Performance Evaluation of SRI Funds: An Analysis of Fund Types

Abstract

Socially responsible investing (SRI) continues to get the attention of both practitioners and academicians as the demands for these funds increased sharply during the last decade. This study provides additional evidence on performances of SRI in mutual funds. The empirical findings show that although SRI funds experience lower average returns relative to the non-SRI control sample and various benchmarks, they provide higher returns relative to the control group and benchmarks using various risk adjusted measures. Among the subgroups analyzed, SRI Fixed Income funds offer the highest risk adjusted returns to investors while SRI Global funds provide the lowest returns. Finally, using Jensen’s alpha for individual funds, we find that about half of the funds experience negative alphas and 20 percent of SRI funds have statistically significant negative alphas compared to 7 percent of funds with that of positive alphas. Overall, the findings show mixed results concerning SRIs performance.