Table IV Risk-adjusted performance...

Table IV

Risk-adjusted performance measures of SRI funds and their benchmarks

Panel A: SRI funds (n=152)
	Sharpe ratio	Treynor ratio (%)	Jensen’s α (%)	Information ratio	Sortino ratio	M² (%)
Mean	0.145	0.607	−0.007	−0.059	0.295	0.606
Minimum	−0.066	−0.554	−1.230	−0.392	−0.074	−0.370
Maximum	0.492	1.824	0.660	0.210	1.009	1.660
First quartile	0.094	0.359	−0.120	−0.143	0.159	0.403
Median	0.121	0.581	−0.020	−0.065	0.227	0.625
Third quartile	0.176	0.745	0.090	0.015	0.328	0.800
Panel B: performance of benchmark indices
	Annual geometric mean return (%)	Annualized SD (%)	Sharpe ratio	Sortino ratio
S&P 500	9.81	16.67	0.153	0.300
Russell 2000	9.64	21.98	0.127	0.243
Russell 1000	10.02	16.90	0.155	0.301
Barclays US AggBond	6.13	3.76	0.279	0.985
MSCI World	2.44	22.36	0.061	0.088
Panel C: performance by fund categories
	Annual geometric return (%)	Annualized SD (%)	Sharpe ratio	Treynor ratio (%)	Jensen’s α (%)	Information ratio
Domestic Equity	8.37	18.24	0.151	0.755	0.024	−0.047
Global	3.51	20.56	0.084	0.488	−0.061	−0.025
Balanced	5.69	11.40	0.121	0.486	−0.081	−0.184
Fixed Income	4.84	4.37	0.224	0.327	0.003	−0.086
Institutional	6.34	15.92	0.152	0.570	0.000	−0.030

Note: This table reports risk-adjusted performance measures computed for 152 SRI funds and benchmark indices during the sample period of January 1995–May 2015

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Panel A: SRI funds (n=152)
	Sharpe ratio	Treynor ratio (%)	Jensen’s α (%)	Information ratio	Sortino ratio	M² (%)
Mean	0.145	0.607	−0.007	−0.059	0.295	0.606
Minimum	−0.066	−0.554	−1.230	−0.392	−0.074	−0.370
Maximum	0.492	1.824	0.660	0.210	1.009	1.660
First quartile	0.094	0.359	−0.120	−0.143	0.159	0.403
Median	0.121	0.581	−0.020	−0.065	0.227	0.625
Third quartile	0.176	0.745	0.090	0.015	0.328	0.800
Panel B: performance of benchmark indices
	Annual geometric mean return (%)	Annualized SD (%)	Sharpe ratio	Sortino ratio
S&P 500	9.81	16.67	0.153	0.300
Russell 2000	9.64	21.98	0.127	0.243
Russell 1000	10.02	16.90	0.155	0.301
Barclays US AggBond	6.13	3.76	0.279	0.985
MSCI World	2.44	22.36	0.061	0.088
Panel C: performance by fund categories
	Annual geometric return (%)	Annualized SD (%)	Sharpe ratio	Treynor ratio (%)	Jensen’s α (%)	Information ratio
Domestic Equity	8.37	18.24	0.151	0.755	0.024	−0.047
Global	3.51	20.56	0.084	0.488	−0.061	−0.025
Balanced	5.69	11.40	0.121	0.486	−0.081	−0.184
Fixed Income	4.84	4.37	0.224	0.327	0.003	−0.086
Institutional	6.34	15.92	0.152	0.570	0.000	−0.030

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