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...

Purpose: The purpose of this paper is to examine whether superior risk-adjusted returns can be generated using monthly covered call option strategies in large capitalized Australian equity portfolios and across varying market volatility conditions. Design/methodology/approach: The authors...

Mutual fund performance studies that examine returns over several years typically show that fund managers significantly underperform on a risk-adjusted basis. Using a four-factor risk-adjustment model, the authors of this article observe similar results during the bull market of the 1990s....