| Summary: | 社會責任型投資策略：績效與社會責任之研究 === The growth of Responsible Investment (RI) concept has triggered considerable debates on Performance vs. Philanthropy, both academically and professionally, within the investment world. More and more institutional investors are adopting the United Nations’ Principle for Responsible Investment into their investment process. This study investigates the potential performance difference between Responsible Investment strategies and the broad market returns in United States, Europe, Asia Pacific, and the Global market. Two religious RI strategies, Catholic value index and Shari’ah index, are included in the U.S. market performance analysis. Based on the findings from this study, RI indexes have higher returns than the counterpart market benchmarks in general; however, the out-performance is not statistically significant to be conclusive. The findings also reveal higher beta and volatility for some RI indexes which suggest that RI strategies may be more risky than broad market. Both Sharpe ratio and Information ratio suggest that RI is a better choice than passive broad market investment, with Europe being the only exception; however, the excess returns are so small that they are virtually zero. Overall, the oldest forms of RI, Shari’ah RI strategy, has yielded eye-catching results and holds high promise to be considered statistically significant with longer data set period. The results from this study concluded that RI yield a very competitive return against broad market benchmarks, and suggests Taiwan Asset Management firms to offer additional RI products. In addition, this study confirms that the findings from previous empirical analyses are still valid after September 11th terrorist attack and the 2008 financial crisis.
Key words: Responsible Investment, Social Responsible Investment, ESG Investment, CSR Investment, Ethical Investment, Religious Investment, Islamic Finance, Shari’ah Investment, Index, Environmental Alpha, and Social Alpha.
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