RT Journal Article
SR Electronic
T1 Socially Enhanced Indexing
JF The Journal of Investing
FD Institutional Investor Journals
SP 18
OP 31
DO 10.3905/joi.2007.686409
VO 16
IS 2
A1 William W. Jennings
A1 Gregory W. Martin
YR 2007
UL https://pm-research.com/content/16/2/18.abstract
AB While socially responsible investing (SRI) is large and growing, current SRI offerings have shortcomings—including style biases, excessive expenses, tracking error and an incomplete menu of screens. We propose using factor-based models in SRI-screened investment universes to create “socially enhanced indexing” or SRI enhanced indexing. Using commercial software and readily available portfolio screens, socially enhanced indexing offers mass customization of values-based investment programs on the cheap.TOPICS: ESG investing, factors, risk premia, mutual funds/passive investing/indexing