The Price of Ethics:   Evaluating the Performance of Ethical and Non-ethical Unit Trust in the UK

Yoon, Solhee (2011) The Price of Ethics:   Evaluating the Performance of Ethical and Non-ethical Unit Trust in the UK. [Dissertation (University of Nottingham only)] (Unpublished)

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The market for hose socially responsible investment (SRI) fund has been growing in popularity over the past 10 years globally, especially in the UK. Rise in demand of SRI funds in the financial market enabled for investors to invest with regard to their social concerns and which has also benefited from the growing public concern about a lack of responsibility in a large variety of ethical issues. Nevertheless, it was commonly believed that the return on the ethical investment is lower than return on conventional investment. Previous studies have attempted to find if there is return difference between ethical and non-ethical fund with various methodologies but there are not many to fulfill the growing interest on this topic by ethical investors.

Thus, in this study, we review and extend previous researches on performance of ethical investment. The paper studies the performance of UK ethical investment fund over the period of January 1995 to December 2005 for 10 years. The sample includes 10 ethical unit trusts and matched 10 traditional unit trust counterparts, and provides analysis on risk-adjusted return to see if SRI fund outperform or underperform the regular fund. Moreover, we compare risk-adjusted returns of both non-ethical and ethical fund sample to benchmark that was set as FTSE all shares index.Finally, Cross sectional analysis would be conducted to see if size, age or ethical factors affects returns of the sample unit trust. The result indicates insignificant performance difference between our ethical and non-ethical samples. However, both fund have underperformed the benchmark.

Key words: SRI funds, fund performance, traditional risk adjusted measurement, matched pair approach, cross sectional analysis

Item Type: Dissertation (University of Nottingham only)
Depositing User: EP, Services
Date Deposited: 25 Apr 2012 14:54
Last Modified: 14 Jan 2018 21:33

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