Graduate School of Business
Doctor of Business Administration (DBA)
Biblically Responsible, BRI, Equity-only Faith-based Investment Funds, ETF, Exchange Traded Funds, SRI
Accounting | Business
Rhodes, Stacie, "The Effective Return of Biblically Responsible Exchange Traded Funds" (2018). Doctoral Dissertations and Projects. 1865.
This dissertation research study was designed to contribute to the growing body of knowledge regarding the efficacy of a recently popular investment vehicle (ETFs; Ben-David et al., 2017) and the impact of values-based investment strategies on performance (Bidisha et al., 2017). Specifically, this research examined the risk-adjusted returns of biblically responsible ETFs, a subset of the larger category of socially responsible investment funds. The results of this study indicated there was no statistically significant difference between the intraday risk-adjusted return yields of the mid-cap and world large stock BRI ETFs and their respective benchmark indexes or the average intraday risk-adjusted return yield of their category grouping of equity-only faith-based investment funds. The two additional performance proxies, the Sharpe ratio and Jensen’s α, revealed that the mid-cap BRI ETF (ISMD) had both a higher intraday Sharpe ratio and Jensen’s α than the small/mid-cap equity-only faith-based funds and its respective benchmark index with no socially responsible investing agenda. One world large stock equity-only faith-based fund (GAGYX) had a statistically significant difference in the intraday performance from the Russell 3000 index. Further, the Sharpe ratio and Jensen’s α for the fund were also higher than the benchmark.