Socially Enhanced Indexing: Applying Enhanced Indexing Techniques to Socially Responsible Investment

Posted: 22 Mar 2006 Last revised: 28 Nov 2018

See all articles by William W. Jennings

William W. Jennings

U.S. Air Force Academy - Department of Management

Gregory W. Martin

University of North Carolina (UNC) at Charlotte - Department of Accounting

Date Written: January 1, 2006

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.

Keywords: socially responsible investing, SRI, enhanced indexing

JEL Classification: G11, G12, G14, G29, C61

Suggested Citation

Jennings, William W. and Martin, Gregory W., Socially Enhanced Indexing: Applying Enhanced Indexing Techniques to Socially Responsible Investment (January 1, 2006). Available at SSRN: https://ssrn.com/abstract=890650 or http://dx.doi.org/10.2139/ssrn.890650

William W. Jennings (Contact Author)

U.S. Air Force Academy - Department of Management ( email )

2354 Fairchild Drive
Suite 6H-94
Academy, CO 80840-2944
United States

Gregory W. Martin

University of North Carolina (UNC) at Charlotte - Department of Accounting ( email )

9201 University City Blvd
Charlotte, NC 28223
United States

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