A Comparative Analysis on Investment Performance between SRI Funds and General Stock Funds
Authors:   Asia-Europe Perspective Association, Park Jung-Yoon , Sohn Seung-Hoon 
Published: June 2018

The objective of this paper is to analyze investment performance comparatively between SRI Funds and General Stock funds in Korea.
To find the difference of investment performance, using Sharpe Ratio, Jensen's ratio, Treynor ratio, t-test was conducted to confirmed the excess return index. In addition, differences in investment performance are generally known to affect fund performance of the fund age, fund size, risk, and the number of sales companies, the information ratio even when controlling for the variables appear significant differences were conducted t-test. Specifically, based on actual data of domestic stock funds, comparative analysis between SRI funds and General Stock funds overall , SRI funds and matching is to conduct empirical analysis.
The research results can be summed up as follows:First, General Stock Funds outperformed the SRI funds during the study period through t-test. To find a significant difference between Performance of SRI funds and General Stock Funds, t-test was performed using Sharpe ratio, Jensen's ratio, Treynor ratio. SRI funds and the General Stock Funds is divided into two kinds of t-tests were conducted. One of SRI funds and General Stock Funds targeting the entire sample test was conducted, and one of the SRI funds and 1:1 matching General Stock Funds was conducted t-test. In this case, 1:1 matching General Stock funds sample were same type of management companies with SRI funds and a similar sized sample were selected. T-test results, negative for t-values were statistically significant in the two test. This is likely to be significantly higher the performance of General Stock Funds than SRI funds.
Second, General Stock Funds outperformed statistically significantly even after controlling variables such as age of fund, size of fund, risk of fund, numbers of sales firms, and information ratio of fund which are expected to affect investment performance. Regression analysis results, even after controlling the fund's investment performance is expected to affect the fund's age, fund size, risk, numbers of sales, and information ratios, SRI Fund dummy variable statistical as negative (-), respectively. Analysis period, the General Stock Funds performance was found to be higher than the SRI fund.
Third, IR variable across the whole period indicated a significant positive value which implies that active investment activities of fund managers and fund management capabilities might influence the rate of return.
These results are contrary to what we expect since there are many evidences for outperformance of SRI. It seems that fund managers tend to have more aggressive investment activities in General Stock Funds than SRI funds because General Stock Funds included lots of large firms' stocks.
IR variable in all three periods appeared to be significant positive t-values suggesting active investment activities of fund managers and operational capacity to affect significantly the performance. And the average comparison of the result in IR variable of SRI funds and General Stock Funds, the IR levels of General Stock Funds were significantly higher suggesting fund managers the General Stock Funds than SRI to more aggressive investment activities and management skills. This is the nature of the Funds in the case of SRI funds, including a lot of big blue-chip stock or major firm because it tends to neglect. Therefore, In the case of share price drop period, SRI funds had a lower rate of return than the General Stock Funds that was sensitively investment activities and operational capability. In addition, after controlling the general variable, the difference between returns of SRI funds and General Stock Funds appears to verify that the added value of the dummy variables were significantly negative. In other words,, it is show that the General Stock Funds return is higher than SRI funds.