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Socially Responsible Indexes

Meir Statman
The Journal of Portfolio Management Spring 2006, 32 (3) 100-109; DOI: https://doi.org/10.3905/jpm.2006.628411
Meir Statman
The Glenn Klimek professor of finance in the Leavey School of Business at Santa Clara University in Santa Clara, CA.
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Abstract

Socially responsible investment (SRI) indexes vary in composition and social responsibility scores, but have higher mean social scores than the S&P 500 index. Socially responsible indexes differ in the emphasis they place on social characteristics. The DS 400 index is the strongest among all indexes on the environment, for example, while the Calvert Index is the strongest on corporate governance. The DS 400 index returned more than the S&P 500 index over May 1990-April 2004, but not in every subperiod. 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.

TOPICS: ESG investing, mutual funds/passive investing/indexing, equity portfolio management

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The Journal of Portfolio Management
Vol. 32, Issue 3
Spring 2006
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Socially Responsible Indexes
Meir Statman
The Journal of Portfolio Management Apr 2006, 32 (3) 100-109; DOI: 10.3905/jpm.2006.628411

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Socially Responsible Indexes
Meir Statman
The Journal of Portfolio Management Apr 2006, 32 (3) 100-109; DOI: 10.3905/jpm.2006.628411
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