TY - JOUR T1 - Socially Responsible Investing JF - The Journal of Investing SP - 73 LP - 80 DO - 10.3905/joi.2000.319381 VL - 9 IS - 3 AU - Lorne Abramson AU - Dan Chung Y1 - 2000/08/31 UR - https://pm-research.com/content/9/3/73.abstract N2 - 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. ER -