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To trust or not to trust? A comparative study of conventional and clean energy exchange-traded funds

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  • Alexopoulos, Thomas A.

Abstract

In this paper we examine the performance of portfolios of energy-related ETFs, under periods of market turmoil and market uptrend, using groups of clean or conventional energy ETFs. We examine seven popular quantitative investment strategies for constant assets rotation, evaluate their performance with appropriate return and risk measures, and control of the robustness of their performance with different sets of parametrizations. The impacts of the 2008 financial crisis and the 2014 collapse in oil prices, as well as the interaction with exogenous to the energy industry ETFs are explored. We find that one portfolio of ALL ETFs in aggregate outperform two disaggregated portfolios with clean and conventional ETFs separately. We discuss the potential implications both from the perspective of potential investors but also on the potential on the future growth of clean energy related class of assets

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  • Alexopoulos, Thomas A., 2018. "To trust or not to trust? A comparative study of conventional and clean energy exchange-traded funds," Energy Economics, Elsevier, vol. 72(C), pages 97-107.
    • Handle: RePEc:eee:eneeco:v:72:y:2018:i:c:p:97-107
    DOI: 10.1016/j.eneco.2018.03.013
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    Cited by:

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    3. Jo-Hui & Chen & Sabbor Hussain, 2022. "Jump Dynamics and Leverage Effect: Evidences from Energy Exchange Traded Fund (ETFs)," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 12(6), pages 1-7.
    4. Atta Ullah & Xiyu Liu & Muhammad Zeeshan & Waheed Ullah Shah, 2024. "Evaluating Growth and Crisis Risk Dynamics of Sustainable Climate Exchange-Traded Funds," Sustainability, MDPI, vol. 16(22), pages 1-20, November.
    5. Carla Oliveira Henriques & Maria Elisabete Neves & Licínio Castelão & Duc Khuong Nguyen, 2022. "Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach," Annals of Operations Research, Springer, vol. 313(1), pages 341-366, June.
    6. Kliber, Agata & Łęt, Blanka & Řezáč, Pavel, 2024. "Can a boost in oil prices suspend the evolution of the green transportation market? Relationships between green indices and Brent oil," Energy, Elsevier, vol. 295(C).
    7. Díaz, Antonio & Esparcia, Carlos & López, Raquel, 2022. "The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 39-60.
    8. Agliardi, Elettra & Alexopoulos, Thomas & Karvelas, Kleanthis, 2023. "The environmental pillar of ESG and financial performance: A portfolio analysis," Energy Economics, Elsevier, vol. 120(C).
    9. Díaz, Antonio & Esparcia, Carlos & Alonso, Daniel & Alonso, Maria-Teresa, 2024. "Portfolio management of ESG-labeled energy companies based on PTV and ESG factors," Energy Economics, Elsevier, vol. 134(C).

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    More about this item

    Keywords

    Conventional energy ETFs; Clean energy ETFs; Investment strategies; Risk management; Shock periods;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources

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