search query: @indexterm Risk analysis / total: 590
reference: 3 / 590
| Author: | Humphrey, J.E. Lee, D.D. |
| Title: | Australian socially responsible funds: performance, risk and screening intensity |
| Journal: | Journal of Business Ethics
2011 : SEP, VOL. 102:4, p. 519-535 |
| Index terms: | investments risk analysis social responsibility rate of return funds mathematical models financial performance |
| Language: | eng |
| Abstract: | We inspect the performance and risk of Australian Socially Responsible Investment (SRI) equity funds and do not find significant difference between SRI's and conventional funds' returns. Extending prior literature, we examine the effect of the amount of positive, negative and total screens funds impose on performance and risk. Little evidence is found of positive or negative screening impacting total return, however we found weak evidence of funds with more screens overall providing better risk-adjusted performance. Positive screening significantly diminishes funds' risk. On the other hand, negative screening significantly increases risk and weakens funds' abilities to form diversified portfolios. |
SCIMA