Mr. Lear said he could see the interest in impact E.T.F.s from some investors. “It makes sense in terms of supporting the ecosystem,” he said. “You want more and more people under the tent.”

But for his wealthier clients, he said, he largely avoids exchange-traded funds for an impact investment because he is worried that the very nature of an E.T.F. — which is meant to track an index that may have been created for just one E.T.F. — could be riskier than people imagine.

“E.T.F.s are creating new benchmarks or indices, and there’s a risk inherent in that,” Mr. Lear said. “They’re trying to create something new, and they’re making their best efforts, but this mechanical exercise of having an E.T.F. invest by different weightings can fail.”

He cited a solar E.T.F. created by Guggenheim Partners — ticker: TAN — that invested in solar companies based on market capitalization. Last year it had a large investment in a Chinese solar company before shares in the company were frozen when its value plummeted.

“When I sit down with clients, what I generally talk about is where can you have the most bang for your buck,” he said. “With fixed income, the low-hanging fruit is microlending — the return is about 3 percent, it’s pretty stable, there’s a low risk of default and you’re supporting people with loans.”

To have greater impact, Mr. Lear said, he advised clients to measure what the investment says it will accomplish versus what it does accomplish, as well as its risk and return.

To make sure that the companies in the index tracked by the SHE E.T.F. are meeting the gender criteria, Ms. Mitchem said the index would be rebalanced annually. Companies will be included if they have the highest level of women in senior leadership in their sector — meaning the E.T.F. will also seek out the best companies in male-dominated industries like oil and gas to avoid a bias toward one sector.