Table 6 Performance of sector funds...

Table 6

Performance of sector funds versus sector ETFs for the post-COVID-19 period (2020–2023)

Panel A: Full Fund's sample
	Mutual funds			ETFs			Difference (funds vs, ETF)
Sector	Alpha	(p-value)	IR	Alpha	(p-value)	IR	Mean t-test (p-value)	Mean IR t-test (p-value)
Communications	−0.303	<0.0001	−0.133	−0.021	0.136	−0.133	<0.0001	<0.0001
Consumer Cyclical	−0.271	<0.0001	−0.132	−0.037	<0.0001	−0.132	<0.0001	<0.0001
Domestic Energy	−0.227	<0.0001	−0.056	0.317	<0.0001	−0.056	<0.0001	<0.0001
Domestic Financial	−0.065	0.110	−0.025	0.046	<0.0001	−0.025	0.008	0.001
Domestic Real Estate	−0.372	<0.0001	−0.119	−0.322	<0.0001	−0.119	<0.0001	<0.0001
Health Care	−0.092	0.000	−0.041	−0.138	<0.0001	−0.041	0.072	0.005
Industrials	−0.330	<0.0001	−0.156	−0.191	<0.0001	−0.156	0.013	0.053
Materials	−0.254	<0.0001	−0.107	−0.331	<0.0001	−0.107	0.189	0.017
Technology	0.273	<0.0001	0.127	0.479	<0.0001	0.127	<0.0001	<0.0001
Utilities	−0.272	<0.0001	−0.098	−0.150	<0.0001	−0.098	<0.0001	<0.0001
Total Funds/SPY	−0.151	<0.0001	−0.047	−0.007	<0.0001	−0.032	<0.0001	0.001

Panel A: Full Fund's sample
	Mutual funds			ETFs			Difference (funds vs, ETF)
Sector	Alpha	(p-value)	IR	Alpha	(p-value)	IR	Mean t-test (p-value)	Mean IR t-test (p-value)
Communications	−0.303	<0.0001	−0.133	−0.021	0.136	−0.133	<0.0001	<0.0001
Consumer Cyclical	−0.271	<0.0001	−0.132	−0.037	<0.0001	−0.132	<0.0001	<0.0001
Domestic Energy	−0.227	<0.0001	−0.056	0.317	<0.0001	−0.056	<0.0001	<0.0001
Domestic Financial	−0.065	0.110	−0.025	0.046	<0.0001	−0.025	0.008	0.001
Domestic Real Estate	−0.372	<0.0001	−0.119	−0.322	<0.0001	−0.119	<0.0001	<0.0001
Health Care	−0.092	0.000	−0.041	−0.138	<0.0001	−0.041	0.072	0.005
Industrials	−0.330	<0.0001	−0.156	−0.191	<0.0001	−0.156	0.013	0.053
Materials	−0.254	<0.0001	−0.107	−0.331	<0.0001	−0.107	0.189	0.017
Technology	0.273	<0.0001	0.127	0.479	<0.0001	0.127	<0.0001	<0.0001
Utilities	−0.272	<0.0001	−0.098	−0.150	<0.0001	−0.098	<0.0001	<0.0001
Total Funds/SPY	−0.151	<0.0001	−0.047	−0.007	<0.0001	−0.032	<0.0001	0.001

Panel B: High ESG risk Fund's sample
	Mutual funds			ETFs			Difference (funds vs, ETF)
Sector	Alpha	(p-value)	IR	Alpha	(p-value)	IR	Mean t-test (p-value)	Mean IR t-test (p-value)
Communications	−0.261	0.025	−0.079	0.204	<0.0001	0.087	0.0005	0.001
Consumer Cyclical	−0.196	0.057	−0.091	−0.073	<0.0001	−0.030	0.2013	0.167
Domestic Energy	0.449	0.000	0.080	0.741	<0.0001	0.115	0.0002	0.018
Domestic Financial	−0.313	0.004	−0.109	−0.153	<0.0001	−0.082	0.0514	0.182
Domestic Real Estate	−0.620	<0.0001	−0.213	−0.528	<0.0001	−0.170	<0.0001	<0.0001
Health Care	−0.164	<0.0001	−0.068	−0.298	<0.0001	−0.140	0.0005	<0.0001
Industrials	−0.175	0.270	−0.075	−0.220	<0.0001	−0.106	0.6712	0.576
Materials	0.214	0.146	−0.010	−0.382	<0.0001	−0.152	0.0003	<0.0001
Technology	0.232	<0.0001	0.103	0.600	<0.0001	0.329	<0.0001	<0.0001
Utilities	−0.816	<0.0001	−0.282	−0.727	<0.0001	−0.191	0.005	0.001
Total Funds/SPY	−0.246	<0.0001	−0.094	−0.018	<0.0001	−0.068	<0.0001	0.001

Panel B: High ESG risk Fund's sample
	Mutual funds			ETFs			Difference (funds vs, ETF)
Sector	Alpha	(p-value)	IR	Alpha	(p-value)	IR	Mean t-test (p-value)	Mean IR t-test (p-value)
Communications	−0.261	0.025	−0.079	0.204	<0.0001	0.087	0.0005	0.001
Consumer Cyclical	−0.196	0.057	−0.091	−0.073	<0.0001	−0.030	0.2013	0.167
Domestic Energy	0.449	0.000	0.080	0.741	<0.0001	0.115	0.0002	0.018
Domestic Financial	−0.313	0.004	−0.109	−0.153	<0.0001	−0.082	0.0514	0.182
Domestic Real Estate	−0.620	<0.0001	−0.213	−0.528	<0.0001	−0.170	<0.0001	<0.0001
Health Care	−0.164	<0.0001	−0.068	−0.298	<0.0001	−0.140	0.0005	<0.0001
Industrials	−0.175	0.270	−0.075	−0.220	<0.0001	−0.106	0.6712	0.576
Materials	0.214	0.146	−0.010	−0.382	<0.0001	−0.152	0.0003	<0.0001
Technology	0.232	<0.0001	0.103	0.600	<0.0001	0.329	<0.0001	<0.0001
Utilities	−0.816	<0.0001	−0.282	−0.727	<0.0001	−0.191	0.005	0.001
Total Funds/SPY	−0.246	<0.0001	−0.094	−0.018	<0.0001	−0.068	<0.0001	0.001

Panel C: Low ESG risk Fund's sample
	Mutual funds			ETFs			Difference (funds vs, ETF)
Sector	Alpha	(p-value)	IR	Alpha	(p-value)	IR	Mean t-test (p-value)	Mean IR t-test (p-value)
Communications	−0.577	0.015	−0.267	0.231	<0.0001	0.096	0.0019	0.0028
Consumer Cyclical	−0.282	0.001	−0.122	−0.078	<0.0001	−0.033	0.0039	0.0021
Domestic Energy	0.090	0.002	0.013	0.818	<0.0001	0.129	<0.0001	<0.0001
Domestic Financial	−0.030	0.661	0.003	−0.100	<0.0001	−0.053	0.3084	0.0693
Domestic Real Estate	−0.456	0.001	−0.235	−0.410	0.010	−0.198	0.2976	0.0790
Health Care	−0.394	<0.0001	−0.176	−0.320	<0.0001	−0.152	0.0004	0.0145
Industrials	−0.333	<0.0001	−0.124	−0.209	<0.0001	−0.101	0.0807	0.3287
Materials	−0.116	0.078	−0.058	−0.374	<0.0001	−0.149	0.0008	0.0014
Technology	0.556	<0.0001	0.241	0.635	<0.0001	0.345	0.0110	<0.0001
Utilities	−0.668	<0.0001	−0.214	−0.727	<0.0001	−0.191	0.0443	0.0122
Total Funds/SPY	−0.014	0.615	−0.007	−0.018	<0.0001	−0.069	<0.0001	<0.0001

Panel C: Low ESG risk Fund's sample
	Mutual funds			ETFs			Difference (funds vs, ETF)
Sector	Alpha	(p-value)	IR	Alpha	(p-value)	IR	Mean t-test (p-value)	Mean IR t-test (p-value)
Communications	−0.577	0.015	−0.267	0.231	<0.0001	0.096	0.0019	0.0028
Consumer Cyclical	−0.282	0.001	−0.122	−0.078	<0.0001	−0.033	0.0039	0.0021
Domestic Energy	0.090	0.002	0.013	0.818	<0.0001	0.129	<0.0001	<0.0001
Domestic Financial	−0.030	0.661	0.003	−0.100	<0.0001	−0.053	0.3084	0.0693
Domestic Real Estate	−0.456	0.001	−0.235	−0.410	0.010	−0.198	0.2976	0.0790
Health Care	−0.394	<0.0001	−0.176	−0.320	<0.0001	−0.152	0.0004	0.0145
Industrials	−0.333	<0.0001	−0.124	−0.209	<0.0001	−0.101	0.0807	0.3287
Materials	−0.116	0.078	−0.058	−0.374	<0.0001	−0.149	0.0008	0.0014
Technology	0.556	<0.0001	0.241	0.635	<0.0001	0.345	0.0110	<0.0001
Utilities	−0.668	<0.0001	−0.214	−0.727	<0.0001	−0.191	0.0443	0.0122
Total Funds/SPY	−0.014	0.615	−0.007	−0.018	<0.0001	−0.069	<0.0001	<0.0001

Panel D: High vs low ESG risk funds
	High			Low			Difference (funds vs. ETF)
Sector	Alpha	(p-value)	IR	Alpha	(p-value)	IR	Mean t-test (p-value)	Mean IR t-test (p-value)
Communications	−0.261	0.025	−0.079	−0.577	0.015	−0.267	0.156	0.072
Consumer Cyclical	−0.196	0.057	−0.091	−0.282	0.001	−0.122	0.411	0.508
Domestic Energy	0.449	0.000	0.080	0.090	0.002	0.013	0.002	0.003
Domestic Financial	−0.313	0.004	−0.109	−0.030	0.661	0.003	0.024	0.008
Domestic Real Estate	−0.620	<0.0001	−0.213	−0.456	0.001	−0.235	0.119	0.816
Health Care	−0.164	<0.0001	−0.068	−0.394	<0.0001	−0.176	<0.0001	<0.0001
Industrials	−0.175	0.270	−0.075	−0.333	<0.0001	−0.124	0.233	0.411
Materials	0.214	0.146	−0.010	−0.116	0.078	−0.058	0.041	0.201
Technology	0.232	<0.0001	0.103	0.556	<0.0001	0.241	<0.0001	<0.0001
Utilities	−0.816	<0.0001	−0.282	−0.668	<0.0001	−0.214	0.001	0.006
Total Funds	−0.246	<0.0001	−0.094	−0.014	0.615	−0.007	<0.0001	<0.0001

Panel D: High vs low ESG risk funds
	High			Low			Difference (funds vs. ETF)
Sector	Alpha	(p-value)	IR	Alpha	(p-value)	IR	Mean t-test (p-value)	Mean IR t-test (p-value)
Communications	−0.261	0.025	−0.079	−0.577	0.015	−0.267	0.156	0.072
Consumer Cyclical	−0.196	0.057	−0.091	−0.282	0.001	−0.122	0.411	0.508
Domestic Energy	0.449	0.000	0.080	0.090	0.002	0.013	0.002	0.003
Domestic Financial	−0.313	0.004	−0.109	−0.030	0.661	0.003	0.024	0.008
Domestic Real Estate	−0.620	<0.0001	−0.213	−0.456	0.001	−0.235	0.119	0.816
Health Care	−0.164	<0.0001	−0.068	−0.394	<0.0001	−0.176	<0.0001	<0.0001
Industrials	−0.175	0.270	−0.075	−0.333	<0.0001	−0.124	0.233	0.411
Materials	0.214	0.146	−0.010	−0.116	0.078	−0.058	0.041	0.201
Technology	0.232	<0.0001	0.103	0.556	<0.0001	0.241	<0.0001	<0.0001
Utilities	−0.816	<0.0001	−0.282	−0.668	<0.0001	−0.214	0.001	0.006
Total Funds	−0.246	<0.0001	−0.094	−0.014	0.615	−0.007	<0.0001	<0.0001

Note(s): This table reports the mean of the coefficients of two performance measures for sector funds and sector ETFs for the post-COVID-19 period (2020–2023) : (1) the alphas estimated from the six-factor model of Fama and French (2018) and their corresponding p-values, and (2) the information ratio (IR) measured by using the alpha for the numerator and the standard deviation of the regression-adjusted error for the denominator. Monthly returns on sector funds and sector ETFs are gathered from the Morningstar Direct Database from 2015 to 2023. Active sector funds are split into two groups based on whether their Morningstar sustainability score is below (Low) or above (High) the PCSS of their corresponding sector ETF. The two-sample t-test is used to compare the difference between the two means (high versus low) to zero (Difference)

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