Socially Responsible Investments: A Performance Analysis

Karl Jakob Maximilian Fritz

Student thesis: Master thesis

Abstract

In this thesis I aim to investigate the relationship between socially responsible investing and financial performance. The performance of socially responsible mutual funds is analyzed and compared to conventional mutual funds in the period of January 2015 to September 2019. The first part of the performance analysis includes descriptive statistics as well as risk-adjusted performance metrics commonly used in financial analysis. It is concluded that socially responsible mutual funds have outperformed their conventional counterparts in the measured period, both in terms of absolute returns as well as risk-adjusted returns. By performing multifactor regression analyses, the goal is to identify if this outperformance can be attributed to any known factors. The majority of the results are inconclusive and not of any statistical significance. It seems however, that this extraordinary performance in some cases can be attributed to the socially responsible mutual funds overexposure to small-cap companies, which have proven to perform great in the last couple of years. I find no evidence indicating that investors would sacrifice returns by investing responsibly. It rather seems like investors would sacrifice returns by not investing responsible, at least in the given period of time analyzed in this thesis.

EducationsMSc in Applied Economics and Finance, (Graduate Programme) Final Thesis
LanguageEnglish
Publication date2020
Number of pages83