Assessing SRI fund performance research: Best practices in empirical analysis

A.M. Chegut, H. Schenk, B. Scholtens

Research output: Contribution to journalArticleAcademicpeer-review

Abstract

We review the socially responsible investment (SRI) mutual fund performance literature to provide best practices in SRI performance attribution analysis. Based on meta-ethnography and content analysis, five themes in this literature require specific attention: data quality, social responsibility verification, survivorship bias, benchmarking, and sensitivity and robustness checks. For each of these themes, we develop best practices. Specifically, for sound SRI fund performance analysis, it is important that research pays attention to dividend yields and fees, incorporates independent and third party social responsibility verification, corrects for survivorship bias and tests multiple benchmarks, as well as analyzing the impact of fund composition, management influences and SRI strategies through sensitivity and robustness analysis. These best practices aim to enhance the robustness of SRI financial performance analysis. 

Original languageEnglish
Pages (from-to)77-94
Number of pages18
JournalSustainable Development
Volume19
Issue number2
DOIs
Publication statusPublished - 1 Jan 2011

Keywords

  • mutual funds
  • socially responsible investing
  • performance evaluation
  • best practices
  • SOCIALLY RESPONSIBLE INVESTMENT
  • FINANCIAL PERFORMANCE
  • SURVIVORSHIP BIAS
  • MUTUAL FUNDS
  • BUSINESS
  • MANAGERS
  • ETHICS
  • TRUSTS

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