The Financial Performance of SRI Funds Between 2002 and 2009

Abstract

Is there a difference in the financial returns between a portfolio of funds based on the concept of Socially Responsible Investment (SRI) and a conventional index between 2002 and 2009 and is there a relation between financial and sustainability ratings based on the past performance of funds and the return of SRI funds? In this paper an analysis of the monthly returns between December 2001 and June 2009 of 151 SRI funds is presented. We analyzed differences and similarities between SRI funds and the MSCI World Index using statistical tests and constructed a regression model explaining the relation between the financial and sustainability rating of SRI funds and their financial performance. We found that the SRI fund portfolio reached a significantly higher return than MSCI World Index. Furthermore with respect to the financial performance of SRI funds, the weight of the financial rating of the funds was positive while the weight of the sustainability rating was negative. Thus an in-depth financial analysis of SRI funds helps to identify those funds performing financially well.

Keywords: socially responsible investment, funds, financial performance