Comparative performance of socially responsible and conventional portfolios in South Africa

Show simple item record Bondera, Shingirirai 2014-07-29T12:07:55Z 2014-07-29T12:07:55Z 2014-07-29
dc.description.abstract There is a widespread view amongst private investors and public investment corporations that socially responsible investing leads to substandard returns relative to Conventional investing. Conventional portfolios are portfolios with sin stocks or lowly ranked stocks in terms of the Environmental, Social and Governance (ESG) factors whilst Socially responsible Investments (SRI) are portfolios with stocks regarded as socially desirable with high ESG rankings. We constructed two portfolios using the JSE stocks and the Bloomberg rankings in accordance with the ESG rankings guidelines. As an additional analysis, we also assessed the performances of the JSE socially responsible index, JSE TOP 40 and the FTSE JSE ALL SHARE. Using different performance measures such as the CAPM, Fama French, Carhart 4 factor model, Sharpe ratio, and Treynor ratio; we found interesting evidence contrary to the beliefs of many investors. No statistically significant difference in performance is found between our self-constructed portfolios, and the different indexes such as JSE SRI, JSE TOP 40 and the FTSE JSE indexes. We have separated beliefs from reality/ facts in this paper that socially conscious investors can perform well in South Africa. en_ZA
dc.language.iso en en_ZA
dc.subject Social responsibility
dc.subject Investments
dc.subject South Africa
dc.subject Johannesburg Stock Exchange
dc.subject Performance
dc.title Comparative performance of socially responsible and conventional portfolios in South Africa en_ZA
dc.type Thesis en_ZA

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