Classifying and Measuring the Performance of Socially Responsible Mutual Funds

Is socially responsible investment useful in Mexico? A multi-factor and ex-ante review

“…a high probability that the historical Sharpe ratios of the three indexes are equal asymptotically. With this in mind, we arrive, for the Mexican case, to a result that is consistent with the findings of Statman (2000) and Schröder (2004Schröder ( , 2007.…”

“…As we mentioned at the introduction, almost all the published studies focuses in the mean-variance efficiency of SRI. This is done departing from the study of Moskowitz (1972) and having, as a formal departure, the first study of Statman (2000) who used the Modigliani and Modigliani (1997) performance measure and conclude that there is no over-performance from the SRI funds in comparison to the conventional ones. Another more actual study that is the basis of the present one, is the work of Schröder (2004) who analyzed 56 US, German, and Swiss SRI mutual funds and 10 SRI benchmarks.…”

“…This is not a new subject of interest but one of the fields of emerging interest is to screen securities given the ethical or social responsibility values of their issuing company. This subject has been studied since the pioneering work of Moskowitz (1972) and Statman (2000). This is due to the activist investment style that several pension funds followed since 1960, strongly supported with previous practices followed in previous centuries by Jewish people, Muslims, Quakers, Puritans, Catholics or social and environmental activists (just to mention some of these groups).…”

The performance of socially responsible equity mutual funds: Evidence from Sweden

“…This is illustrated by the fact that Sweden is currently the fourth ranking European country in terms of the number of investment managers who are signatories of the United Nations Principle for Responsible Investing (UN PRI) and 78% of the fund management companies that are members of the Swedish Investment Fund Association are either signatories of UN PRI or explicitly mention responsible investment concerns in their mission statement . The implication of this phenomenon is that it will be more difficult for investors to make informed decisions since, as Statman and Glushkov () mention, there are no clear boundaries between SR and conventional funds. In fact, investors who are willing to incorporate their social concerns in their investment decisions usually cannot access information beyond what is contained in the prospectuses of the funds that self‐classify themselves as SR. More than a binary classification of funds into an SR or conventional category, it would be useful for investors to know the extent to which each fund (so‐called SR or conventional) holds stocks that comply with ethical and social criteria.…”

“…Furthermore, there is even evidence of closet SR funds, that is, conventional funds that avoid investing in socially controversial companies despite not having an explicit SR investment strategy (Statman & Glushkov, 2016 16 The implication of this phenomenon is that it will be more difficult for investors to make informed decisions since, as Statman and Glushkov (2016) On the issue of how SR mutual funds are also important for regulators, the existence of independent entities that could certify the level of social responsibility of mutual funds could help investors identify those that truly integrate social and ethical criteria in their strategies or are committed to specific dimensions of social responsibility. The existence of such independent ratings at the social level would also help to uncover funds that are marketed as SR despite not holding socially screened stocks to a reasonable level.…”