Business and Society

Return differences not caused by ‘SRI effect’

January 30, 2008 | 1 min read

Equity portfolios whose selection of securities is subject to social responsibility screening represent different sets of economic opportunities from, and hence generally produce different returns from, those of more broadly based market indices. Analysis with a fundamental factor model shows that the DSI’s industry exposures explain much of its relative performance, and has a non-significant residual, suggesting the absence of a social factor. Analyzing the data with an APT optimization model, the authors find that the risk profile of the DSI can be matched prospectively to that of the S&P 500. A backtest of the risk-matched social portfolio indicated returns of 1.49% per month for the period under review, similar to the S&P’s 1.55% per month.


This article was previously published on, January 30, 2008.

This article may be reproduced according to our terms of use with attribution (and link, if online) to To be cited as: “Return differences not caused by ‘SRI effect’”, Dan DiBartolomeo, Lloyd Kurtz,, January 30, 2008.

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Research Paper


Lloyd Kurtz
Lecturer of social investing, Haas School of Business

Dan diBartolomeo
President and founder, Northfield Information Services

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