IS SOCIALLY RESPONSIBLE INVESTMENT (SRI) A VALUE-CREATING OR VALUEDESTROYING INVESTMENT?

This research is a comparative study between the financial performance (FP) of Socially Responsible Investments (SRI) and conventional investments (CI). The use of the Sortino and Sharpe ratios is relevant since they make it possible to measure the performance of funds while considering the associated risks. The objective of this work is to know if socially responsible investment creates financial performance or destroys it. We classified the shares listed on the Casablanca Stock Exchange into 4 portfolios according to the criteria of size, sector and social responsibility, then we compared the corresponding ratios of each portfolio. The results show that conventional investments perform better financially than socially responsible investments. This is due to the selection bias imposed by social investments, which limits portfolio diversification. This under performance is also due to the additional financial burden they impose to meet social requirements. In conclusion, we can say that the financial performance of socially responsible investments is poorer and presents more risk than those of high-turnover companies and low-turnover companies.