How Different are ESG Funds? A Comparative Analysis of Holdings and Performance

49 Pages Posted: 28 Mar 2022 Last revised: 9 Aug 2023

Date Written: March 2, 2022


Investment funds marketed as “sustainable” or “ESG” (Environmental, Social and Governance) have proliferated in recent years. In the wake of this trend, skepticism is looming among the public over the trustworthiness of these financial actors and the distinctiveness of their investment practices compared to those of regular actors. Using a panel data set of 2,042 U.S. equity mutual funds, we empirically examine whether such funds actually differ from their conventional peers in terms of investment strategies and the returns they offer to their investors from 2013 to 2018. We further show how these features evolve over time, and in response to climate concerns. Our findings indicate that the portfolio compositions of high-ESG funds differ from those of their conventional peers and, more surprisingly, from each other. As time goes by, high-ESG and conventional groups become increasingly similar, while high-ESG portfolios become more homogeneous. Our results suggest that, on average, high-ESG funds underperform their conventional peers. However, they show greater resilience to climate risk, erasing the gap in financial performance between the two groups when climate risk surges.

Keywords: ESG investing, climate risk, mutual funds, performance, distinctiveness

JEL Classification: G10, G11, G12, G23

Suggested Citation

Baily, Camille and Gnabo, Jean-Yves, How Different are ESG Funds? A Comparative Analysis of Holdings and Performance (March 2, 2022). Available at SSRN: or

Camille Baily (Contact Author)

University of Namur ( email )

8 rempart de la vierge
Namur, 5000

Jean-Yves Gnabo

University of Namur ( email )

Rempart de la Vierge, 8
Namur B-5000

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