%0 Journal Article %A Lorne Abramson %A Dan Chung %T Socially Responsible Investing %B Viable for Value Investors? %D 2000 %R 10.3905/joi.2000.319381 %J The Journal of Investing %P 73-80 %V 9 %N 3 %X The author tests two value strategies on the Domini Social Index (DSI) as Compustat return data. He finds that a rebalancing strategy of ranking DSI stocks by valuation each quarter yields an 18.9% average annualized return versus an average of 16.7% for three value benchmarks for the time period fourth quarter 1990 through first quarter 1999. The DSI Shaper ratio was 0.99 versus a benchmark average of 0.93. A buy-and-hold strategy has good nominal returns (17.5%), but a below-benchmark Sharpe ratio of 0.85. %U https://joi.pm-research.com/content/iijinvest/9/3/73.full.pdf