Risk-adjusted returns of socially responsible mutual funds II: How do they stack up in Australia?

Scott J. Niblock, Bruce A. Costa, Keith Jakob, Elisabeth Sinnewe

Research output: Contribution to journalReview articlepeer-review

3 Scopus citations


This article investigates the risk-adjusted performance of Australian socially responsible investment (SRI) mutual funds, their self-specified benchmark indexes, and an alternative SRI index from 2009 to 2019. Adopting a multifactor risk-adjustment model, the article examines whether Australian SRI funds are specifying appropriate benchmarks in terms of their environmental, social, and governance (ESG) investment strategies and risk profiles. The results indicate that Australian SRI fund managers neither outperform nor underperform their self-specified benchmark and alternative SRI indexes. In addition, Australian SRI funds are highly statistically related to their broad-based capitalization benchmark and alternative SRI indexes. While the results show that popular capitalization indexes are suitable proxies for Australian SRI fund performance benchmarking- and that managers seem to be specifying indexes that mirror the risk-adjusted return properties of their funds' ESG investment strategies-it remains unclear as to why SRI funds are not selecting benchmarks that are ESG focused.

Original languageEnglish
Pages (from-to)80-97
Number of pages18
JournalJournal of Investing
Issue number2
StatePublished - 2020


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