ABSTRACT: While socially responsible investing (SRI) is large and growing, current SRI offerings have shortcomings - including style biases, excessive expenses, tracking error and an incomplete menu of screens. We propose using factor-based models in SRI-screened investment universes to create "socially enhanced indexing" or SRI enhanced indexing. Using commercial software and readily available portfolio screens, socially enhanced indexing offers mass customization of values-based investment programs on the cheap.
This paper is co-authored with Greg Martin, formerly of the U.S. Air Force Academy and now at the University of Indiana. The paper is available on SSRN as of 22 March 2006.
The paper was updated on SSRN as of 11 May 2006.
The paper was published in the Summer 2007 issue of the Journal of Investing.
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