LAUSR

Socially responsible investment has acquired a global dimension beyond moral values, which includes sustainability, risk management, and corporate social responsibility as the main elements. At the same time, from the launch of the 17 Sustainable Development Goals (SDGs) included in the United Nations 2030 Agenda, with its 169 outcomes and 230 indicators, investors are being asked to contribute with their business activities, asset allocations, and investment decisions to solve some of the most urgent problems the world is facing (poverty, clean water, clean energy, decent work and economic growth, and climate action among others). The aim of our research is to analyze the benefits of adding SDGs exchange‐traded funds (ETFs) to a stock–bond portfolio and evaluate the out‐of‐sample performance of four strategies using the returns and volatility forecasts from a rolling sample approach. Our results show that it is possible for investors to obtain benefits from investing in ETFs, which track companies focused on contributing to the SDGs, especially those focused on decent work and economic growth and clear improvements in portfolio performance compared with the initial stock–bond portfolio. These findings are relevant not only for academics but also for active professional managers who can use this technique to add value to investment strategies.