Table 2.

Performance of SRI/ESG funds/indices against MSCI Indices (performance and t-test).

Panel A: Full Sample Period
	Funds	MSCI SRI Indices
	ESG Funds	World	US	Japan	Europe
Diff. Return	-0.040	0.028⁎⁎	0.034⁎⁎	0.022	0.047⁎⁎⁎
Diff. Sharpe	-0.015	0.021⁎⁎⁎	0.021⁎⁎	0.018*	0.033⁎⁎⁎

Panel B: Before COVID-19
	Funds	MSCI SRI Indices
	ESG Funds	World	US	Japan	Europe
Diff. Return	-0.057	0.020⁎⁎	0.025*	0.016	0.030⁎⁎
Diff. Sharpe	-0.024	0.017⁎⁎	0.017*	0.016	0.025⁎⁎⁎

Panel C: During COVID-19
	Funds	MSCI SRI Indices
	ESG Funds	World	US	Japan	Europe
Diff. Return	0.047	0.069*	0.082	0.053	0.132⁎⁎
Diff. Sharpe	0.031	0.039*	0.043*	0.027	0.071⁎⁎

Notes: The table presents the tests comparing the performance of the SRI/ESG funds/indices and MSCI Indices estimated using Eqs (1) and (2). The tests are conducted with the hypotheses of H0: SRI Index/Fund = MSCI, Ha: SRI Index/Fund > MSCI. Panel A examines the difference in the performances using the full sample period, Panel B examines the period before the COVID-19, and Panel C examines the COVID-19 period. The pandemic period is defined as that after the confirmed cases of COVID-19 exceeded 10,000 (February 1, 2020) until the end of our sample period (June 24, 2020). The second column compares the performances of the ESG funds and the MSCI World Index. The third column compares the performances of the MSCI SRI World and MSCI World Indices. The fourth column compares the MSCI SRI US and MSCI US Indices, the fifth column compares the MSCI SRI Japan and MSCI Japan Indices, and the sixth column compares the MSCI SRI Europe and the MSCI Europe Indices. “Diff. Return” presents the difference in the returns of the SRI/ESG funds/indices and the MSCI Indices. “Diff. Sharpe” shows the differences in the Sharpe ratios. The Sharpe ratios are estimated using the 30-trading-day rolling standard deviations of the annualized returns. t-tests are conducted. ***, **, and * indicate the coefficient is significant at the 10, 5, and 1% levels, respectively.