Abstract
The investment performance of socially responsible mutual funds is examined. Analysis of monthly returns over the period January 1986 - December 1995 shows that all funds were not cointegrated with their respective peer funds. This is indicative of the impact of social screens on the temporal behavior of SRFs; screening causes the time series behavior of a SRF to diverge from that of its peer group. Performance evaluation using the Sharpe measure shows that only 4 SRFs outperformed their peer funds on a risk-adjusted basis, however, Jobson-Korkie (1981) significance tests show that the risk-adjusted performance between SRFs and their peer funds are not statistically different. The results provide traditional indication that social responsibility characteristics are not priced in the market.