The investment of socially responsible mutual funds has been practiced and questioned for more than a century. Many investors share the concern that the social and environmental criteria would probably hurt the investment returns, and as a result of that, returns of SRI would be lower than conventional investments. Being aware of this, we will correct people’s common sense in this paper by empirically testing whether socially responsible mutual funds have lower excess return or not. We used return and risk indicators to examine the indexes and mutual funds performances in the latest time period. Also we collect the data both of US and Canada socially responsible mutual funds so as to get much broader and more general idea. Except for comparing the indexes performances, it is also necessary to analyse the performances between the SRI mutual funds and conventional mutual funds. According to the results, we find that the socially responsible criteria do not necessarily have a negative effect on investment performance.
MSc in Finance Project-Simon Fraser University
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