The performance of socially responsible mutual funds: incorporating sociopolitical information in portfolio selection

Abstract

Outlines increased interest from investors in corporate social policies over the last ten years and previous research comparing the investment performance of “socially responsible” (SR) portfolios with others. Measures performance for a US sample of SR and conventional mutual funds using a variety of methods (including Jensen’s Alpha, the Sharpe Ratio and the Treynor ratio), analysing the funds by investment strategy, size, systematic risk and the use of inclusion screens. Presents the results, which do not give a clear advantage to either group, but show that funds with inclusion screens consistently outperform those without. Calls for further research on the relationship between corporate social performance and portfolio performance and comparisons between SR and conventional funds.

Citation

Goldreyer, E.F., Ahmed, P. and Diltz, J.D. (1999), "The performance of socially responsible mutual funds: incorporating sociopolitical information in portfolio selection", Managerial Finance, Vol. 25 No. 1, pp. 23-36. https://doi.org/10.1108/03074359910765830