Table 3 Descriptive statistics of ESG...

Table 3

Descriptive statistics of ESG risk scores

Panel A: Mutual fund ESG risk scores
Sector	N	Mean	Median	SD	Min	Max
Communications	33	31.535	34.028	4.320	23.303	36.064
Consumer Cyclical	21	33.847	33.733	2.941	27.261	41.125
Domestic Energy	132	35.641	34.213	4.027	30.547	46.603
Domestic Financial	51	32.937	33.670	2.073	27.773	35.106
Domestic Real Estate	226	30.536	31.336	7.880	17.147	49.600
Health Care	130	34.207	35.691	4.600	23.865	49.555
Industrials	19	36.722	36.077	3.840	30.489	46.559
Materials	42	35.948	37.188	3.859	24.573	41.551
Technology	176	31.447	33.508	5.541	19.560	48.749
Utilities	44	37.459	37.805	1.759	33.436	44.776
Total	874	33.079	33.704	5.908	17.147	49.600

Panel A: Mutual fund ESG risk scores
Sector	N	Mean	Median	SD	Min	Max
Communications	33	31.535	34.028	4.320	23.303	36.064
Consumer Cyclical	21	33.847	33.733	2.941	27.261	41.125
Domestic Energy	132	35.641	34.213	4.027	30.547	46.603
Domestic Financial	51	32.937	33.670	2.073	27.773	35.106
Domestic Real Estate	226	30.536	31.336	7.880	17.147	49.600
Health Care	130	34.207	35.691	4.600	23.865	49.555
Industrials	19	36.722	36.077	3.840	30.489	46.559
Materials	42	35.948	37.188	3.859	24.573	41.551
Technology	176	31.447	33.508	5.541	19.560	48.749
Utilities	44	37.459	37.805	1.759	33.436	44.776
Total	874	33.079	33.704	5.908	17.147	49.600

Panel B: ETF ESG risk scores							Difference (funds vs. ETF)
Sector	Ticker	Mean	Median	SD	Min	Max	Mean t-test (p-value)
Communications	XLC	26.062	27.239	1.614	22.648	27.239	<0.0001
Consumer Cyclical	XLY	34.078	33.615	2.664	27.591	41.032	0.318
Domestic Energy	XLE	37.336	36.709	1.948	35.354	41.726	<0.0001
Domestic Financial	XLF	31.348	33.385	2.579	25.995	33.385	<0.0001
Domestic Real Estate	XLRE	29.516	30.715	8.930	13.543	50.535	<0.0001
Health Care	XLV	33.326	35.579	5.665	22.636	49.635	<0.0001
Industrials	XLI	37.872	36.900	3.863	31.767	48.024	<0.0001
Materials	XLB	32.146	34.416	3.671	23.880	41.311	<0.0001
Technology	XLK	30.602	34.289	6.765	15.972	49.801	<0.0001
Utilities	XLU	37.531	38.421	2.100	33.734	44.935	0.494
Total	SPY	32.599	34.863	10.488	22.245	47.902	<0.0001

Panel B: ETF ESG risk scores							Difference (funds vs. ETF)
Sector	Ticker	Mean	Median	SD	Min	Max	Mean t-test (p-value)
Communications	XLC	26.062	27.239	1.614	22.648	27.239	<0.0001
Consumer Cyclical	XLY	34.078	33.615	2.664	27.591	41.032	0.318
Domestic Energy	XLE	37.336	36.709	1.948	35.354	41.726	<0.0001
Domestic Financial	XLF	31.348	33.385	2.579	25.995	33.385	<0.0001
Domestic Real Estate	XLRE	29.516	30.715	8.930	13.543	50.535	<0.0001
Health Care	XLV	33.326	35.579	5.665	22.636	49.635	<0.0001
Industrials	XLI	37.872	36.900	3.863	31.767	48.024	<0.0001
Materials	XLB	32.146	34.416	3.671	23.880	41.311	<0.0001
Technology	XLK	30.602	34.289	6.765	15.972	49.801	<0.0001
Utilities	XLU	37.531	38.421	2.100	33.734	44.935	0.494
Total	SPY	32.599	34.863	10.488	22.245	47.902	<0.0001

Note(s): This table presents monthly summary statistics (including mean, median, standard deviation (SD), minimum (Min), maximum (Max)) for the Portfolio Corporate Sustainability Scores (PCSS) for sector funds (Panel A) and sector ETFs (Panel B). Data are gathered from the Morningstar Direct Database for the period between 2015 and 2023

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