Socially Responsible Investing impacts on

portfolio performance on a risk-adjusted

basis
August 9th, 2015

STEPHEN JAMES MILANO, DML

is currently pursuing his Masters of Business Administration and Masters of Science in Finance
from Northeastern Universitys DAmore Mckim School of business. Stephen is a business
development professional in the defense and civil markets with a specialty in corporate
responsibility within the defense industry.
Correspondence: Stephen J. Milano, E-mail: milano.st@husky.neu.edu

ABSTRACT
This study analyzes the performance of SIR funds on a risk adjusted basis using returns for nine
self-identifying SRI funds from January 2009 through December 2013. A three stage approach is
used to analyze the data in which multi-factor regressions are run to determine the significance of
alpha when other explanatory factors are present. The findings indicate that there is not a
significant abnormal return on SRI funds when these explanatory factors are considered.
Nonetheless, significant resources continue to be diverted to SRI funds as a mass psychological
manner in which to assuage the collective conscience of the investing public.
Keywords: socially responsible investing; Jensens Alpha; Fama-French alpha; Fama-French plus
Carhart alpha, risk-adjusted

INTRODUCTION

SRI funds or securities, has become a

Seemingly born initially in the realm of

mainstream approach to investing. A 2012

anecdotal success and popular investing

report on Socially Responsible Investment

Socially Responsible Investing, known as

Trends estimated that $3.74 trillion (or 11.3%

of all managed funds) is invested in socially
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SOCIALLY RESPONSIBLE INVESTING IMPACTS ON PORTFOLIO PERFORMANCE ON A RISK-ADJUSTED BASIS

responsible mutual funds (Bolster & Kotsev,

and product safety (Prior, 2015). Aside from

2015). The argument for socially responsible

addressing the need for a more uniform

investing is fairly straight forward; investing

assessment of what it means to be an SRI

in funds and securities that exclude socially

fund it also provides relief to one of the other

unacceptable behaviors, or seeks out positive

common issues of SRI funds; high fees due

behavior, characteristics as a means to

to active management. The Vangaurd FTSE

increase wealth or assuage ones social

SIF is a passively managed fund with annual

conscience through altruism. Therein lies the

fees of 0.27%. Interestingly, this fund

conundrum and the reason, in part that we are

returned 5.35% compared to 4.31% on the

conducting this research; to determine if the

S&P 500 through the first half of the year

screens required to ensure SRI achieves

(Prior, 2015).

returns that beat their index (or non SRI

counterpart) on a risk-adjusted basis. Total
assets in such funds [SRI based] have grown
59 per cent over the last five years leading to
a trend of weeding out the bad (Prior, 2015).
Many have debated and evolved the
conversation on how one derives the criteria

The prevailing belief is that organizations

with a focus environmental, social, and
governance factors may ultimately be more
profitable (Blanchard, 2015) because, in the
long term, they are less likely to succumb to
such pitfalls that will adversely affect their
returns.

for labeling an SRI fund. Theories range from

an individual investors subjective evaluation

Some may debate the legitimacy of any SRI

of an organization to determine if they are

fund screen; everyone has a different

suitable based on that individuals criteria,

definition of what is socially acceptable

the exclusion of bad securities (at one point

(Housel, 2015). The Vanguard FTSE SIF

deemed Tabaco, alcohol, and gambling

contains many examples where the hand-

firms), to a more advanced look at what it

picked list of the most socially responsible

means to be a SRI fund. The Vangaurd FTSE

companies failed to live up to social

Social Index Fund tracks against the

standards. Bank of America, which has paid

FTSE4Good US Select Index and uses a

$74.58 billion in fines more than any other

screening for workplace and environmental

company in history -- for its role in blowing

issues, human rights, corporate responsibility,

up the financial system. McDonald's, ground

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SOCIALLY RESPONSIBLE INVESTING IMPACTS ON PORTFOLIO PERFORMANCE ON A RISK-ADJUSTED BASIS

zero for paying poverty wages and selling

(Bertrand & Lapointe, 2015), the impact of

some of the unhealthiest food money can

market timing skills in SRI funds (Ang,

buy. (Housel, 2015) See Figure 1: Vanguard

Gregoriou, & Lean, 2014), the difference in

FTSE SIF Poor Screening Examples for the

impacts from initial public offering to

full list of examples provided (Housel, 2015).

secondary public offering (Chan & Walter,

2014), and the direct impact of one particular

Research Question Development

The aim of this research is to determine if a
portfolio built around the screens required to

index, FTSE4GOOD, against the market

(Belghitar, Clark, & Dechmukh, 2014).
Abdelsalam

et

al provide

the

first

develop an SRI fund generate returns that are

compressive analysis of Islamic and SRI fund

significantly superior or inferior on a risk-

performance. In their research they use Free

adjusted basis (Bolster & Kotsev, 2015).

disposal hull (FDH) and quintile regression

The remainder of this article is organized as

approach. The study details the impact of

follows. The next section reviews some of the

quartile regression and the accuracy it

more relevant literature on SRI funds. The

provides when data, such as that found in

subsequent sections review the data and

fund returns, is not normally distributed and

methodology used in this study. The final

does not follow linear error variance

sections review the results and findings of our

throughout

study and conclude with recommendations.

interesting finding within the research

the

distribution.

The

most

performed by Abdelsalam et al is not that

RELATED LITERATURE

there is a consistent finding with other studies

We have identified five studies that provide

in that there was no significant difference

not only relevant insight into the impact of

from SRI funds and Islamic funds but rather

socially responsible investing but diverse

the findings that resulted in their quartile

insight. These research articles tackle the

regression. In the second stage of their two

impact of SRI funds compared to the Islamic

stage regression there was a quartile division

fund market (Abdelsalam, Fethi, Matallin, &

of efficient funds. What was determined was

Tortosa-Ausina, 2014), the impacts of

that SRI funds performed better than those

varying levels of screens (defining what SRI

that were poorly managed or inefficient. The

is to that fund) compared to the market

implication is that the screens required to

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SOCIALLY RESPONSIBLE INVESTING IMPACTS ON PORTFOLIO PERFORMANCE ON A RISK-ADJUSTED BASIS

qualify a fund as an SRI fund result in greater

presumably

efficiency for the fund (Abdelsalam, Fethi,

financial utility that SRI investors derive

Matallin, & Tortosa-Ausina, 2014).

from

the

compensated

responsible

by the

non-

nature of

their

Ang, Gregoriou, and Lean provide a 2014

investments. Integrating the role of non-

analysis of a ten year period from 2001

financial utility into the investment paradigm

through 2011 of 500 and 248 European and

looks like a fruitful prospect for future

American SRI funds (respectively) (Ang,

research. (Belghitar, Clark, & Dechmukh,

Gregoriou, & Lean, 2014). The focus of this

2014)

study was to determine if the market-timing

The perspective of Bertrand and Lapointes

skills of these two separate groups impacted

research is on risk-based allocation strategies.

returns. Findings of this research indicated

This study is a direct analysis of the

that American firms provided superior results

performance of risk-allocated funds and SRI

due to a higher level of skill in stock selection

allocated funds. Their findings indicate that

and market timing. This study, using a four

there is a significant contribution to risk-

factor Carhart regression model found that

adjusted performance when SRI funds are

both N. American and European SRI funds

utilized. The article does caution, however,

outperformed their market benchmarks (Ang,

that SRI contributes very little to the alpha

Gregoriou, & Lean, 2014). This provides

derived in the study. Consistent with other

another perspective and concludes with a

literature this study finds that there is positive

recommendation that Middle Eastern &

impact on performance when SRI funds are

North African (MENA) funds should be

employed.

analyzed for similar results.

construction of factors in this article employ

Belghitar, Clark, and Deshmukh layout

the

The

Fama-French

methodology

three

for

factor

the

model

research that is fairly similar to the intent of

neglecting the Carhart model that accounts

this article. The key differentiator is that

for momentum. This study does point out the

Belghitar et al perform this review in the

(as others do) that SRI investments are more

context of Marginal Conditional Stochastic

costly which diminishes their attractiveness

Dominance (MCSD). There is a summation

(Bertrand & Lapointe, 2015).

of their findings that bears representation in

Chan and Walter provide another niche

its entirety; The loss in financial utility is

perspective on SRI fund performance in

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SOCIALLY RESPONSIBLE INVESTING IMPACTS ON PORTFOLIO PERFORMANCE ON A RISK-ADJUSTED BASIS

comparing the success of initial public

further in the next section. The total net assets

offerings (IPO) and seasoned equity offerings

(TNA), also sourced from Wharton WRDS,

(SEO) relative to the market. This article

are pulled for each of the monthly returns for

finds that their sample of SRI IPO/SEO

all funds. This data will be used to analyze

stocks outperformed their control. Chan and

the impact of fund size on performance.

Walter conclude that a Green premium

exists over their sample period (Chan &

METHODOLOGY

Walter, 2014).

There are 3 separate models used in this

research to determine the level of abnormal

DATA

returns realized on SRI funds; Jensens alpha

Our sample consists of monthly returns for 9

(or CAPM) model, the Fama-French (three

SRI funds listed on NASDAQ for a period

factor model), and the Fama-French-Carhart

ranging

(four factor model). The CAPM or Jensens

from

January

2009

through

December 2013. This resulted in 540

alpha is as follows;

monthly returns, 60 for each fund, over the

Ri Rf = i + i(RM Rf)

five year period. This data was obtained

through the Wharton Research Data System

Where Ri is the funds end of month return,

(Wharton , 2015) using monthly returns on

Rf is the end of month risk-free rate of return,

the selected mutual funds and net asset value.

and RM is the end of month market return.

Our sample includes 60 months of returns to

The Fama-French (three factor) model is as

ensure a substantial sample for our regression.

follows;

The US Treasury Bill (T-bill) represents a

risk-free asset in our data set and monthly
returns for the subject period were obtained

Ri Rf = i + i(RM Rf) +
siSMB + hiHML

from WRDS (Wharton , 2015). Small-minus-

Where SMB is small-minus-big and HML is

big (SMB) factors, High-minus-low factors,

high-minus-low. The SMB factor aims to

and Up-minus-down (UMD) were all sourced

explain the use of the small fund effect in

from the Wharton WRDS. These provide

the

balance and explanatory factors for our

(Investopedia, 2015). Likewise, HML (high-

regression analysis and will be explained

minus-low) aims to explain to what extent the

performance

of the

overall

fund

5|Page

SOCIALLY RESPONSIBLE INVESTING IMPACTS ON PORTFOLIO PERFORMANCE ON A RISK-ADJUSTED BASIS

funds use of high book-to-market (value)

returns for each fund. Additionally, the three

compared

regression models would be run against the

performance

to

low

(growth)

(Investopedia,

impacts

2015).

The

equally weighted average returns for all 9

Fama-French-Carhart (four factor) model is

funds and again against the value weighted

as follows;

average of all 9 funds.

Ri Rf = i + i(RM Rf) +
siSMB + hiHML + uiUMD

Finally, descriptive statistics are gathered

for each fund return sample including mean,
standard

Where the addition here is UMD, or up-

error/deviation,

kurtosis,

and

skewness.

minus-down, as the momentum factor

mimicking the portfolios return. In each
model represents the abnormal return for
fund

. A positive alpha, where > 0,

indicates that the fund outperforms its

market benchmark. Conversely, a negative
alpha, or < 0, indicates an underperforming
fund compared to the market benchmark.
This equation simply says that an asset's
return above cash can be described as a linear
combination of exposures to market, value,
size, and momentum factors, plus an
unexplained alpha. The or beta coefficients
in front of each term show how sensitive the
asset is to each factor, holding all other
factors constant. (Lee, 2014)

RESULTS AND DISCUSSION

Table 1: CAPM/ Jensen's Alpha results
provides the results of our Jensens Alpha or
CAPM model regression for

each of the

funds as well as the value and equal weighted

average for all the funds. The equal weighted
value beta in Table 1 indicates a sensitivity of
1 in the market return for the funds selected
which implies they are relatively comparable,
on a risk basis, to the market benchmark, but
slightly higher at 1.1 when the weighted
value is considered. This indicates that the
larger funds, by asset value, are imposing
more risk on the overall sample. Five of the
nine

sample

funds

have

statistically

The fundamental methodology of this

significant positive alpha, as do the value and

research article was to take each of the nine

weighted averages, but the sensitivity of the

funds (Table 4: Sample Fund Descriptions)

alpha is low relative to risk. We find that the

and perform the three model regressions

described above against the 60 monthly
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SOCIALLY RESPONSIBLE INVESTING IMPACTS ON PORTFOLIO PERFORMANCE ON A RISK-ADJUSTED BASIS

Table 1: CAPM/ Jensen's Alpha results

Equal
Value
CAAPX
Weighted Weighted

CCVAX

DSEFX

GCEQX

NBSRX

PARNX

PXWGX

APPLX

9.8E-04

1.3E-04

7.9E-04

2.5E-03

9.4E-01 1.2E+00

9.8E-01

7.4E-01

92%

72%

Intercept ()

5.1E-05

2.0E-05

-7.6E04

-1.7E04

-1.4E03

Rm (1)

1.0E+00

1.1E+00 1.4E+00 1.1E+00 1.0E+00

9.7E-01

9.6E-01

97%

97%

98%

DSEFX

DTCAX

GCEQX NBSRX

PARNX PXWGX APPLX

0.0011 0.0016 0.0011 0.0012

0.0013 0.0006

0.0003

0.0006 0.0022

0.9685 0.9005 1.0909

0.0658 0.2534 0.4134
0.0191 0.0761 0.0463

0.9973 0.7950
0.2733 0.1707
0.2694 0.0624

97%

95%

1.3E-04
89%

-1.8E03

DTCAX

85%

93%

86%

Table 2:Fama-French three factor model

Equal
Weighted
Intercept ()

Value
Weighted

-0.0002

0.0002

Rm (1)

0.9860

1.0529

SMB (2)

0.2395

0.3451

HML (3)

|*|-0.0404

|*|0.0518

98%

97%

R2

CAAPX

CCVAX

1.1693 0.8855 1.0299 1.0369

0.5917 0.8644 0.0123 0.0168
**0.1983 0.0428 0.0630 0.1995
92%

94%

97%

98%

98%

94%

88%

95%

data model is representative of the sample

application of the small firm effect on the

population. Our R2 is high in nearly all

overall fund sample. The Dreyfus Premier

regressions, as seen in Table 1, which implies

Third Century Fund; Class A Shares

that our model represents the data in an

(DTCAX) and Green Century Equity Fund

effective manner. We can conclude using this

(GCEQX) are holdings are predominantly

model that the aggregate of funds delivered

large cap securities. The sensitivity at which

returns only marginally superior for its level

the

of systematic risk.

organizations is consistent with their stated

In Table 2:Fama-French three factor model

we consider value factors in the regression to
determine impact of SRI screening practices.
Our results provide a statistically significant
sample across all firms and the weighted and
equal

value

average

models

for

the

model

indicates

for

these

two

management style in that they do not

specifically target small cap funds but rather
aim for long term growth with SRI screens
regardless of market capitalization. Our value
weighted alpha in this model of 0.0002 and
beta of 1.05 align similarly with our findings
7|Page

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SOCIALLY RESPONSIBLE INVESTING IMPACTS ON PORTFOLIO PERFORMANCE ON A RISK-ADJUSTED BASIS

in the CAPM Model. The added factor here,

different from zero at any meaningful level.

SMB, is positive and highly significant at

Here, we can conclude that the fund delivered

0.35 indicating the value weighted average

superior returns for its level of exposure to

sample is biased towards small cap holdings.

beta, size, and book-to-market risk factors.

This is not true across all funds in the study,

We find material evidence that its returns

however, we further note that in each instance

exceeded those required by the Fama-French

of the Fama-French regression model where

model of returns. We can only make this

the SMB factor is negative the alpha is also

conclusion on the aggregate of funds value

negative

not

weighted for average. Five of nine funds in

causation although further research here may

the sample and the equal weighted average

benefit.) The HML factor is statistically

results for the Fama-French model indicate a

significant only at 37% level within the

negative alpha when its level of exposure to

Fama-French model for the value weighted

beta, size, and book to market value factors

average sample. This is not significantly

are introduced.

(implying

correlation

Table 3: Fama-Frnech-Carhart four factor model

Equal
Value
CAAPX
Weighted Weighted
Intercept ()

DTCAX

GCEQX NBSRX

PARNX PXWGX APPLX

0.0004 0.0016 0.0013 0.0014

0.0014 0.0005

0.0002

0.0007 0.0014

1.1227 0.8893 1.0114 1.0234

0.3499
0.5995 0.8637 0.0154 0.0145
|*|0.0076 |*|0.100 0.0509 0.1020 0.2278
-0.1089
-0.1797 0.0148 0.0715 0.0520

0.9641 0.8946
0.0651 0.2544
0.0097 0.0884
0.0171 0.0226

1.0525

0.9887 0.7382
0.2747 0.1612
0.2875 0.1820
0.0332 0.2191

-0.0005

-0.0001

Rm (1)

0.9650

1.0247

SMB (2)

0.2430

HML (3)

*-0.0846

UMD (4)

-0.0809

R2

99%

98%

CCVAX

94%

DSEFX

94%

97%

98%

98%

94%

0.4199
0.0346
0.1483
90%

96%

In Table 3: Fama-Frnech-Carhart four

all nine funds. The addition of the momentum

factor model results show the additional

factor on these samples provide a key detail

impact

nine

in understanding the overall benefit of SRI

independent funds, the equal average of all

funds. The alpha in each four factor

nine funds, and the value weighted average of

regression noted in Table 3 is not significant

of

momentum

on

our

8|Page

81%

SOCIALLY RESPONSIBLE INVESTING IMPACTS ON PORTFOLIO PERFORMANCE ON A RISK-ADJUSTED BASIS

at the 10% level. This indicates that

selection terms where Ang et al identified

performances for all funds in this study align

specific screens for which they included SRI

with the portfolios exposure to the four

identified funds compared to our results

factors used to explain returns. This implies

where SRI funds were left to self-identify.

that the performance of each of these funds

can be explained by exposure to our factors
and that there is not significant abnormal
return on our SRI funds; individually, equally
averaged, nor value weighted average.

CONCLUSION
This

article

presents

the

results of

We find that SRI fund returns do not exceed

market returns on a risk adjusted basis.
Further research should focus on the
performance of SIR funds under third party
regulated screening.

REFERENCES

regression model analysis building from a

Abdelsalam, O., Fethi, M. G., Matallin, J. C.,

two factor CAPM to a four factor Fama-

& Tortosa-Ausina, E. (2014). On the

French-Carhart model using 60 monthly

comparative performance of socially

returns from self-identifying SRI funds. As

responsible and Islamic mutual funds.

others have indicated ( (Abdelsalam, Fethi,

Journal of Economic Behavior &

Matallin, & Tortosa-Ausina, 2014), (Ang,

Organization, 108-128.

Gregoriou, & Lean, 2014), (Belghitar, Clark,

& Dechmukh, 2014), (Chan & Walter, 2014),
and (Chan & Walter, 2014)) it seems that
factors other than those required as screens
for Socially Responsible Investment (SRI)
funds are the best indicator of fund
performance. Other studies (Ang, Gregoriou,

Ang, W. R., Gregoriou, G. N., & Lean, H. H.

(2014).

Market-timing

skills

of

socially responsible investment fund

managers: The case of North America
versus Europe. Journal of Asset
Management, 366-377.

positive

Belghitar, Y., Clark, E., & Dechmukh, M.

performance relationship with SRI fund

(2014). Does it pay to be ethical?

screening factors. Our results provide that

Evidence from the FTSE4Good.

SRI funds do not outperform the market. This

Journal of Banking & Finance, 54-62.

&

Lean,

2014)

indicate

difference can be explained by the data

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SOCIALLY RESPONSIBLE INVESTING IMPACTS ON PORTFOLIO PERFORMANCE ON A RISK-ADJUSTED BASIS

Bertrand, P., & Lapointe, V. (2015). How

Housel, M. (2015, July 8). The Problem With

performance of risk-based strategies

Socially

is modified by socially responsible

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investment universe? International

http://www.fool.com/investing/gener

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190.

socially-responsible-investing.aspx

Blanchard, S. (2015, July 30). Socially

Responsible

Investing.

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investing

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http://www.investopedia.com/terms/

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story/money/2015/07/30/sociallyresponsible-investing-goesmainstream/30845497/

Investopedia. (2015). Small Minus Big - SMB.

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/small_minus_big.asp

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University

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https://blackboard.neu.edu/webapps/
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nt_id=_10430101_1
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performance of environmentallyfriendly firms and their initial public
offers and seasoned equity offers.
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h/high_minus_low.asp

Lee, S. (2014, February 26). Understanding

Factor

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p://ibd.morningstar.com/archive/arch
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%20brf295
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Wharton . (2015, August 9). CRSP Mutual

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Funds- Monthly Returns and Net

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Asset

from

Values.

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Finance:

Wharton University of Pennsylvania -

http://finance.yahoo.com/q/pr?s=DT

WRDS:

CAX+Profile

https://wrds-

web.wharton.upenn.edu/wrds/ds/crsp

Yahoo! GCEQX. (2015, August 7). Green

/mfund_q/monthly/index.cfm

Century Equity (GCEQX) Profile.

Yahoo. (2015, July 30). Ariel Appreciation

Retrieved from Yahoo! Finance:

Investor (CAAPX) Profile. Retrieved

https://finance.yahoo.com/q/pr?s=G

from

CEQX+Profile

Yahoo!

Finance:

http://finance.yahoo.com/q/pr?s=CA
APX+Profile
Yahoo!

APPLX.

Appleseed

Yahoo!

NBSRX.

(2015,

August

7).

Neuberger Berman Socially Rspns

(2015,

August

(APPLX)

7).

Profile.

Inv (NBSRX) Profile. Retrieved from

Yahoo!

Finance:

Retrieved from Yahoo! Finance:

https://finance.yahoo.com/q/pr?s=N

https://finance.yahoo.com/q/pr?s=AP

BSRX+Profile

PLX+Profile
Yahoo! CCVAX. (2015, August 7). Calvert

Yahoo! PARNX. (2015, August 7). Parnasus

(PARNX) Profile . Retrieved from

Small Cap A (CCVAX) Profile.

Yahoo!

Retrieved from Yahoo! Finance:

https://finance.yahoo.com/q/pr?s=PA

http://finance.yahoo.com/q/pr?s=CC

RNX+Profile

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World

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EFX+Profile

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11 | P a g e

Figure 1: Vanguard FTSE SIF Poor Screening Examples (Blanchard, 2015)

12 | P a g e

SOCIALLY RESPONSIBLE INVESTING IMPACTS ON PORTFOLIO PERFORMANCE ON A RISK-ADJUSTED BASIS

Table 4: Sample Fund Descriptions

CRSP
Fund
Fund Name
Identifier

5488 Ariel Appreciation Fund

7054 Calvert Small Cap Fund; Class A Shares

9201

Domini Social Equity Fund; Investor

Shares

NASDAQ
Description
Ticker

CAAPX

CCVAX

DSEFX

The investment seeks long-term capital appreciation. The

fund invests primarily in equity securities of U.S.
companies and the fund generally will have a weighted
average market capitalization between $2 billion and $15
billion. It seeks to invest in quality companies in
industries in which the Adviser has expertise including the
financial services and consumer discretionary sectors.
The fund only buys when Ariel believes that these
companies are selling at excellent values. It does not
invest in companies whose primary source of revenue is
derived from the production or sale of tobacco products
or the manufacture of handguns. (Yahoo, 2015)

The investment seeks long-term capital appreciation

through investment primarily in small-cap common
stocks of U.S. companies. The fund offers
opportunities for long-term capital appreciation with
a moderate degree of risk through a mix of smaller
company stocks that meet the fund&#39;s investment
criteria, including financial, sustainability and social
responsibility factors. It normally invests at least 80%
of its net assets, including borrowings for investment
purposes, in common stocks of small companies. The
fund may also invest up to 25% of its net assets in
foreign securities. (Yahoo! CCVAX, 2015)

The investment seeks to provide its shareholders with

long-term total return. The fund primarily invests in
the equity securities of mid- and large-capitalization
U.S. companies. Under normal circumstances, at
least 80% of the fund&#39;s assets will be invested
in equity securities and related investments with
similar economic characteristics. It may also invest in
companies organized or traded outside the U.S. (or in
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SOCIALLY RESPONSIBLE INVESTING IMPACTS ON PORTFOLIO PERFORMANCE ON A RISK-ADJUSTED BASIS

CRSP
Fund
Fund Name
Identifier

NASDAQ
Description
Ticker

equivalent shares such as ADRs). Domini evaluates

the fund&#39;s potential investments against its
social and environmental standards based on the
businesses in which they engage, as well as on the
quality of their relations with key stakeholders.
(Yahoo! DSEFX, 2015)

9593

Dreyfus Premier Third Century Fund;

Class A Shares

14029 Green Century Equity Fund

22031

Neuberger Berman Socially Responsive

Fund; Investor Class Shares

DTCAX

The investment seeks to provide capital growth, with

current income as a secondary goal. The fund invests
at least 80% of its net assets in the common stocks of
companies that, in the opinion of the fund&#39;s
management, meet traditional investment standards
and conduct their business in a manner that
contributes to the enhancement of the quality of life
in America. Its investment strategy combines a
disciplined investment process that consists of
computer modeling techniques, fundamental analysis
and risk management with a social investment
process. (Yahoo! DTCAX, 2015)

GCEQX

The investment seeks to achieve long-term total

return which matches the performance of an index
comprised of the stocks of companies selected based
on environmental, social and governance criteria. The
fund invests substantially all of its assets in the
common stocks which make up the MSCI KLD 400
Social ex Fossil Fuels Index, a custom index
calculated by MSCI, Inc. The KLD400 ex Fossil
Fuels Index is comprised of the common stocks of
the approximately 400 companies in the MSCI KLD
400 Social Index (the KLD400 Index), minus the
stocks of the companies that explore for, extract,
process or refine coal, oil or gas included in the
KLD400 Index. (Yahoo! GCEQX, 2015)

NBSRX

The investment seeks long-term growth of capital by

investing primarily in securities of companies that
meet the fund&#39;s financial criteria and social
policy. The fund invests primarily in common stocks
of mid- to large-capitalization companies that meet
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SOCIALLY RESPONSIBLE INVESTING IMPACTS ON PORTFOLIO PERFORMANCE ON A RISK-ADJUSTED BASIS

CRSP
Fund
Fund Name
Identifier

NASDAQ
Description
Ticker

the fund&#39;s social policy. It seeks to reduce risk

by investing across many different industries. The
Portfolio Managers employ a research driven and
valuation sensitive approach to stock selection, with a
long term perspective. Although the fund invests
primarily in domestic stocks, it may also invest in
stocks of foreign companies. (Yahoo! NBSRX, 2015)

23824 Parnassus Fund

23844

Pax World Growth Fund; Individual

Investor Class

PARNX

The investment seeks capital appreciation. The fund

invests in undervalued stocks. It follows a
"contrarian" strategy of seeking to invest in stocks
that are currently out of favor with the financial
community and are therefore deeply undervalued.
The fund&#39;s investment adviser expects that if
these undervalued companies are financially strong
and have good prospects for the future, they will
come back into favor and increase in market value. It
is a "multi-cap" fund in that it can invest in
companies of any size, from larger, well-established
companies to smaller companies with market
capitalizations below $1 billion. (Yahoo! PARNX,
2015)

PXWGX

The investment seeks long-term growth of capital.

Under normal market conditions, the Growth Fund
invests primarily in equity securities (such as
common stocks, preferred stocks and securities
convertible into common or preferred stocks) of
companies that the Growth Fund&#39;s portfolio
manager believes will have above-average growth
prospects. The fund may invest up to 45% of its
assets in securities of non-U.S. issuers, including
emerging market investments and American
Depositary Receipts ("ADRs"), but may invest no
more than 25% of its assets in securities of non-U.S.
issuers other than ADRs. (Yahoo! PXWGX, 2015)

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SOCIALLY RESPONSIBLE INVESTING IMPACTS ON PORTFOLIO PERFORMANCE ON A RISK-ADJUSTED BASIS

CRSP
Fund
Fund Name
Identifier

30784 Appleseed Fund

NASDAQ
Description
Ticker

APPLX

The investment seeks long-term capital appreciation.

The fund invests primarily in a portfolio of equity
securities of companies that are undervalued in the
opinion of the fund&#39;s adviser, Pekin Singer
Strauss Asset Management, Inc. (the "Adviser").
When selecting common stocks for investment by the
fund, the Adviser focuses on company valuation,
looking for significant discrepancies between its own
appraisal of the intrinsic value of a prospective
investment and the market price of the investment.
The fund is non-diversified. (Yahoo! APPLX, 2015)

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