Figure 2
The horizontal axis is labeled “Percentage” and ranges from 0 percent to 100 percent in increments of 10 percent. The vertical axis lists sector categories from top to bottom as: “Utilities”, “Technology”, “Materials”, “Industrials”, “Health Care”, “Domestic Real Estate”, “Domestic Financial”, “Domestic Energy”, “Consumer Cyclical”, and “Communications”. Each category contains a stacked bar as indicated in the legend: “High” and “Low” portions. The values for each category are listed below. Utilities: High: 34 percent. Low: 66 percent. Technology: High: 48 percent. Low: 52 percent. Materials: High: 62 percent. Low: 38 percent. Industrials: High: 10.5 percent. Low: 89.5 percent. Health Care: High: 55 percent. Low: 45 percent. Domestic Real Estate: High: 82 percent. Low: 18 percent. Domestic Financial: High: 76 percent. Low: 24 percent. Domestic Energy: High: 36 percent. Low: 64 percent. Consumer Cyclical: High: 71 percent. Low: 29 percent. Communications: High: 76 percent. Low: 24 percent. Note: All numerical data values are approximated.Sector funds' classification: high versus low ESG risk. Active sector funds are split into two groups based on whether their Morningstar sustainability score is below or above the PCSS of their corresponding sector ETF. We then obtain two distinct groups: (A) high ESG risk sector funds and (B) low ESG risk sector funds