This work makes a significant contribution to the academic theme of financial performance of socially responsible mutual funds (SRMF) by studying the effects of social screenings size over the ethical mutual funds risk-adjusted performance. It also examines the effect of the amount of background...

This article establishes index suitability on a risk-adjusted basis for socially responsible investment (SRI) mutual funds that specify small-to-mid- or large-capitalization indexes as their performance benchmarks. Using a four-factor model, the authors calculate factor loadings for SRI mutual...