Ethical investment performance evaluation

Haughton, David Lindsay (1989) Ethical investment performance evaluation The University of Queensland:

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Author Haughton, David Lindsay
Title of report Ethical investment performance evaluation
Formatted title

Publication date 1989
Place of publication The University of Queensland
Total pages 121
Language eng
Subjects 1503 Business and Management
Formatted abstract
The application of portfolio performance measures to ethical mutual funds has elucidated the impact of socially responsible criteria on portfolio diversification and performance.

The data used in this study consists of 116 fortnightly returns for six ethical mutual funds in the United States over the period 10 January 1985 to 8 June 1989.

The ethical mutual fund performances were evaluated using both non-risk-adjusted and risk-adjusted performance measures. Tests were also conducted to identify and separate the contribution of stock selectivity and market timing to portfolio performance.

The use of socially responsible criteria did not appear to narrow the available investment universe to the detriment of portfolio diversification. Funds with poor diversification were probably the result of management discretion rather than an outcome of a restricted investment universe.

The results of risk-adjusted performance were similar to the findings of previous researchers. The mutual funds did not exhibit consistent superior performance. The mutual fund managers were unable to forecast the market or gain abnormal returns through stock selectivity. On average, the mutual funds were unable to earn positive abnormal returns.

Comparison of ethical mutual funds with the average mutual fund is required before the impact of socially responsible criteria on portfolio diversification and performance can be fully resolved.

Document type: Research Report
Collection: MBA reports
Citation counts: Google Scholar Search Google Scholar
Created: Mon, 13 Dec 2010, 13:16:30 EST by Ning Jing on behalf of The University of Queensland Library