The Long-Term Performance of a Social Investment Universe

This article presents a multi-decade, holdings-based attribution analysis of a U.S. social investment index. This analysis finds that differences between the index's returns and those of the S&P 500 Index are fully explained by conventional investment factors. This is true for the full time...

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Bibliographic Details
Published inJournal of Investing Vol. 20; no. 3; pp. 95 - 102
Main Authors Kurtz, Lloyd, diBartolomeo, Dan
Format Journal Article Trade Publication Article
LanguageEnglish
Published London Pageant Media 01.10.2011
Subjects
Charitable foundations
Community relations
Earnings
Equity
Equity funds
Indexes
Investments
Rates of return
Social investing
Social responsibility
Stock exchanges
Studies
Tobacco
United States > US
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Summary:This article presents a multi-decade, holdings-based attribution analysis of a U.S. social investment index. This analysis finds that differences between the index's returns and those of the S&P 500 Index are fully explained by conventional investment factors. This is true for the full time period under study as well as for two subperiods (January 1992-November 1999 and December 1999-June 2010) that coincide with periods of nominal outperformance and underperformance by the index. The authors find that unexplained returns are not statistically different from zero in either the full time period or in either of the two subperiods. This is beneficial for investors motivated by social values because it suggests that the risk exposures created by social screens can be managed through careful portfolio construction. It is less encouraging for investors seeking a performance advantage through the use of social or environmental factors-the analysis suggests that, for this universe at least, market valuations already correctly incorporate this information. [PUBLICATION ABSTRACT]
ISSN:1068-0896
2168-8613
DOI:10.3905/joi.2011.20.3.095