Journal article
Risk-Adjusted Returns of Socially Responsible Mutual Funds II: How Do They Stack Up in Australia?
The Journal of Investing, Vol.29(2), pp.80-97
2020
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Abstract
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.
Details
- Title
- Risk-Adjusted Returns of Socially Responsible Mutual Funds II: How Do They Stack Up in Australia?
- Creators
- Scott J Niblock (Author) - Southern Cross UniversityBruce A Costa (Author) - University of MontanaKeith Jakob (Author) - University of MontanaElisabeth Sinnewe (Author) - Queensland University of Technology
- Publication Details
- The Journal of Investing, Vol.29(2), pp.80-97
- Identifiers
- 991012831299402368
- Academic Unit
- School of Business and Tourism; Management; Faculty of Business, Law and Arts
- Language
- English
- Resource Type
- Journal article