Socially Responsible Investment (SRI) has been a growingly important topic in the investment community over the past two decades. However, studies have come up with mixed results as to whether this is a viable investment approach for all, or investors need to forego their return aspirations if they want exposure to “social dividends”. Our study is modeled from one of the most prominent work done in the field by Meir Statman who published his paper “Socially Responsible Mutual Funds” in 2000, exploring the performance of SRI mutual funds and measuring them by four attributes. We extend his approach to a set of actively managed SRI funds in the last decade (Q3 2010 – Q3 2019) and change the frequency of data into quarterly from monthly, adding two more benchmarks to get a new perspective on diversification. Our findings conclude that SRI investments, in fact, add value when the investment approach is passive and well- diversified.
MSc in Finance Project-Simon Fraser University.
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