TY - JOUR
T1 - Risk-adjusted returns of socially responsible mutual funds II
T2 - How do they stack up in Australia?
AU - Niblock, Scott J.
AU - Costa, Bruce A.
AU - Jakob, Keith
AU - Sinnewe, Elisabeth
N1 - Publisher Copyright:
Copyright © 2019 Pageant Media Ltd.
PY - 2020
Y1 - 2020
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=85088538676&partnerID=8YFLogxK
U2 - 10.3905/joi.2019.1.113
DO - 10.3905/joi.2019.1.113
M3 - Review article
AN - SCOPUS:85088538676
SN - 1068-0896
VL - 29
SP - 80
EP - 97
JO - Journal of Investing
JF - Journal of Investing
IS - 2
ER -