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Canadian Socially Responsible Investment Review 2008

We develop and implement a framework in which prior views and empirical evidence about pricing models and managerial skill can be incorporated formally into the invest- ment decision. Our framework relies on a set of passive indexes or \assets," consisting of nonbenchmark assets as well as the benchmark assets prescribed by a pricing model. A common interpretation of alpha, the intercept in a regression of the fund's excess return on the benchmarks, is that it represents the skill of the fund's manager in selecting mispriced securities. That interpretation is subject to a number of pitfalls, including a concern that the benchmarks used to de¯ne alpha might not. | irựrĩii ũiĩii SOCIAL INVESTMENT ORGANIZATION Canadian Socially Responsible Investment Review 2008 A comprehensive survey of socially responsible investment in Canada by The Social Investment Organization March 2009 Copies of this report are available at www.socialinvestment.ca Sponsors The Social Investment Organization gratefully acknowledges the funding of its sponsors without which this study would not have been possible. Acuity Funds Ltd. Assiniboine Credit Union Guardian Ethical Management Investors Group Jantzi Research Inc. RBC Asset Management The Ethical Funds Company Acuity Assiniboine. CREDIT UNION Investors Group IGEM Guardian Ethical Management Inc. RBC Asset Management The-_ Ethical Funds Company Canadian Socially Responsible Investment Review 2008 2 Project Staff The Principal Researcher in this project was Andrika Boshyk Assistant Director Social Investment Organization Research assistance was also provided by Brian MacInnes Dalhousie University on the pension fund portion of the project Project Management was provided by Eugene Ellmen Executive Director Social Investment Organization Graphic design by Laurie Wonfor Nolan Research Partners Cindy Tan Sustainability Group VanCity and Citizens Bank provided information on ethical lending assets in Canada Andrew Thomson Cleantech Venture Network supplied data on sustainable venture capital deals Seth Asimakos Executive Director Canadian Community Investment Network Co-operative co-ordinated the social finance portion of the survey Canadian Socially Responsible Investment Review 2008