The Jantzi Social Index, which has tracked a basket of 60 socially-responsible, TSX-listed companies since inception in 2000, has a history of outperforming the S&P/TSX 60 Index. This may have given the impression that socially-responsible investors can have their cake and eat it i.e. outperform the market while adhering to ethical principles.
But lately the Jantzi Social Index has begun to underperform. As reported on the website of Jantzi Research, the index has returned 17.3% annually over the past five years (as of June 2008) compared to 19.2% for the S&P/TSX 60.
It seems socially-responsible stocks have a high beta: they go up more than the market in a bull phase and go down more in a bear phase. Anyway, someone better give the webmaster a nudge: the Jantzi Research websitepresently says the Jantzi Social Index continues to outperform the S&P/TSX 60. That was true up to a few months ago, but not now.