Abstract
From a sample of Socially Responsible Investment (SRI) funds, the paper identifies which SRI funds are riskier than the market, including characteristics of average and weighted SRI fund returns. Also identifies which funds produce above market risk returns as measured by Alpha regression coefficient values. The research suggests that the sample of SRI funds in aggregate behave similar to growth equities, showing a significant negative correlation with momentum factors. As an Asset Weighted aggregate of the sample SRI fund returns, the SRI investments are significantly slightly riskier than the total market. Furthermore, SRI funds do not deliver Alpha values of any significance for any of the groupings.
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