CAN INVESTMENT IN MICROFINANCE FUNDS IMPROVE RISK-RETURN CHARACTERISTICS OF A PORTFOLIO?
研究小额信贷基金对可持续投资组合的贡献，发现其与股票和固定收益市场负相关，且回报超过市场组合，加入小额信贷资产可带来财务优势。
This article is concerned with contribution of microfinance investment funds to a sustainable financial portfolio. With regard to the dependence of microfinance funds’ returns on the performance of stock and fixed income markets in developed and emerging economies we find slightly negative correlation when measured by the portfolio beta measure. Our regression analysis confirms that returns on investment in microfinance investment funds exceed the returns on the market portfolio. This result together with reported near-to-zero beta estimates as a proxy for the systematic risk may be taken to be a clear financial advantage of an inclusion of microfinance assets in a portfolio compared to pure stock or bond portfolios. The results based on CAPM beta and Jensen's alpha are confirmed by mean-variance spanning test. We show that the socially responsible investors may invest into microfinance without sacrifice with respect to pure financial indicators.