Abstract
We compare the performance of the SRI (Socially Responsible Investing) mutual funds and that of regular mutual funds in Korea. We find that the SRI funds show higher Sharpe ratios and Treynor’s measure compared to regular mutual funds. We also show that return measures are sensitive to weighting scheme; since SRI funds outperform regular funds by 1.2 times in terms of equal-weighted portfolio, but outperform by 62 times in terms of value-weighted portfolio. Finally, using a regression framework controlling for factors such as fund age, risk, and size, we confirm that SRI funds perform better than regular mutual funds.
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