Business and Society

Composition and performance SRI indexes

October 17, 2010 | 1 min read

In his study, Meir Statman (Santa Clara University) explores the characteristics that define socially responsible companies by comparing the contents of the S&P 500 Index of conventional companies to those of four SRI indexes: the Domini 400 Social Index, the Calvert Social Index, the Citizens Index, and the U.S. portion of the Dow Jones Sustainability Index. The Professor of Finance describes internal differences in terms of activities and/or social characteristics these indexes include or exclude (corporate governance, community, diversity, employee relations, environment, human rights, product, alcohol, firearms, gambling, military, nuclear and tobacco). “For example, the DS 400 Index is the strongest among all indexes on the environment while the Calvert Index is strongest on corporate governance.”

The study finds that “the returns of the DS 400 Index were higher than those of the S&P 500 Index during the overall May 1990 – April 2004 but not in every sub-period. In general, SRI indexes did better than the S&P 500 Index during the boom of the late 1990s but lagged it during the bust of the early 2000s. The correlations between the returns of SRI indexes and those of the S&P 500 Index are high, ranging from 0.939 of the DJ Sustainability Index during January 1995 – April 2004 to the 0.985 of the DS 400 Index during September 1999 – April 2004.”

However, the tracking errors of portfolios of socially responsible stocks relative to conventional benchmarks are substantial. “For example, the expected difference between 12-month returns of the DS 400 Index and the S&P 500 Index, based on correlation and standard deviations during May 1990 – April 2004, was 2.84% and the realized mean difference was 2.49%.”

This study received an Honorable Mention in the 2005 Moskowitz Prize competition (awarded by the Center for Responsible Business at the Haas School of Business, in cooperation with the Social Investment Forum, the Moskowitz Prize promotes the concept, practice, and growth of socially responsible investing).


This article was previously published on, October 17, 2010.

This article may be reproduced according to our terms of use with attribution (and link, if online) to To be cited as: “Composition and performance SRI indexes”, Meir Statman,, October 17, 2010.

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Research Paper


Meir Statman
Glenn Klimek Professor of Finance, Santa Clara University

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