The Performance of Socially Responsible Investment funds
Syrjäläinen, Vesa (2015)
Kuvaus
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Tiivistelmä
Socially responsible investing (SRI) is a growing field of investing that incorporates social criteria to the investment decision. The increasing trend towards sustainability has captured the attention of governments and investors alike, which has resulted in a rapid growth of socially responsible investment funds. A SRI-fund in essence is a normal investment fund with the exception that the individual stocks are screened for different social criteria. The issue with socially responsible investment funds is that adding several screens to the stock selection dramatically compromises the possible investment universe. Thus according to the Modern Portfolio Theory, this results in a less diverse investment universe and a lower risk adjusted return.
The performance of SRI-funds has been studied throughout during the last fifteen years with the most common way of evaluating the performance through comparison between the SRI-funds and conventional funds. More recent studies have examined the issue of screen-ing intensity, where the SRI-funds are compared to each other rather than conventional funds. In the empirical part of this study, the effect of positive and negative screening strat-egies to the performance of the funds in Europe during the years 2002 to 2014 is examined.
The findings of this study were that negatively screened funds have on average overper-formed the positively screened funds during this time period. Additionally, the empirical part provides support for the overperformance hypothesis as the relationship between screening intensity and fund performance is positive for negatively screened funds and cur-vilinear for positively screened funds.
The performance of SRI-funds has been studied throughout during the last fifteen years with the most common way of evaluating the performance through comparison between the SRI-funds and conventional funds. More recent studies have examined the issue of screen-ing intensity, where the SRI-funds are compared to each other rather than conventional funds. In the empirical part of this study, the effect of positive and negative screening strat-egies to the performance of the funds in Europe during the years 2002 to 2014 is examined.
The findings of this study were that negatively screened funds have on average overper-formed the positively screened funds during this time period. Additionally, the empirical part provides support for the overperformance hypothesis as the relationship between screening intensity and fund performance is positive for negatively screened funds and cur-vilinear for positively screened funds.