Responsible Funds Research Articles

Ethical Investment Constraints And Fund Performance

This study evaluates the risk-adjusted performance of two author-defined categories of socially responsible mutual funds during the period of September 1999 to September 2004, using objective statistical measures grounded in modern portfolio theory. A socially responsible mutual fund is defined as one which employs "social screens" in stock selection. In this study, one category favors politically progressive, secular criteria and the second favors conservative religious values. The main objective of this study is to provide empirical documentation on the risk-adjusted returns of these mutual funds, to stimulate interest in further study of the political aspects of the screens that underlie them. This is one of the first, if not the first, academic studies to delineate socially responsible funds into such categories. The study results based on 30 funds indicate that funds favoring politically progressive secular criteria outperform the S&P 500 Index during the study period, while funds favoring conservative religious views overall do not outperform the S&P 500 Index.

Institutional investment flows and the determinants of top fund manager turnover

AbstractThis study examines how the termination of superannuation investment mandates contributes to the departure of top fund managers in companies delegated the portfolio management role. Terminations of superannuation plan mandates increase the probability of a fund company changing the responsible fund manager. Objective‐adjusted returns are also significant managerial turnover considerations. These results illustrate that significant losses of superannuation fund clients act as an external control mechanism in the investment management industry that complements internal managerial performance measures.

Do Socially Responsible Fund Managers Really Invest Differently?

To date, research into socially responsible investment (SRI), and in particular the socially responsible investment funds industry, has focused on whether investing in SRI assets has any differential impact on investor returns. Prior findings generally suggest that, on a risk-adjusted basis, there is no difference in performance between SRI and conventional funds. This result has led to questions about whether SRI funds are really any different from conventional funds. This paper examines whether the portfolio allocation across industry sectors and the stock-picking ability of SRI managers are different when compared to conventional fund managers. The study finds that SRI funds exhibit different industry betas consistent with different portfolio positions, but that these differences vary from year to year. It is also found that there is little difference in stock-picking ability between the two groups of fund managers.

Institutional Investment Flows and the Determinants of Top Fund Manager Turnover

This study examines how the termination of superannuation investment mandates contributes to the departure of top fund managers in companies delegated the portfolio management role. Terminations of superannuation plan mandates increase the probability of a fund company changing the responsible fund manager. Objective-adjusted returns are also significant managerial turnover considerations. These results illustrate that significant losses of superannuation fund clients act as an external control mechanism in the investment management industry that complements internal managerial performance measures.

To sin or not to sin? Now that's the question

This study examines the risk and performance of the Vice Fund, an antithesis of socially responsible funds. It also introduces a more robust measure of risk and performance, in the form of the autoregressive conditional heteroscedasticity model, into the socially responsible investing arena. While the traditional unconditional measures highlight the characteristics of each time series over a certain horizon, the conditional alternative allows the daily dynamics of the time series to be examined.

Investment and environmental management: the interaction between environmentally responsible investment and environmental management practice

Do investors, such as environmentally responsible funds, influence firms' decisions to implement environmental management practices? We present the results of a survey analysing the implementation standards of environmental management practices subject to the influence of environmentally responsible investment funds. Results indicate that firms listed in environmentally responsible funds perform better in their environmental management practices. However, this good performance does not seem to be influenced by the desire of a firm to be listed in an environmentally responsible fund but by other reasons, i.e. a certified environmental management system.

Style and Performance of Dutch Socially Responsible Investment Funds

Controlling for investment style, the performance differential between Dutch socially responsible mutual funds and conventional investments over 2001-2003 is not statistically significant. This confirms conclusions drawn elsewhere in the literature. Contrary to most of the findings on socially responsible investing, the socially responsible funds seem to be tilted toward value stocks in this period, which would lend support to the rational asset pricing theory.

SOCIALLY RESPONSIBLE INVESTING AND PORTFOLIO DIVERSIFICATION

AbstractI use a sample of socially responsible stock mutual funds matched to randomly selected conventional funds of similar net assets to investigate differences in characteristics of assets held, portfolio diversification, and variable effects of diversification on investment performance. I find that socially responsible funds do not differ significantly from conventional funds in terms of any of these attributes. Moreover, the effect of diversification on investment performance is not different between the two groups. Both groups underperform the Domini 400 Social Index and S&P 500 during the study period.

Socially Responsible Investing and Climate Change: Contradictions and Challenges

This article explores the contradiction between the articulated investment policies, screening criteria or ethical charters of socially responsible investment funds and their actions demonstrated by their portfolio selection practice. The paper provides a background to socially responsible investment and Australia's contribution to greenhouse gas emissions. A discussion of renewable energy options lays the foundation for our main assertion: that this set of possible alternatives provides some new and more environmentally robust options that will better complement the underlying philosophy of funds in the socially responsible investment sector.

The social responsibility performance of ethical and solidarity funds: an approach to the case of Spain

In the past few years, concepts like ‘social responsibility investment’, ‘social and environmental investment’, ‘ethical investment’, ‘socially responsible funds’, ‘ethical funds’ and others have become increasingly important. All of them refer to similar but not equivalent concepts and demonstrate the existence of a new financial situation whose policy for action is based on economic, social and environmental criteria. The origin of what is today socially responsible investment (SRI) comes from the political environment experienced in the US and in Europe in the 1960s, when social and environmental movements, above all in support of peace, served to deepen the awareness of society of social responsibility and sustainable development issues. As a consequence of this, at the end of the 1970s the concept of social investment attracted a large number of American investors, who began to question the idea of financing the Vietnam War through investments. So, in 1971, there emerged the first true US ethical fund. In Europe, the first ethical fund was launched in Sweden in 1965 and in the UK the first ethical fund was launched in 1984. According to SiRi Group (2003), the leading countries in SRI in Europe are the UK, Sweden, France and Belgium. These events have involved noticeable changes in the size and composition of stock markets and even in the habits and financial culture of individual investors. However, these habits are not homogeneous in all international asset markets, and if we carry out an analysis of the ethical criteria by countries, some differences can be seen. In Spain, funds that can be identified as ethical investment funds have been marketed since 1997. The development of such investment funds has been less than in other developed countries, not only in number of funds or assets under management but also in the fund policy aspects and the establishment of social criteria. Another aspect that shows the weakness of SRI in Spain is the lack of engagement with companies made by these funds. As we show in this research, when we analyse Spanish SRI more deeply, we find that Spain is at an earlier stage of development than other European countries. The Spanish regulatory legislation focuses only on corporate governance issues (Olivencia and Aldama Reports); the selection methodology focuses mainly on the application of negative criteria (negative screening), and the Respectively, University Lecturer, University Professor and Assistant Lecturer, Department of Finance and Accounting, Universitat Jaume I, Castellon, Spain.

Socially Responsible Funds Performance Chart

Socially Responsible Funds Performance Chart

Setting Biomedical Research Priorities in the 21st Century

Physicians should encourage pharmaceutical companies to make socially responsible funding decisions and take an active role in setting biomedical research priorities by advocating for fair and effective allocations of public and private biomedical R & D investments. Virtual Mentor is a monthly bioethics journal published by the American Medical Association.

Measuring the performance of ethical mutual funds: a DEA approach

The solidarity and social responsibility features that characterize the ethical mutual funds satisfy the fulfillment of humanitarian aims, but may lower the investment profitability. Hence, when we measure the performance of ethical mutual funds, we cannot disregard the ethical component. In this contribution, we propose a performance indicator that considers the expected return, the investment risk, the ethical component and the subscription and redemption costs together. The performance measure proposed is obtained using a data envelopment analysis (DEA) approach, which allows one to measure the relative efficiency of decision-making units in the presence of a multiple input–multiple output structure. The DEA performance indicator for ethical funds can be computed with different models, according to the nature of the ethical indicator that characterizes the socially responsible funds. In particular, a DEA categorical variable model seems appropriate.

Bridging the Gap Between the Promise and Performance of Socially Responsible Funds

Bridging the Gap Between the Promise and Performance of Socially Responsible Funds

Playing Defense in a Punishing Market

High equity allocations were a boon for pension funds during the incredibly prosperous 1990s, but the deteriorating markets of the past two years have put many pension funds and endowments in a vulnerable position. Responsible fund managers should now start playing defense. Analyzing how the asset allocation of a typical pension fund today would have fared in five poor equity market scenarios over the past 30 years, the author demonstrates how severe the damage would have been. These results underscore the benefit of a more defensive asset strategy featuring a smaller equity allocation and more alternative investments. A fund structured in this manner could outperform a typical pension fund across a wide range of bear market scenarios.

Measuring The Performance Of Ethical Mutual Funds: A DEA Approach

The ethical constraints forced on an investment fund satisfy the fulfilment of humanitarian aims but may lower the investment profitability. Hence, when we measure the performance of ethical mutual funds we cannot disregard the ethical component. In this contribution we propose a performance indicator which considers the expected return, the investment risk, the ethical component and the subscription and redemption costs together. The performance measure proposed is obtained using a data envelopment analysis (DEA) approach, which allows to measure the relative efficiency of decision making units in presence of a multiple input-multiple output structure. The DEA performance indicator for ethical funds can be computed with different models, according to the nature of the ethical indicator which characterizes the socially responsible funds. In particular, a DEA model with exogenously fixed output variables and a categorical variable model seem appropriate.

Routes of funding, roots of trust? Northern NGOs, Southern NGOs, donors, and the rise of direct funding

This paper, based on a review of SIDA's funding of NGOs in Bangladesh, explores the changing relationships between bilateral donors, Northern NGOs (NNGOs), and Southern NGOs (SNGOs). It compares direct and indirect funding routes between donors and SNGOs. Most SIDA funding of SNGOs was previously undertaken through Swedish NGOs. As SNGO competence and capacity has increased through their own efforts at professionalisation, through wider recognition and support from government and by the provision of 'capacity building' partnerships with NNGOs, these Southern organisations have taken up positions within the burgeoning 'third sectors' of aid-recipient countries alongside the governmental and business sectors. SIDA has increasingly funded SNGOs directly through its Dhaka office. The paper sets out to address two main themes in the context of Swedish aid to NGOs in Bangladesh. Firstly, as bilateral donors provide an increasing proportion of their resources to NGOs, how can sound and responsible funding relationships based on mutual trust be built between bilateral donors and NGOs? Secondly, how can NNGOs work usefully in contexts where the number and capacity of local SNGOs has expanded significantly?

Socially Responsible Fund Performance

Socially Responsible Fund Performance

Do Investors Price Social Responsibility?

In the past few decades society has placed increasing demands on managers of firms to change corporate policy and to make decisions in ways that are deemed socially responsible by society. The scope of activities under the corporate social responsibility umbrella has in cluded environmental issues, the involvement of women and minorities in management, investing in South Africa, pollution control, ethical treatment of animals, nuclear testing and other related issues. Society's demands in these areas have inspired (and in some cases even coerced) both managers of corporations and portfolio managers of investment funds to respond. Many of the leading mutual fund investment companies now offer funds that are ethically screened. The Society Investment Forum reports that the value of socially responsible investment funds exceeded $600 billion by the end of 1991. A new stock index, the Domini 400 Social Index, has been constructed to measure the performance of the stocks of 400 corporations that have passed multiple social screens. Coupled with the demand for increasing corporate social re sponsibility, there has been a move away from the traditional view that managers make decisions that are in their common shareholders' best interests to a stakeholder concept where managers make decisions for and serve a much broader group of claim-holders than just share holders. Joichi Aoi, Chairman of the Board at Toshiba Corporation, has argued that today's managers need to broaden their perspective beyond the traditional shareholder thinking: