Bibliographic record
Abstract
This study analyzes the performance of socially responsible (SRI) mutual funds and indices in Canada and the US to ascertain whether imposing ethical screens on a portfolio affects returns.The majority of US SRI funds earn higher returns than the market.However, when risk is considered, only one third of the funds earn a higher Sharpe ratio, and few produce positive alphas against the capital asset pricing model or Fama-French three-factor model.Canadian funds generate similar results on riskadjusted measures, though fewer earn unadjusted returns higher than the market.Additionally, an equal-weighted index of SRI fund returns was created in each country to evaluate fund performance against the market and SRI indices.Both US and Canadian fund indices earn less than the market based on unadjusted and risk-adjusted returns.In contrast, the US DSI index and Canadian JSI index produce positive alphas against the market index.Since both SRI indices earn higher returns on both an absolute and riskadjusted basis, an 'ethical indexing' strategy may be profitable for concerned investors.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.002 | 0.018 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.003 | 0.003 |
| Science and technology studies | 0.001 | 0.001 |
| Scholarly communication | 0.003 | 0.001 |
| Open science | 0.000 | 0.001 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.001 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".