Fundos de investimentos socialmente responsáveis e fundos convencionais: existem diferenças de desempenho?

Abstract

Objective: This aim of this study is to compare the performance of investment funds in Sustainabil-ity / governance (Socially responsible -SRI) and Ibovespa active, in order to infer if, on average, the performance of SRI funds is better than conventional funds.Background: The potential problem with SRI funds, pointed out by Lean, Ang and Smyth (2015), is that they contradict the modern portfolio theory. An SRI portfolio is less diversified due to the fil-tering process in portfolio selection and formation and thus may be considered riskier.It is intended to note whether investors with environmental and social concerns who choose to invest in SRI funds are gaining an advantage over performance by their choice.Method:The performance of the fund was measured by the Jensen alpha calculated for each fund sample by regressing the fund's excess return against the risk factors of the Carhart (1997) model and the risk / return performance was measured by the Sharpe’s Ratio.Results:The results show that, on average, socially responsible investment funds and conventional investment funds perform similarly. However, for the period 2009:2012, SRI funds showed a better risk / return ratio.Contributions: This topic is still little explored in the Brazilian market. It’s intended to contribute to the literature on socially responsible investment funds. In addition, it’s expected to bring contribu-tions, through the incorporation of the characteristic variables of the funds, which influence its per-formance, in the estimations.