The investment performance of socially responsible mutual funds is examined. Analysis of monthly returns over the period January 1986 - December 1995 shows that all funds were notcointegratedwith their respective peer funds. This is indicative of the impact of social screens on the temporal behavior of SRFs; screening causes the time series behavior ofaSRF to diverge from that of its peer group. Performance evaluation using the Sharpe measure shows that only 4 SRFs outperformed their peer funds on a risk-adjusted basis, however, Jobson-Korkie (1981) significance tests show that the risk-adjusted performance between SRFs and their peer funds are not statistically different. The results provide traditional indication that social responsibility characteristics are not priced in the market.
"The External Performance of Socially-Responsible Mutual Funds,"
American Business Review: Vol. 16
, Article 3.
Available at: https://digitalcommons.newhaven.edu/americanbusinessreview/vol16/iss1/3