BRN 481 Case #3: due 6/24/2019


The course web page has an Excel spreadsheet file (in ZIP format) BRN481Case319.ZIP that contains up to 236 monthly stock returns (in US dollars) for seven ETFs or mutual funds that specialize in “socially responsible investing.”

Fund Name TickerSample Size
TIAA-CREF Social Choice Equity Fund TICRX157
Portfolio 21 Global Equity Fund Class R PORTX236
iShares MSCI ACWI Low Carbon Target ETFCRBN53
SPDR SSGA Gender Diversity Index ETFSHE38
iShares MSCI KLD 400 Social ETFDSI150
iShares MSCI USA ESG Select ETFSUSA172

The spreadsheet also includes the Fama-French 5-factors from November 1999 through April 2019, Mkt-Rf, SMB, HML, RMW, CMA, and Rf.

Your assignment is to evaluate all seven of these funds. Comment on the extent to which each fund shows either stock selectivity ability, or market timing ability, or both. Also, comment on the apparent “styles” of each fund (in terms of the Fama-French risk loadings). You should not write more than one double-spaced page (about 220 words) on each fund.


A full-text version of this case assignment is available in Acrobat's portable data format (.pdf). The file is about 28K and can only be viewed (and printed) using a copy of Acrobat Reader. Click here to download this case assignment.


Click here to view a possible answer to this case.

Click here to download the Excel worksheet with the answer.


Click here to see the histogram showing the grades for this case.

A histogram showing the grades for this case is available in Acrobat's portable data format (.pdf). The file is about 4K and can only be viewed (and printed) using a copy of Acrobat Reader.

Click here to download this graph.


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© Copyright 2001-2019, G. William Schwert

Last Updated on 5/28/2019