With the launch of the United Nations 2030 Agenda for 17 Sustainable Development Goals (SDGs), investors are encouraged to contribute to solving some of the world’s most pressing problems through their business activities. This paper examines the diversification benefits of SDGs exchange-traded funds (ETFs) from the perspective of tactical and strategic investors. Specifically, the risk-adjusted returns of equity market portfolios with and without SDGs ETFs are compared. The incremental impact is assessed using variable weightings, while the persistence is investigated over time. The results show that the effects of diversification vary greatly across SDGs. ETFs linked to economic growth and innovation improve reward-risk ratios significantly, particularly for strategic investors. ETFs associated with renewable energy, on the other hand, deteriorate portfolio efficiency. The ETF based on good health has the potential to reduce portfolio downside risk. The findings provide useful implications for investors seeking to add value through socially responsible investing.
