Purpose – Proposes a new covariance matrix robust estimator able to capture the correct orientation of the data and the large unconditional variance caused by occasional high volatility periods. Design/methodology/approach – Derives easy‐to‐compute estimates for the center and covariance...

Purpose – The purpose of this paper is to examine the risk-adjusted performance of Brazilian SRI stock funds. Design/methodology/approach – Risk-adjusted performance of 11 Brazilian socially responsible investment (SRI) funds relative to local index funds and matched pairs of funds. Findings...

Purpose –The purpose of this paper is to examine the risk-adjusted performance of Brazilian SRI stock funds. Design/methodology/approach - Risk-adjusted performance of 11 Brazilian socially responsible investment (SRI) funds relative to local index funds and matched pairs of funds. Findings...