PT - JOURNAL ARTICLE AU - Lorne Abramson AU - Dan Chung TI - Socially Responsible Investing AID - 10.3905/joi.2000.319381 DP - 2000 Aug 31 TA - The Journal of Investing PG - 73--80 VI - 9 IP - 3 4099 - https://pm-research.com/content/9/3/73.short 4100 - https://pm-research.com/content/9/3/73.full AB - 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.