Evaluating the Performance of Socially Responsible Investment Funds: A Holding Data Analysis:

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This paper investigates the performance of regular mutual funds compared to Socially Responsible Investment (SRI) mutual funds, over the time period of January 2001 to September 2007. The paper extends the research on the performance of SRI funds by using holding data of regular funds to create replicating portfolios. In the replicating portfolios, unethical investments are excluded according to a norm-based screening list, hence creating artificial SRI funds. The replicating portfolio returns are then used as a benchmark to the SRI funds’ and regular funds’ returns. Results from the study indicate that an exclusion of companies according to norm-based screening can improve a fund’s performance. However, when looking specifically at the fund management of...