How socially irresponsible are socially responsible mutual funds? A persistence analysis

Abstract Based on a dataset of over 400 fund compositions in the years 2003-2018 this paper analyzes the persistence of controversies scores and environmental, social, governance (ESG) scores in socially responsible US mutual funds. As measurements for corporate social irresponsibility as well as corporate social responsibility activities, it is shown that US mutual funds exhibit controversies and ESG persistence in the short and longer-term. When examining the relationship between controversies and ESG scores in comparison with management fees, it becomes apparent that higher-paid managers achieve better results regarding controversies scoring but worse results regarding ESG scoring, compared to lower-paid managers.