@article {Abramson73, author = {Lorne Abramson and Dan Chung}, title = {Socially Responsible Investing}, volume = {9}, number = {3}, pages = {73--80}, year = {2000}, doi = {10.3905/joi.2000.319381}, publisher = {Institutional Investor Journals Umbrella}, abstract = {The author tests two value strategies on the Domini Social Index (DSI) as Compustat return data. He finds that a rebalancing strategy of ranking DSI stocks by valuation each quarter yields an 18.9\% average annualized return versus an average of 16.7\% for three value benchmarks for the time period fourth quarter 1990 through first quarter 1999. The DSI Shaper ratio was 0.99 versus a benchmark average of 0.93. A buy-and-hold strategy has good nominal returns (17.5\%), but a below-benchmark Sharpe ratio of 0.85.}, issn = {1068-0896}, URL = {https://joi.pm-research.com/content/9/3/73}, eprint = {https://joi.pm-research.com/content/9/3/73.full.pdf}, journal = {The Journal of Investing} }