This paper analyzes the persistence of environmental, social, and governance (ESG)-scores in socially responsible (SR) mutual funds. ESG-scores can be used as a measure for the level of social responsibility of an SR mutual fund. It is shown that ESG-scores persist for approximately two years. However, the persistence of the ESG-scores is terminated after approximately three years. This implies that value-driven investors of SR mutual funds who seek high-ESG investments cannot rely upon a

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... erm continuation of high ESG-scores and thus need to rebalance their portfolio from time to time. The lack of long-term persistence in the ESG-scores is caused by changes in the holdings of the SR mutual funds.