PT - JOURNAL ARTICLE AU - Greg M. Richey TI - Sin Is In: <em>An Alternative to Socially Responsible Investing?</em> AID - 10.3905/joi.2016.25.2.136 DP - 2016 May 31 TA - The Journal of Investing PG - 136--143 VI - 25 IP - 2 4099 - https://pm-research.com/content/25/2/136.short 4100 - https://pm-research.com/content/25/2/136.full AB - This article examines the return characteristics of a portfolio of U.S. “vice stocks”—firms that manufacture and sell socially irresponsible products such as alcohol, tobacco, gaming services, and national defense. The author constructs a portfolio comprising the daily returns of 41 vice stocks from May 1995–May 2015 and computes the riskadjusted returns by using the Carhart four-factor model and Sortino ratio. Full-period results show a positive and significant alpha for the entire portfolio and positive, yet insignificant, alphas for each vice industry. Down market results show a negative, yet insignificant, alpha for the entire portfolio. Bull market results show a significant alpha for the entire portfolio, as well for the alcohol and defenseindustry securities.TOPICS: Security analysis and valuation, factor-based models, equity portfolio management