(Bloomberg) -- Funds linked to environmental, social and governance principles are by definition supposed to minimize risks tied to those three factors. In 2022, the approach did little to help protect investors from the brutal slide in the financial markets.

The 10 largest ESG funds by assets have all posted double-digit losses, with eight of them falling even more than the S&P 500’s 14.8% decline. The laggards include BlackRock Inc.’s $20.7 billion iShares ESG Aware MSCI USA exchange-traded fund (ESGU) and Vanguard Group’s $5.9 billion ESG US Stock ETF (ESGV).

The $6 billion Brown Advisory Sustainable Growth Fund (BAFWX) was the worst performer of the bunch, having slumped 28.1% this year as of the close of business on Dec. 5. The fund had more than two-fifths of its assets in software, semiconductor and internet stocks as recently as the end of October. The once high-flying technology sector has been particularly hard hit this year amid rising interest rates, inflationary concerns and the possibility of a US recession.

It’s been a “bad year for growth stocks” and the Brown Advisory fund is the most “growth-oriented” of the 10 funds on the list, said Jon Hale, director of sustainability research for the Americas at Morningstar Inc. The Parnassus Core Equity, Pioneer and TIAA Social Choice Equity are more “value” focused, seeking shares that trade at low levels relative to earnings and other financial metrics. As a result, this group reported slightly smaller losses, he said.

The fund declines are occurring during the most turbulent period for the S&P 500 since the global financial crisis of 2008. The US index has posted a move of at least 1%—both up and down—on almost half of trading days since the start of the year.

While few of the biggest funds measure their performance against the S&P 500, the index is the most widely followed stock benchmark in the US. Of the 10 largest ESG funds by assets, just one is a fixed-income fund, according to data compiled by Morningstar Direct. The $5.9 billion TIAA-CREF Core Impact Bond Fund (TSBIX) has dropped 13% this year, less than the equity funds.

The performance of the 10 largest funds compares with the average 12% decline of ESG-labeled stock funds with more than $500 million of assets so far in 2022, according to data compiled by Bloomberg.

Despite the losses, a paper released this month by the National Bureau of Economic Research said that investors are willing to be charged “higher fees for ESG-oriented index funds in exchange for their financial and non-financial benefits.”

The Harvard Business School professors who helped write the study entitled How Do Investors Value ESG found that investors will—on average—pay 20 basis points more a year for funds with an ESG mandate as opposed to funds without an ESG mandate.

“When we incorporate the possibility that investors are willing to accept lower financial returns in exchange for the psychic and societal benefits of ESG, we find that the implicit value that investors place on ESG stocks is higher still,” the authors wrote.

For ESG optimists, the NBER report helps explain why money keeps rolling into ESG funds despite the bad performance. This year, a net $44 billion has gone into ESG-labeled ETFs, Bloomberg data show.

Whether that trend continues almost definitely depends on how much patience investors have if losses keep mounting.

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