Green investing: is it different from socially responsible investing?

Mallett, James E. ; Michelson, Stuart

I. INTRODUCTION

One of the growing trends in investing is green or sustainable investing. Many new mutual funds and electronic traded funds have been created to take advantage of investment opportunities in this area. Green investing appeals to investors that desire to invest in areas that reflect their values on the environment, climate change, and a sustainable economy. Additionally, there exist sector green electronic-trade funds (ETFs) that investors may view as an opportunity to invest in alternative energy or in sustaining the economy such as water infrastructure ETFs. In this paper, we look at the similarities and differences between green investing and the more conventional socially responsible investing (SRI). Our goal is to look at the issues that will be raised by investors in terms of performance differences between green and SRI investing.

II. BACKGROUND

Exactly what is green or sustainable investing? Joseph F. Keefe (2007) defined sustainable investing as "... the full integration of environmental, social, and governance (ESG) factors into financial analysis and decision-making." For the purposes of this research, however, it is better to let investment funds that define themselves as green funds, be green funds. We do not include in our discussion specialty areas of sustainable investing such as water infrastructure ETFs. Investors looking for green funds will find that they have a myriad of different investment portfolios just as investors in SRI funds have many investment opportunities.

Many articles have investigated socially responsible investing. As socially responsible investing developed, the general view was that additional constraints on an investor's portfolio would negatively impact the risk/return trade-off with respect to an optimal portfolio (Rudd, 1981 and Grossman and Sharp, 1986). As empirical research was conducted, a general consensus developed in the literature is that there is no significant difference between the performance of conventional equity money managers and socially responsible funds (Bello, 2005; Goldreyer, Ahmed, and Diltz, 1999). Statman (2000) compared the Domini Social Index (DSI) and the S&P index during the 1990-98 periods. His research showed that the DSI index performed better during this period; but that socially responsible funds and conventional funds performed worse than the S&P 500 index.

Early in their development socially responsible mutual funds were concerned with being "environmentally sound, those that are engaged in alternative energy sources..." (Hamilton, Jo, and Statman, 1993). As evidence of global warming has increased and it is likely to be caused by human activity; there has been a large increase in the number of green funds (See Appendix 1). Stocks included in green funds may be excluded from socially responsible funds because of other management practices or products that they may have. Keefe (2007, 2008) has published two articles on sustainable investing and socially responsible investing. Keefe's thesis is that green investing is better defined and is not as restrictive as socially responsible investing.

According to the Social Investment Forum, SRI has grown very quickly to the level of over $2.71 trillion in assets. This level of investment is SRI implies approximately eleven percent of funds are invested in SRI (2007 Report on Socially Responsible Investing Trends in the United States: Executive Summary and Schueth 2003). The investment in green funds is now growing rapidly as well. It would not be surprising in the near future to see more investors and institutions demanding that the companies be environmentally responsible. It is important, therefore, to research the differences between SRI, green investing, and general mutual funds to compare the performance characteristics on these investments.

III. NATURE OF GREEN INVESTING

It is not clear to what degree green investing overlaps SRI. If green investing is largely a subset of SRI, then green investors would be less diversified and therefore subject to more risk than in SRI. For example the Green Century Equity Fund indexes to Domini Social Index but is listed as a green fund. One of the screens for the Domini Social Index is that the companies are environmentally responsible. If green investing is more broadly defined to include companies that are environmentally conscious but do not meet other values criteria, then the equities included in green funds might constitute a larger universe of stocks. Additionally, investments in areas such as solar power and wind turbines may be green but be ran by management that does not meet other socially responsible criteria.

Green funds not only attract investors that are driven by their personal values in investing, but also by investors who believe that during particular time periods green investing is a sector that will produce a favorable return/risk tradeoff. While a person's values may be different with respect to industries like tobacco, alcohol, and military defense; green investing in general is more likely to be embraced and accepted. Investor's interest in green investing is likely to increase as global warming continues and as more concern is raised about sustainable growth.

The older green mutual funds have a very strong social-value component to their philosophy. New ETFs invest in sectors related to alternative energy areas like solar energy and wind power technologies, so they also can be classified as green funds. Sustainable investing could be broader if one would include water infrastructure funds. These sector ETFs have a much narrower universe of equities in which they invest. Investors need to combine them with other green funds if they seek a diversified portfolio to match their desire to invest in green-only companies.

Jennings and Martin (2007) found that socially responsible funds on average were 19% more expensive than a conventional fund. These authors proposed enhanced indexing techniques that would lower fund expenses. Sauer (1997) also found that measuring the Domini Social Index removes the compounding negative effects of active management fees on SRI performance.

While the literature appears to support under-performance of SRI funds compared to index funds, past research has not addressed the performance of green funds. Additionally, the results of SRI research appear to be mixed. Our study is intended to extend the previous research by examining both green funds and SRI funds over a more current time period. Our sample includes four mutual fund classification categories over a ten-year investment horizon.

A. Hypothesis

The main hypothesis to be tested is that funds with objectives of Socially Responsible Investing (SRI) and Green Funds (GF) don't have significantly different performance from mutual funds as a whole. This hypothesis will be tested for the years 1998 through 2008.

B. Data

The mutual fund data used in this study is from the July 2008 Morningstar Principia Pro Plus for Mutual Funds. This database contains historical information of over 20,000 mutual funds through December 31, 2007 year-end. Data and information are provided on investment objective, total return, income and capital gain distributions, annual expense ratios, fund size, load, and turnover.

This study groups the funds into four broad investment categories: Growth/Growth and Income (GGI), Small and Mid Cap (SMC), Balanced (BAL), and International (IS) categories. The final sample contains 74 funds in the categories described above. Since SRI funds and green funds are relatively new investment opportunities, sample sizes are small for funds with a ten-year return history (19982007). To increase our sample size we include two green funds that were established in 2000 and ten SRI funds that were established in 1999. We include six green funds, 43 SRI funds, and 25 index funds in our sample. In order to include a comparable index fund sample, we include Vanguard, Fidelity, and Dreyfus index funds that represent each of our four broad investment categories.

C. Methodology

Since most SRI and green funds are relatively new, we utilize a 10-year sample of funds. We examine one-year, three-year, five-year, and ten-year returns for each of the fund categories (Indexes, Green Funds, SRI Funds) and in total. We also examine subsample categories (GGI, SMC, BAL, and IS) for each of the fund categories. We utilize several return measures: annualized total return, return after-tax on distributions, and load adjusted returns.

The methodology employed to test the hypothesis of a difference in performance (returns) involves a comparison of the cross sectional mean returns of the SRI funds, green funds, and S&P 500 Index funds for the period 1998 through 2007 for each individual year and over the full ten-year period. Differences of mean statistics and the non-parametric Mann-Whitney test statistic are computed.

D. Results

Table 1 presents the summary statistics for the full sample and for each fund category.

As one scans this table, the return figures appear to be comparable, so the statistical analysis will determine significant differences. SRI funds have the highest turnover at 54.349% and the index funds are the largest funds. Both SRI funds and green funds have front-end loads and 12b-1 fees, whereas the index funds do not.

Table 2 presents summary mean returns (and values) for the major categories and subcategories of funds. International green funds have the highest 10-year annualized return (8.10%) and GGI green funds have the lowest at 2.915%. The international index funds have the highest 10-year after-tax return (7.406%) and 10-year load-adjusted return (7.720%). The GGI green funds have the lowest 10-year after-tax return (0.580%) and 10-year load-adjusted return (2.660%). GGI green funds have the highest turnover at 63% and international index funds have the lowest turnover at 6.571%. International SRI funds have the highest front-end load at 3.688% and SMC SRI funds have the highest 12b-1 fee at 0.275/%. The largest funds are the GGI index funds (47,559) and the smallest funds are the SMC green funds (53).

Table 3 presents the results of the difference of means tests on the three major fund categories (index funds, green funds, and SRI funds). The last three columns of the table show the P-values for the statistic. Notice that there are no significant differences between index funds and green funds for any of the return categories. There are also no significant differences between green funds and SRI funds for any of the return categories. Only index funds/SRI funds show a significant difference and there are only differences for the 5-year return period.

Table 4 presents the annual returns for each year of our 10-year test period for each of the three fund categories and in total. Table 5 presents the results of the difference of means test for the annual periods and fund categories. There are four years with significant differences between index funds and SRI funds, two years with significant differences for index and green funds, and only one year for green and SRI funds. Table 6 presents the mean annual return data for the three fund categories and each of the subcategories.

Table 7 presents the results of the non-parametric Mann-Whitney test for significant differences between our three fund categories for each of our return variables. The results of the Mann-Whitney test reinforce the results of the parametric tests. There no significant differences between green funds and SRI funds and there are only two years with significant differences between index funds and green funds. The Mann-Whitney test shows nine return periods (out of 21) with significant differences for index funds and SRI funds.

E. Discussion

The lack of performance differences between green funds and socially responsible funds relates to the short time period that green funds have been operating. Socially responsible funds look for green stocks to include and the older green funds include a socially responsible component. Since green investing now includes ETFs that include only the solar industry or only alternative energy, companies included in these funds may be green but may not be considered socially responsible. For example nuclear power could be alternative energy to fossil fuels, but never considered for a socially responsible fund. As time passes and more data becomes available, the differences in green funds and socially responsible funds may grow wider.

IV. CONCLUSION

This paper examines the performance of green funds, socially responsible funds, and index funds over time. For parametric and non-parametric tests, we find that there is no real performance difference between green funds and SRI funds nor are there differences between index funds and green funds. We do find marginal performance differences between index funds and SRI funds, with the index funds showing better performance. Of course the largest issue with this research is sample size. Since SRI funds and green funds are relatively new investment opportunities, sample sizes are small for funds with a ten-year return history. We include six green funds, 43 SRI funds, and 25 index funds in our sample.

Green funds and SRI funds not only attract investors that are driven by their personal values in investing, but also by investors who believe that green investing is a sector that will produce a favorable return/risk tradeoff. In this paper we show that investors in SRI funds are likely to lag the performance of index funds, while the tradeoff between green funds and index funds is not as clear. Additionally there appear to be no performance differences between green funds and SRI funds. Green funds have not been examined previously in the literature and these results provide useful information for individual investor mutual fund decisions.

APPENDIX 1
Green Funds and ETFs *

 Inception
Name Symbol Date Type

New Alternatives Fund NALFX 1982 MF
Green Century Balanced GCBLX 1992 Balanced
Green Century Equity GCEQX 1995 MF
Portfolio 21 PORTX 1999 MF
Calvert Large Cap CLGAX 2000 MF
Sprecta Green SPEGX 2000 MF
Powershares Wilderhill Clean Energy PBW 2004 ETF
 ETF
Guinness Atkinson Alternative Energy GAAEX 2006 MF
Alianz RCM Global Eco Trends Fund 2007 MF
PowerShares Cleantech Portfolio PZD 2006 ETF
Claymore/LGA Green ETF GRN 2006 ETF
Calvert Global Alternative Energy Fund CGAEX 2007 MF
NASDAQ Clean Edge U.S. Liquid Series QCLN 2007 ETF
 ETF
Market Vectors Global Energy ETF GEX 2007 ETF
Powershares Global Clean Energy PBD 2007 ETF
 Portfolio
ThinkGreen 2008 MF
Winslow Green Growth WGGFX 2001/2002 MF
Ardour Solar EnergySM Index SOLRX 2007 ETF
CLAYMORE/MAC GLOBAL TAN 2008 ETF

* Note only green funds (not ETFs) that have been in existence
since 2000 were included in the sample, leaving seven green
funds. This table is included to show the universe of green funds
and ETFs available.

REFERENCES

2007 Report on Socially Responsible Investing Trends in the United States: Executive Summary, Social Investment Forum, Washington, DC, 2007.

Bello, Z.Y., 2005, "Socially Responsible Investing and Portfolio Diversification," Journal of Financial Research, Vol 27, No 1, 41-57.

Goldreyer, E.F., A. Parvez, and J.D. Diltz, 1999, "The Performance of Socially Responsible Funds: Incorporating Sociopolitical Information in Portfolio Selection," Managerial Finance, Vol 25, No 1, 23-36.

Grossman, B.R. and W.F. Sharpe, 1986, "Financial Implications of South African Divestment," Financial Analysts Journal, 42, 15-29.

Hamilton, S., H. Jo, and M. Statman, 1993, "Doing Well While Doing Good? The Investment Performance of Socially Responsible Funds," Financial Analysts Journal, November-December, 62-66.

Jennings, F.W., and G.W. Martin, 2007, "Applying Socially Enhance Indexing Techniques to Socially Responsible Investing," Journal of Investing, Vol. 16, No 2, 18-31.

Keefe, J.F., 2007, "From Socially Responsible Investing to Sustainable Investing," GreenMoney Journal, 66, 2.

Keefe, J.F., 2008, "Sustainable Investing and Values," GreenMoney Journal, 67, 3.

Mutual Funds OnDisk, Operations Manual, Morningstar Mutual Funds, Chicago, IL, July 2008 Rudd, A., 1981, "Social Responsibility and Portfolio Performance," California Management Review, 23, 55-61.

Sauer, D.A., 1997, "The Impact of Socially-Responsibility Screens on Investment Performance: Evidence from the Domini 400 Social Index and Domini Mutual Fund," Review of Financial Economics, Vol. 6, No 2, 137-149.

Schueth, S., 2003, "Socially Responsible Investing in the United States," Journal of Business Ethics, 43, 189-194.

Statman, M, 2000, "Socially Responsible Mutual Funds," Financial Analysts Journal, 56, 30-38.

James E. Mallett (a) and Stuart Michelson (b)

(a) Chair, Department of Finance, School of Business Administration, Campus Box 8398

Stetson University, DeLand, FL 32723

jmallett@stetson.edu

(b) Dean, School of Business Administration, Campus Box 8398,

Stetson University, DeLand, FL 32723

smichels@stetson.edu

Table 1A
Summary statistics

 Tot Ret Tot Ret Tot Ret Tot Ret
 12 Mo Annlzd 3 Annlzd 5 Annlzd
 Yr Yr 10 Yr

Indexes N 25 25 25 23
 Mean -11.244 7.656 11.998 5.604
 Median -11.810 6.110 11.530 5.640
 Std. Deviation 4.838 5.244 5.038 3.096
 Minimum -20.420 1.280 6.790 2.130
 Maximum 4.030 25.840 29.240 15.680

Green N 6 6 6 4
Funds Mean -9.112 8.270 10.192 4.778
 Median -9.425 7.820 10.140 5.025
 Std. Deviation 3.902 6.711 5.030 2.932
 Minimum -15.010 1.760 4.720 0.960
 Maximum -4.670 18.090 17.840 8.100

SRI N 43 43 43 34
Funds Mean -8.559 5.552 8.191 4.356
 Median -8.760 4.990 7.510 3.815
 Std. Deviation 6.092 4.113 3.589 2.719
 Minimum -21.850 -2.990 2.770 -0.450
 Maximum 1.210 18.090 17.840 11.340

Total N 74 74 74 61
Sample Mean -9.511 6.483 9.639 4.854
 Median -10.535 5.010 8.505 4.660
 Std. Deviation 5.627 4.806 4.545 2.892
 Minimum -21.850 -2.990 2.770 -0.450
 Maximum 4.030 25.840 29.240 15.680

 Ret After Ret After Ret After
 Tax on Tax on Tax on
 Distrib Distrib Distrib
 1 Yr 5 Yr 10 Yr

Indexes N 25 24 22
 Mean -11.742 11.685 4.991
 Median -12.110 11.240 4.720
 Std. Deviation 4.747 5.137 3.084
 Minimum -20.770 5.950 1.830
 Maximum 3.090 29.130 15.420

Green N 6 6 3
Funds Mean -11.023 9.300 3.873
 Median -9.985 8.785 4.260
 Std. Deviation 3.941 4.596 3.118
 Minimum -15.840 4.400 0.580
 Maximum -5.620 16.090 6.780

SRI N 43 43 30
Funds Mean -11.470 7.122 3.323
 Median -12.010 6.870 2.880
 Std. Deviation 6.296 3.604 2.636
 Minimum -22.150 1.370 -2.180
 Maximum 0.300 16.430 11.160

Total N 74 73 55
Sample Mean -11.526 8.801 4.020
 Median -12.010 7.550 3.560
 Std. Deviation 5.596 4.685 2.906
 Minimum -22.150 1.370 -2.180
 Maximum 3.090 29.130 15.420

 Load Adj Load Adj Load Adj Load Adj
 Ret 12 Ret 3 Yr Ret 5 Yr Ret 10 Yr
 Mo

Indexes N 25 25 25 23
 Mean -11.264 7.647 11.993 5.601
 Median -11.810 6.110 11.530 5.640
 Std. Deviation 4.770 5.213 5.019 3.087
 Minimum -20.420 1.280 6.790 2.130
 Maximum 3.510 25.630 29.110 15.620

Green N 6 6 6 4
Funds Mean -10.570 7.675 9.827 4.518
 Median -9.645 6.985 9.615 4.770
 Std. Deviation 3.956 6.417 4.768 2.735
 Minimum -15.320 1.760 4.720 0.960
 Maximum -5.040 16.190 16.700 7.570

SRI N 43 43 43 34
Funds Mean -10.435 4.816 7.737 4.099
 Median -10.530 4.230 7.300 3.430
 Std. Deviation 6.273 4.061 3.547 2.765
 Minimum -21.850 -4.550 1.770 -0.810
 Maximum 1.210 16.190 16.700 11.340

Total N 74 74 74 61
Sample Mean -10.726 6.004 9.345 4.693
 Median -10.835 4.860 8.175 4.360
 Std. Deviation 5.598 4.820 4.585 2.931
 Minimum -21.850 -4.550 1.770 -0.810
 Maximum 3.510 25.630 29.110 15.620

Table 1B
Summary statistics

 Sharpe Beta 3 Turnover Front
 Ratio Yr Ratio Load

Indexes N 25 25 25 25
 Mean 0.290 1.049 13.280 0.000
 Median 0.200 1.000 9.000 0.000
 Std. Deviation 0.314 0.130 9.581 0.000
 Minimum -0.150 0.840 3.000 0.000
 Maximum 1.010 1.530 34.000 0.000

Green N 6 6 6 6
Funds Mean 0.287 1.022 39.667 1.583
 Median 0.345 1.080 24.500 0.000
 Std. Deviation 0.499 0.167 48.722 2.453
 Minimum -0.330 0.780 0.000 0.000
 Maximum 0.850 1.180 132.000 4.750

SRI N 43 43 43 43
Funds Mean 0.148 0.944 54.349 2.041
 Median 0.140 0.950 48.000 0.000
 Std. Deviation 0.338 0.119 38.484 2.567
 Minimum -0.460 0.580 0.000 0.000
 Maximum 0.850 1.150 153.000 5.750

Total N 74 74 74 74
Sample Mean 0.207 0.986 39.284 1.314
 Median 0.140 0.990 29.000 0.000
 Std. Deviation 0.347 0.135 37.552 2.261
 Minimum -0.460 0.580 0.000 0.000
 Maximum 1.010 1.530 153.000 5.750

 Total
 Deferred 12b-1 Assets
 Load Current $MM

Indexes N 25 25 25
 Mean 0.000 0.000 22,911
 Median 0.000 0.000 12,377
 Std. Deviation 0.000 0.000 31,641
 Minimum 0.000 0.000 473
 Maximum 0.000 0.000 106,761

Green N 6 6 6
Funds Mean 0.000 0.125 335
 Median 0.000 0.125 115
 Std. Deviation 0.000 0.137 534
 Minimum 0.000 0.000 31
 Maximum 0.000 0.250 1,406

SRI N 43 43 43
Funds Mean 0.000 0.175 377
 Median 0.000 0.250 167
 Std. Deviation 0.000 0.153 492
 Minimum 0.000 0.000 5
 Maximum 0.000 0.500 2,481

Total N 74 74 74
Sample Mean 0.000 0.112 7,986
 Median 0.000 0.000 509
 Std. Deviation 0.000 0.146 21,083
 Minimum 0.000 0.000 5
 Maximum 0.000 0.500 106,761

Table 2A
Means for subsamples

 Category Tot Ret Tot Tot Tot
 12 Mo Ret Ret Ret
 Annlzd Annlzd Annlzd
 3 Yr 5 Yr 10 Yr

Indexes GGI -12.781 4.540 7.822 2.962
 SMC -12.819 5.458 11.853 7.364
 Balanced -4.860 4.700 6.790 4.660
 International -8.379 14.596 18.279 7.732
 Total Sample -11.244 7.656 11.998 5.604

Green GGI -10.383 6.097 8.333 2.915
Funds SMC -8.760 1.760 5.150 5.180
 International -7.380 14.785 15.500 8.100
 Total Sample -9.112 8.270 10.192 4.778

SRI GGI -9.219 5.427 8.090 4.332
Funds SMC -6.765 4.803 8.352 5.133
 Balanced -7.454 3.493 5.925 3.574
 International -10.213 12.535 14.195 4.770
 Total Sample -8.559 5.552 8.191 4.356

Total GGI -10.235 5.257 8.042 3.809
Sample SMC -10.224 5.177 10.352 6.408
 Balanced -7.347 3.449 5.933 3.873
 International -8.789 13.991 16.595 6.786
 Total Sample -9.511 6.483 9.639 4.854

 Category Ret After Ret After Ret After
 Tax on Tax on Tax on
 Distrib Distrib 5 Distrib
 1 Yr Yr 10 Yr

Indexes GGI -13.094 7.324 2.361
 SMC -13.405 11.413 6.291
 Balanced -5.690 5.950 3.560
 International -8.967 17.800 7.406
 Total Sample -11.742 11.685 4.991

Green GGI -12.307 7.323 0.580
Funds SMC -9.250 4.860 4.260
 International -9.985 14.485 6.780
 Total Sample -11.023 9.300 3.873

SRI GGI -11.353 7.255 3.876
Funds SMC -10.795 7.255 3.056
 Balanced -11.007 4.511 1.971
 International -14.315 12.680 4.295
 Total Sample -11.470 7.122 3.323

Total GGI -11.883 7.277 3.260
Sample SMC -12.286 9.631 5.047
 Balanced -10.418 4.660 2.402
 International -10.769 15.715 6.550
 Total Sample -11.526 8.801 4.020

 Category Load Load Load Load
 Adj Adj Adj Ret Adj
 Ret 12 Ret 3 5 Yr Ret 10
 Mo Yr Yr

Indexes GGI -12.781 4.540 7.822 2.962
 SMC -12.819 5.458 11.853 7.364
 Balanced -4.860 4.700 6.790 4.660
 International -8.453 14.566 18.260 7.720
 Total Sample -11.264 7.647 11.993 5.601

Green GGI -11.790 5.540 7.983 2.660
Funds SMC -8.760 1.760 5.150 5.180
 International -9.645 13.835 14.930 7.570
 Total Sample -10.570 7.675 9.827 4.518

SRI GGI -10.426 4.948 7.794 4.183
Funds SMC -10.198 3.523 7.562 4.753
 Balanced -9.362 2.765 5.473 3.259
 International -13.523 11.125 13.335 4.243
 Total Sample -10.435 4.816 7.737 4.099

Total GGI -11.148 4.894 7.818 3.699
Sample SMC -11.696 4.629 10.014 6.245
 Balanced -8.937 2.843 5.556 3.628
 International -10.196 13.395 16.232 6.544
 Total Sample -10.726 6.004 9.345 4.693

Table 2B
Means for subsamples

 Category Sharpe Beta Turnover Front
 Ratio 3 Yr Ratio Load

Indexes GGI 0.079 1.003 8.889 0.000
 SMC 0.154 1.126 22.500 0.000
 Balanced 0.100 0.840 26.000 0.000
 International 0.746 1.050 6.571 0.000
 Total Sample 0.290 1.049 13.280 0.000

Green GGI 0.170 1.117 63.000 1.583
Funds SMC -0.330 0.860 35.000 0.000
 International 0.770 0.960 7.000 2.375
 Total Sample 0.287 1.022 39.667 1.583

SRI GGI 0.158 0.955 57.043 1.348
Funds SMC 0.098 0.952 60.000 3.542
 Balanced -0.043 0.903 51.000 2.075
 International 0.643 0.973 38.750 3.688
 Total Sample 0.148 0.944 54.349 2.041

Total GGI 0.139 0.981 45.171 1.021
Sample SMC 0.130 1.051 38.571 1.518
 Balanced -0.055 0.894 47.583 1.729
 International 0.718 1.012 16.538 1.500
 Total Sample 0.207 0.986 39.284 1.314

 Category Deferred 12b-1 Total
 Load Current Assets
 $MM

Indexes GGI 0.000 0.000 47,559
 SMC 0.000 0.000 7,135
 Balanced 0.000 0.000 9,079
 International 0.000 0.000 11,225
 Total Sample 0.000 0.000 22,911

Green GGI 0.000 0.167 496
Funds SMC 0.000 0.000 53
 International 0.000 0.125 236
 Total Sample 0.000 0.125 335

SRI GGI 0.000 0.148 459
Funds SMC 0.000 0.275 84
 Balanced 0.000 0.149 390
 International 0.000 0.250 307
 Total Sample 0.000 0.175 377

Total GGI 0.000 0.111 12,574
Sample SMC 0.000 0.118 4,113
 Balanced 0.000 0.124 1,086
 International 0.000 0.096 6,175
 Total Sample 0.000 0.112 7,986

Table 3
Significant difference in mean values

 Sig.
 Mean Mean Mean Diff.
 Index Green SRI I-G

Tot Ret 12 Mo -11.244 -9.112 -8.559 0.702
Tot Ret Annlzd 3 Yr 7.656 8.270 5.552 0.960
Tot Ret Annlzd 5 Yr 11.998 10.192 8.191 0.646
Tot Ret Annlzd 10 Yr 5.604 4.778 4.356 0.869
Ret After Tax on -11.742 -11.023 -11.470 0.962
 Distrib 1 Yr
Ret After Tax on 11.685 9.300 7.122 0.472
 Distrib 5 Yr
Ret After Tax on 4.991 3.873 3.323 0.816
 Distrib 10 Yr
Load Adj Ret 12 Mo -11.264 -10.570 -10.435 0.964
Load Adj Ret 3 Yr 7.647 7.675 4.816 1.000
Load Adj Ret 5 Yr 11.993 9.827 7.737 0.527
Load Adj Ret 10 Yr 5.601 4.518 4.099 0.788
Sharpe Ratio 0.290 0.287 0.148 1.000
Beta 3 Yr 1.049 1.022 0.944 0.892
Turnover Ratio 13.280 39.667 54.349 0.216
Total Assets $MM 22,911 335 377 0.031

 Sig. Sig.
 Diff. Diff.
 I-S G-S

Tot Ret 12 Mo 0.166 0.974
Tot Ret Annlzd 3 Yr 0.218 0.425
Tot Ret Annlzd 5 Yr 0.003 0.559
Tot Ret Annlzd 10 Yr 0.283 0.962
Ret After Tax on 0.982 0.984
 Distrib 1 Yr
Ret After Tax on 0.000 0.502
 Distrib 5 Yr
Ret After Tax on 0.123 0.950
 Distrib 10 Yr
Load Adj Ret 12 Mo 0.844 0.998
Load Adj Ret 3 Yr 0.062 0.378
Load Adj Ret 5 Yr 0.001 0.523
Load Adj Ret 10 Yr 0.166 0.963
Sharpe Ratio 0.266 0.655
Beta 3 Yr 0.006 0.376
Turnover Ratio 0.000 0.592
Total Assets $MM 0.000 1.000

Table 4
Mean annual returns

 Annual Annual Annual Annual Annual Annual
 Return Return Return Return Return Return
 2007 2006 2005 2004 2003 2002

Indexes 7.357 17.807 9.826 16.432 35.571 -17.463
Green Funds 14.972 16.743 7.648 10.625 36.072 -28.193
SRI Funds 7.746 12.156 5.311 10.801 27.757 -19.979
Total Sample 8.201 14.437 7.026 12.689 31.071 -19.795

 Annual Annual Annual Annual
 Return Return Return Return
 2001 2000 1999 1998

Indexes -9.808 -6.167 24.136 17.460
Green Funds -14.483 5.842 38.833 12.295
SRI Funds -9.043 -0.274 29.840 18.047
Total Sample -9.743 -1.752 28.328 17.437

Table 5
Significant difference in mean annual returns

 Sig. Sig.
 Mean Mean Mean Diff. Diff.
 Index Green SRI I-G I-S

Annual Return 2007 7.357 14.972 7.746 0.095 0.980
Annual Return 2006 17.807 16.743 12.156 0.950 0.011
Annual Return 2005 9.826 7.648 5.311 0.696 0.008
Annual Return 2004 16.432 10.625 10.801 0.038 0.000
Annual Return 2003 35.571 36.072 27.757 0.993 0.005
Annual Return 2002 -17.463 -28.193 -19.979 0.009 0.411
Annual Return 2001 -9.808 -14.483 -9.043 0.657 0.964
Annual Return 2000 -6.167 5.842 -0.274 0.241 0.285
Annual Return 1999 24.136 38.833 29.840 0.609 0.735
Annual Return 1998 17.460 12.295 18.047 0.834 0.991

 Sig.
 Diff.
 G-S

Annual Return 2007 0.100
Annual Return 2006 0.356
Annual Return 2005 0.635
Annual Return 2004 0.997
Annual Return 2003 0.119
Annual Return 2002 0.047
Annual Return 2001 0.540
Annual Return 2000 0.664
Annual Return 1999 0.821
Annual Return 1998 0.786

Table 6
Mean annual return for each category

 Annual Annual Annual Annual
 Return Return Return Return
 2007 2006 2005 2004

Indexes GGI 5.607 15.593 5.328 11.219
 SMC 3.299 14.330 9.458 19.324
 Balanced 6.160 11.020 4.650 9.330
 International 14.417 25.597 16.770 20.843
 Total 7.357 17.807 9.826 16.432
 Sample

Green GGI 14.263 11.503 9.483 11.007
Funds SMC 3.100 7.750 2.490 1.540
 International 21.970 29.100 7.475 14.595
 Total 14.972 16.743 7.648 10.625
 Sample

SRI GGI 7.347 12.609 5.954 11.045
Funds SMC 9.705 5.822 6.055 12.203
 Balanced 4.744 9.267 1.689 7.570
 International 14.608 26.278 9.550 15.373
 Total 7.746 12.156 5.311 10.801
 Sample

Total GGI 7.492 13.281 6.096 11.087
Sample SMC 6.044 10.684 7.999 16.272
 Balanced 4.725 9.287 2.003 7.214
 International 15.638 26.345 13.118 18.198
 Total 8.201 14.437 7.026 12.689

 Annual Annual Annual Annual
 Return Return Return Return
 2003 2002 2001 2000

Indexes GGI 29.234 -21.953 -11.907 -9.241
 SMC 39.845 -16.266 0.315 4.430
 Balanced 19.870 -9.520 -3.020 -2.040
 International 41.076 -14.191 -19.647 -18.414
 Total 35.571 -17.463 -9.808 -6.167
 Sample

Green GGI 32.423 -27.833 -18.580 -15.745
Funds SMC 63.470 -37.070 -13.630 13.240
 International 27.845 -24.295 -8.765 23.730
 Total 36.072 -28.193 -14.483 5.842
 Sample

SRI GGI 26.523 -20.111 -7.310 -2.140
Funds SMC 33.030 -25.488 -19.428 -3.620
 Balanced 27.354 -16.262 -3.745 4.974
 International 27.955 -20.253 -16.680 2.355
 Total 27.757 -19.979 -9.043 -0.274
 Sample

Total GGI 27.726 -21.247 -9.458 -4.820
Sample SMC 36.924 -20.219 -8.146 0.980
 Balanced 29.740 -17.434 -4.508 5.078
 International 35.003 -17.611 -17.060 -3.199
 Total 31.071 -19.795 -9.743 -1.752

 Annual
 Return
 1999

Indexes GGI 21.417
 SMC 19.640
 Balanced 13.610
 International 38.328
 Total 24.136
 Sample

Green GGI 35.235
Funds SMC 76.390
 International 8.470
 Total 38.833
 Sample

SRI GGI 23.781
Funds SMC 60.765
 Balanced 21.854
 International 27.017
 Total 29.840
 Sample

Total GGI 23.834
Sample SMC 37.265
 Balanced 26.998
 International 31.240
 Total 28.328

Table 7
Nonparametric tests for significant differences between index,
green, and SRI fund variables using Mann-Whitney test

 Signif Diff Btwn Index & Green

 Mann- Z Significance
 Whitney U

Tot Ret 12 Mo 48 -1.3500 0.177
Tot Ret Annlzd 3 Yr 68 -0.3500 0.726
Tot Ret Annlzd 5 Yr 64 -0.5501 0.582
Tot Ret Annlzd 10 Yr 41 -0.3414 0.733
Ret After Tax on 61 -0.7001 0.484
 Distrib 1 Yr
Ret After Tax on 55 -0.8814 0.378
 Distrib 5 Yr
Ret After Tax on 27 -0.5017 0.616
 Distrib 10 Yr
Load Adj Ret 12 Mo 64 -0.5500 0.582
Load Adj Ret 3 Yr 65 -0.5001 0.617
Load Adj Ret 5 Yr 58 -0.8501 0.395
Load Adj Ret 10 Yr 40 -0.4096 0.682
Annual Return 2007 53 -1.1001 0.271
Annual Return 2006 66 -0.4500 0.653
Annual Return 2005 63 -0.6001 0.548
Annual Return 2004 33 -2.1004 0.036
Annual Return 2003 62 -0.6501 0.516
Annual Return 2002 22 -2.6503 0.008
Annual Return 2001 43 -1.6003 0.110
Annual Return 2000 48.5 -0.5400 0.589
Annual Return 1999 34 -0.8192 0.413
Annual Return 1998 40 0.0000 1.000
Sharpe Ratio 68.5 -0.3257 0.745
Beta 3 Yr 69.5 -0.2762 0.782
Turnover Ratio 49.5 -1.2771 0.202
Total Assets $MM 2 -3.6504 0.000

 Signif Diff Btwn Index & SRI

 Mann- Z Significance
 Whitney U

Tot Ret 12 Mo 385 -1.9397 0.052
Tot Ret Annlzd 3 Yr 414.5 -1.5645 0.118
Tot Ret Annlzd 5 Yr 280 -3.2753 0.001
Tot Ret Annlzd 10 Yr 294 -1.5778 0.115
Ret After Tax on 517.5 -0.2544 0.799
 Distrib 1 Yr
Ret After Tax on 221 -3.8576 0.000
 Distrib 5 Yr
Ret After Tax on 207 -2.2782 0.023
 Distrib 10 Yr
Load Adj Ret 12 Mo 461.5 -0.9667 0.334
Load Adj Ret 3 Yr 356 -2.3086 0.021
Load Adj Ret 5 Yr 243 -3.7459 0.000
Load Adj Ret 10 Yr 272 -1.9357 0.053
Annual Return 2007 491 -0.5915 0.554
Annual Return 2006 278 -3.3006 0.001
Annual Return 2005 257 -3.5678 0.000
Annual Return 2004 218.5 -4.0576 0.000
Annual Return 2003 233 -3.8732 0.000
Annual Return 2002 445 -1.1765 0.239
Annual Return 2001 511 -0.3371 0.736
Annual Return 2000 350.5 -1.9379 0.053
Annual Return 1999 382 -0.4973 0.619
Annual Return 1998 327 -0.0550 0.956
Sharpe Ratio 423.5 -1.4504 0.147
Beta 3 Yr 291 -3.1411 0.002
Turnover Ratio 153 -4.8929 0.000
Total Assets $MM 20 -6.5823 0.000

 Signif Diff Btwn Green & SRI

 Mann- Z Significance
 Whitney U

Tot Ret 12 Mo 124.5 -0.1373 0.891
Tot Ret Annlzd 3 Yr 110 -0.5796 0.562
Tot Ret Annlzd 5 Yr 99 -0.9152 0.360
Tot Ret Annlzd 10 Yr 60 -0.3805 0.704
Ret After Tax on 123.5 -0.1678 0.867
 Distrib 1 Yr
Ret After Tax on 90.5 -1.1743 0.240
 Distrib 5 Yr
Ret After Tax on 42 -0.1879 0.851
 Distrib 10 Yr
Load Adj Ret 12 Mo 126.5 -0.0763 0.939
Load Adj Ret 3 Yr 110 -0.5796 0.562
Load Adj Ret 5 Yr 95.5 -1.0218 0.307
Load Adj Ret 10 Yr 61 -0.3330 0.739
Annual Return 2007 87.5 -1.2659 0.206
Annual Return 2006 105.5 -0.7168 0.473
Annual Return 2005 99.5 -0.8998 0.368
Annual Return 2004 127.5 -0.0458 0.964
Annual Return 2003 78.5 -1.5404 0.123
Annual Return 2002 65.5 -1.9369 0.053
Annual Return 2001 80.5 -1.4793 0.139
Annual Return 2000 104.5 -0.1013 0.919
Annual Return 1999 53 -0.8567 0.392
Annual Return 1998 61 -0.2446 0.807
Sharpe Ratio 109 -0.6102 0.542
Beta 3 Yr 85 -1.3439 0.179
Turnover Ratio 90.5 -1.1747 0.240
Total Assets $MM 118.5 -0.3202 0.749