Performance of Socially Responsible Investment Strategies in Funds During Financial Crises

Abstract

This paper investigates the performance of socially responsible investment (SRI) funds in northern and continental Europe. The study compares SRI funds to non-SRI funds in different market states by analyzing monthly returns of equally weighted fund portfolios using the Carhart four-factor model and the Fama French five factor model. The results show that SRI funds do not significantly differ in results from characteristics-matched conventional funds in non-crisis periods but appear to offer the investor some protection in crisis periods relative to conventional funds. We conclude that further research is needed and that these should investigate the effects of different screening criteria.