Garz, Volk, and Gilles (2002)

Garz, Hendriz, Claudia Volk, and Martin Gilles. "From Economics to Sustainomics: SRI - Investment style with a future." WestLB Panmure, May 2002.

Strong overview piece on SRI also includes definitions and discussion of the relationship of social variables to financial performance, reviews the progress of SRI in Europe, and briefly analyzes the tracking error of the DJ STOXX Sustainability Index. The tracking error analysis uses BARRA tools and demonstrates that the tracking error of the DJ STOXX Sustainability Index vs. the DJ STOXX 50 (measured at 2.53%) can be reduced to 1.44% through optimization (see Dimtcheva et al (2002) for a similar analysis). Replicates the analysis for each of the 18 sector indices of the DJ STOXX600, finding particularly large gains from optimization in the Bank (3.7% to 2.7%), Media (11.8% to 10.3%), Telecom (10.3% to 6.8%), and Technology (8.5% to 6.5%) sectors. Very little improvement was achieved in other groups, however, notably Retail (9.5% to 9.3%), Autos (6.3% to 6.1%), and Food/Beverage (7.4% to 7.2%).