Author: Burrell, Brandon
Author: Gutierrez, Earendil
Socially responsible investing (SRI) is a growing practice in the investment management industry which seeks to incorporate environmental, social and corporate governance factors into the investment decision-making process. Arguments have been made for and against it, and previous research has sought to answer the question of whether funds of this type outperform their conventional counterparts.This study explores the performances of both types of funds on a before-fee basis and analyzes the impact fees have. We show that in the US from 1997-2017, SRI mutual funds after fees significantly underperform conventional funds after adjusting for market risk. Accounting for four risk factors, however, we find no significant difference in performance. Further, we find no significant difference in fees for the period. Analyzing the two 10-year subperiods of our test period, we find that SRI funds likely improve over the sample period and the performance of conventional funds likely deteriorates on a relative basis.
MSc in Finance Project-Simon Fraser University.
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