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Cleaning a Passive Index

Moshe Arye Milevsky, Andrew Aziz, Allen Goss, Jane (Thomson) Comeault and David Wheeler
The Journal of Portfolio Management Spring 2006, 32 (3) 110-118; DOI: https://doi.org/10.3905/jpm.2006.628412
Moshe Arye Milevsky
An associate professor at the Schulich School of Business of York University and executive director of the IFID Centre in Toronto, Canada. .
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  • For correspondence: milevsky@yorku.ca
Andrew Aziz
vice president of Algorithmics Incorporated in Toronto.
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  • For correspondence: andrew@algorithmics.com
Allen Goss
Doctoral candidate at the Schulich School of Business of York University.
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  • For correspondence: agoss@sympatico.ca
Jane (Thomson) Comeault
Research fellow at York University's Institute for Research and Innovation in Sustainability.
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  • For correspondence: janethom@yorku.ca
David Wheeler
The Erivan K. Haub chair in Business and Sustainability at the Schulich School of Business.
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  • For correspondence: dwheeler@schulich.yorku.ca
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Abstract

The debate regarding the broader role of corporations in society has landed squarely in the lap of pension fund and endowment managers; many are being pressured by stakeholders to divest portfolios of companies that lack so-called social responsibility. While the debate goes on, optimization can be used to locate portfolio substitutes for companies that fail a corporate social responsibility screen. The penalty for eliminating a small group of undesirable stocks—whether justified or not—can be economically insignificant when the remaining investments are properly realigned.

TOPICS: ESG investing, foundations & endowments, pension funds

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The Journal of Portfolio Management
Vol. 32, Issue 3
Spring 2006
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Cleaning a Passive Index
Moshe Arye Milevsky, Andrew Aziz, Allen Goss, Jane (Thomson) Comeault, David Wheeler
The Journal of Portfolio Management Apr 2006, 32 (3) 110-118; DOI: 10.3905/jpm.2006.628412

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Cleaning a Passive Index
Moshe Arye Milevsky, Andrew Aziz, Allen Goss, Jane (Thomson) Comeault, David Wheeler
The Journal of Portfolio Management Apr 2006, 32 (3) 110-118; DOI: 10.3905/jpm.2006.628412
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