RT Journal Article
SR Electronic
T1 Socially Responsible Investing
JF The Journal of Investing
FD Institutional Investor Journals
SP 73
OP 80
DO 10.3905/joi.2000.319381
VO 9
IS 3
A1 Lorne Abramson
A1 Dan Chung
YR 2000
UL https://pm-research.com/content/9/3/73.abstract
AB 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.