The Performance of Socially Responsible Investments: Investment Funds and Indices

The aim of this study is the analysis of the performance of so called socially responsible investments (SRI). The performance of SRI equity investment funds and equity indices is investigated using Jensen´s alpha as performance measure. The analysis of the fund performance considers market timing strategies of the fund management and takes publicly available information into account (conditional performance). It is found that most of the SRI assets (funds and indices) have a similar performance compared to their benchmarks. Only a few funds and indices exhibit a relatively poor performance. Thus, an investor in SRI assets can expect a similar risk-adjusted return compared to an investment in conventional assets, although SRI is only a subset of the total investment universe.

Schröder, Michael (2004), The Performance of Socially Responsible Investments: Investment Funds and Indices, Financial Markets and Portfolio Management 18, No. 2 , 122-142