Performance of Dow Jones Sustainability Indexes

Abstract

Currently sustainability is a frequently used buzzword in the business world and in business schools. RobecoSam, in collaboration with Dow Jones, created and continually updates sustainability indexes. The alpha from the Jensen Performance index and the Four Factor Model are used to estimate the monthly abnormal performance, alpha, for four of these indexes with three indexes having two different time periods. When the CRSP value weighted index is used as the market proxy, all fourteen of the alpha estimates are negative and the smallest p value for the null hypothesis that the population alpha equals zero is 0.08. When the MSCI World Index is used as the market proxy all fourteen of the alpha estimates are positive and five have a p-value less than 0.06, 6 percent.