ETF 在 Covid-19 期间是否提供下行风险保护？来自预测组合模型的证据

本文以石油和天然气 ETF 为基准，探讨通过 ETF 进行 ESG（环境、社会和治理）投资的风险相关绩效。我们引入了基于这种衡量标准的风险价值（）和修正的夏普比率（）作为尾部风险保护的代表。本研究的样本为2012年3月至2022年1月，涵盖了Covid-19时期，我们威胁称该时期为特殊冲击。我们提供独特的预测组合方法和评分函数来预测所选ETF的VaR，这有助于将经济价值纳入预测。我们测试了预测组合模型的样本外性能，并证明它们比每个基础模型都更准确。我们的论文表明，在大流行危机期间，与石油和天然气 ETF 相比，ESG ETF 提供了更好的风险价值，但修改后的夏普比率相同。此外，我们发现，从长远来看，纯 ESG ETF 投资不会产生正或负的超额回报。