IDEAS home Printed from
   My bibliography  Save this article

Assessing SRI fund performance research: Best practices in empirical analysis


  • Andrea Chegut
  • Hans Schenk
  • Bert Scholtens


We review the socially responsible investment (SRI) mutual fund performance literature to provide best practices in SRI performance attribution analysis. Based on meta-ethnography and content analysis, five themes in this literature require specific attention: data quality, social responsibility verification, survivorship bias, benchmarking, and sensitivity and robustness checks. For each of these themes, we develop best practices. Specifically, for sound SRI fund performance analysis, it is important that research pays attention to dividend yields and fees, incorporates independent and third party social responsibility verification, corrects for survivorship bias and tests multiple benchmarks, as well as analyzing the impact of fund composition, management influences and SRI strategies through sensitivity and robustness analysis. These best practices aim to enhance the robustness of SRI financial performance analysis. Copyright (C) 2011 John Wiley & Sons, Ltd and ERP Environment.

Suggested Citation

  • Andrea Chegut & Hans Schenk & Bert Scholtens, 2011. "Assessing SRI fund performance research: Best practices in empirical analysis," Sustainable Development, John Wiley & Sons, Ltd., vol. 19(2), pages 77-94, March/Apr.
  • Handle: RePEc:wly:sustdv:v:19:y:2011:i:2:p:77-94

    Download full text from publisher

    File URL:
    Download Restriction: no


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Slapikaite Indre & Tamosiuniene Rima, 2013. "Socially Responsible Mutual Funds – A Profitable Way of Investing," Scientific Annals of Economics and Business, Sciendo, vol. 60(1), pages 202-214, July.
    2. Juan Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2016. "Does socially responsible mutual fund performance vary over the business cycle? New insights on the role of ethical strategy focus and green industry idiosyncratic risk," Working Papers 2016/03, Economics Department, Universitat Jaume I, Castellón (Spain).
    3. Gunnar Gutsche & Bernhard Zwergel, 2016. "Information barriers and SRI market participation – Can sustainability and transparency labels help?," MAGKS Papers on Economics 201624, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    4. repec:pal:assmgt:v:17:y:2016:i:6:d:10.1057_s41260-016-0022-7 is not listed on IDEAS
    5. repec:spr:annopr:v:267:y:2018:i:1:d:10.1007_s10479-018-2921-0 is not listed on IDEAS
    6. Luis Ferruz & Fernando Muñoz & María Vargas, 2012. "Managerial Abilities: Evidence from Religious Mutual Fund Managers," Journal of Business Ethics, Springer, vol. 105(4), pages 503-517, February.
    7. Anett Wins & Bernhard Zwergel, 2016. "Comparing those who do, might and will not invest in sustainable funds: a survey among German retail fund investors," Business Research, Springer;German Academic Association for Business Research, vol. 9(1), pages 51-99, April.
    8. Crifo, Patricia & Forget, Vanina D. & Teyssier, Sabrina, 2015. "The price of environmental, social and governance practice disclosure: An experiment with professional private equity investors," Journal of Corporate Finance, Elsevier, vol. 30(C), pages 168-194.
    9. Sebastian Rathner, 2013. "The Influence of Primary Study Characteristics on the Performance Differential Between Socially Responsible and Conventional Investment Funds: A Meta-Analysis," Journal of Business Ethics, Springer, vol. 118(2), pages 349-363, December.
    10. Wei Rong Ang, 2015. "Sustainable investment in Korea does not catch a cold when the United States sneezes," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 5(1-2), pages 16-26, April.
    11. repec:ehu:cuader:24426 is not listed on IDEAS
    12. Jeremy Galbreath, 2013. "ESG in Focus: The Australian Evidence," Journal of Business Ethics, Springer, vol. 118(3), pages 529-541, December.
    13. repec:bla:eufman:v:20:y:2014:i:3:p:494-520 is not listed on IDEAS
    14. Janusz Brzeszczyński & Graham McIntosh, 2014. "Performance of Portfolios Composed of British SRI Stocks," Journal of Business Ethics, Springer, vol. 120(3), pages 335-362, March.
    15. repec:kap:jbuset:v:153:y:2018:i:2:d:10.1007_s10551-016-3356-7 is not listed on IDEAS
    16. Rathner, Sebastian, 2012. "The Performance of Socially Responsible Investment Funds: A Meta-Analysis," Working Papers in Economics 2012-3, University of Salzburg.
    17. Lean, Hooi Hooi & Ang, Wei Rong & Smyth, Russell, 2015. "Performance and performance persistence of socially responsible investment funds in Europe and North America," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 254-266.
    18. Maike van Dijk-de Groot & Andre H.J. Nijhof, 2015. "Socially Responsible Investment Funds: a review of research priorities and strategic options," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 5(3), pages 178-204, July.
    19. Florian Mueller, 2014. "Portfolio Performance Implications of Environmental, Social and Governance based Asset Selection," Working Papers 2014-02, Faculty of Economic Sciences, University of Warsaw.
    20. Muñoz, Fernando, 2016. "Cash flow timing skills of socially responsible mutual fund investors," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 110-124.
    21. Thomas Walker & Kerstin Lopatta & Thomas Kaspereit, 2014. "Corporate sustainability in asset pricing models and mutual funds performance measurement," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(4), pages 363-407, November.
    22. Fernando Muñoz & Maria Vargas & Isabel Marco, 2014. "Environmental Mutual Funds: Financial Performance and Managerial Abilities," Journal of Business Ethics, Springer, vol. 124(4), pages 551-569, November.
    23. Rathner, Sebastian, 2013. "The Relative Performance of Socially Responsible Investment Funds. New Evidence from Austria," Working Papers in Economics 2013-1, University of Salzburg.


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:sustdv:v:19:y:2011:i:2:p:77-94. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley Content Delivery). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.