The Return-to-Risk Performance of Socially
Responsible Investing According to Catholic Values

Abstract

Socially responsible investing (SRI) has been of growing interest to investors and institutions. A central issue in the debate over the link between corporate social and financial performance is whether an investor may use SRI without paying a penalty in investment performance. Social screens, including those used by religious institutions, are a primary mechanism for constructing a socially responsible portfolio. After exhibiting comparable performance to the broad indexes in the 1990s, SRI has not been as competitive in the 2000s. In this article, we look at SRI performance in the 2000s using Catholic values and attempt to find the source of SRI under-performance in the 2000s. We conclude that SRI has to include more than positive and negative screening of stocks in order to be competitive with unscreened portfolios.

TOPICS: ESG investing, fundamental equity analysis, in portfolio management