Measuring the Risk Impact of Social Screening

9 Pages Posted: 22 Sep 2012

Date Written: August 1, 2012

Abstract

Since the nineteenth century investors have incorporated social or ethical values into their portfolios, an approach described over time with such labels as SRI (socially responsible investing), ESG (environmental, social, governance), or MRI (mission-related investing). Among investment professionals a contentious debate rages as to whether SRI is a well-intentioned effort doomed to suffer a performance penalty or a viable alternative with the potential for alpha due to screening based on the assumption that such screening will be rewarded in the market. The performance debate has been covered in other research; this article focuses on the measurement of risk introduced by SRI screening for public equities. For simplicity, the term SRI is used as the term for screened investing in general, with ESG used as a term for the specific environmental, social, and governance issues screened.

Keywords: ESG, SRI, MRI, Environmental Social Governance, Mission-Related Investing, Socially Responsible Investing, Risk Measurement

JEL Classification: G10, G11

Suggested Citation

Geddes, Patrick, Measuring the Risk Impact of Social Screening (August 1, 2012). Journal of Investment Consulting, Vol. 13, No. 1, 45-53, 2012. Available at SSRN: https://ssrn.com/abstract=2144484

Patrick Geddes (Contact Author)

Aperio Group ( email )

3 Harbor Drive
Suite 315
Sausalito, CA 94965
United States

HOME PAGE: http://www.aperiogroup.com

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