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Risk-Adjusted Returns of Socially Responsible Mutual Funds II: How Do They Stack Up in Australia?

Scott J. Niblock, Bruce A. Costa, Keith Jakob and Elisabeth Sinnewe
The Journal of Investing ESG Special Issue 2020, 29 (2) 80-97; DOI: https://doi.org/10.3905/joi.2019.1.113
Scott J. Niblock
is a lecturer of finance in the School of Business and Tourism at Southern Cross University in Gold Coast, Queensland, Australia
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Bruce A. Costa
is a professor of finance in the College of Business at the University of Montana in Missoula, MT
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Keith Jakob
is the Byrnes professor of finance in the College of Business at the University of Montana in Missoula, MT
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Elisabeth Sinnewe
is a lecturer of accounting in the QUT Business School at the Queensland University of Technology in Brisbane, Queensland, Australia
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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.

TOPICS: ESG investing, analysis of individual factors/risk premia, performance measurement

Key Findings

  • • Australian SRI fund managers neither outperform nor underperform their self-specified benchmark and alternative SRI indexes.

  • • Popular capitalization indexes are viable proxies for Australian SRI fund performance benchmarking, reflecting the risk–return properties of the funds’ ESG investment strategies.

  • • It remains unclear why SRI funds are not selecting benchmarks that are ESG focused.

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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
The Journal of Investing Jan 2020, 29 (2) 80-97; DOI: 10.3905/joi.2019.1.113

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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
The Journal of Investing Jan 2020, 29 (2) 80-97; DOI: 10.3905/joi.2019.1.113
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