Financial Equivalence of ESG and Non-ESG Portfolios: Evidence from US ETFs Using CAPM and Risk-Adjusted Metrics
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Matúš PANKO Department of Banking and Investment, Faculty of Economics, Technical University of Košice, Slovakia
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Leoš ŠAFÁR Department of Banking and Investment, Faculty of Economics, Technical University of Košice, Slovakia
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Jakub SOPKO Department of Banking and Investment, Faculty of Economics, Technical University of Košice, Slovakia
This study examines the financial performance of ESG and non-ESG portfolios between 2020 and 2024 using monthly data from ten major US exchange-traded funds (ETFs). Leveraging the Capital Asset Pricing Model (CAPM) and Modern Portfolio Theory (MPT), we assess annualized returns, volatility, Sharpe ratios, and maximum drawdowns. The results show that ESG portfolios perform comparably to traditional portfolios in terms of both returns and risk-adjusted efficiency. While the non-ESG portfolio posted slightly higher returns, the difference was statistically insignificant. CAPM estimates revealed betas near unity and no evidence of abnormal returns (alpha), supporting the neutrality hypothesis.
These findings suggest that investors can pursue ESG strategies without compromising financial outcomes. From a policy perspective, the results underscore the need for robust ESG disclosure frameworks to support market transparency and efficiency.
Copyright© 2025 The Author(s). This article is distributed under the terms of the license CC-BY 4.0., which permits any further distribution in any medium, provided the original work is properly cited.
Article’s history: Received 25th of October, 2025; Received in revised form 19th of November, 2025; Accepted 14th of December, 2025; Available online: 30th of December, 2025. Published as article in the Volume XX, Winter, Issue 4(90), December, 2025.
Panko, M., Šafár, L., & Sopko, J. (2025). Financial Equivalence of ESG and Non-ESG Portfolios: Evidence from US ETFs Using CAPM and Risk-Adjusted Metrics. Journal of Applied Economic Sciences, Volume XX, Winter, 4(90), 759 – 774. https://doi.org/10.57017/jaes.v20.4(90).08
Acknowledgments/Funding: This work was supported by the MINEDU of the Slovak Republic [grant No. 1/0638/25].
Conflict of Interest Statement: The authors declare that the research was conducted in the absence of any commercial or financial relationships that could be construed as potential conflicts of interest.
Data Availability Statement: The data that support the findings of this study are available from the corresponding author upon reasonable request.
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