• xmlui.mirage2.page-structure.header.title
    • français
    • English
  • Help
  • Login
  • Language 
    • Français
    • English
View Item 
  •   BIRD Home
  • LEDa (UMR CNRS 8007, UMR IRD 260)
  • LEDa : Publications
  • View Item
  •   BIRD Home
  • LEDa (UMR CNRS 8007, UMR IRD 260)
  • LEDa : Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesTypeThis CollectionBy Issue DateAuthorsTitlesType

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors
Thumbnail - Request a copy

Do Social Responsibility Screens Matter when Assessing Mutual Fund Performance?

Brière, Marie; Peillex, Jonathan; Ureche-Rangau, Loredana (2017), Do Social Responsibility Screens Matter when Assessing Mutual Fund Performance?, Financial Analysts Journal, 73, 3, p. 53-66. 10.2469/faj.v73.n3.2

Type
Article accepté pour publication ou publié
Date
2017
Journal name
Financial Analysts Journal
Volume
73
Number
3
Publisher
National Federation of Financial Analysts Societies
Pages
53-66
Publication identifier
10.2469/faj.v73.n3.2
Metadata
Show full item record
Author(s)
Brière, Marie
Laboratoire d'Economie de Dauphine [LEDa]
Peillex, Jonathan
Léonard de Vinci Pôle Universitaire [Research Center]

Ureche-Rangau, Loredana
Abstract (EN)
Regarding the contribution of socially responsible (SR) screening to mutual fund performance, we propose a new decomposition of the variability of SR mutual fund returns that isolates the contribution of SR screening, allowing it to be compared with other, traditional sources of performance. Our results, based on a sample of SR equity mutual funds, show that SR screening does contribute to the variability of mutual fund performance, together with asset allocation decisions and active management. This contribution is, on average, between 4% and 10%, roughly two times lower than the contribution made by active portfolio choices.
Subjects / Keywords
Socially Responsible Investment; Performance Attribution; Mutual Funds; Asset Allocation; Active Management
JEL
G24 - Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
G23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
G11 - Portfolio Choice; Investment Decisions

Related items

Showing items related by title and author.

  • Thumbnail
    The performance of mutual funds on French stock market:Do star funds' managers exist or do funds have to hire chimpanzees? 
    Bernard, Philippe; Blanchard, Michel (2013) Document de travail / Working paper
  • Thumbnail
    The Performance of Socially Responsible Funds : Does the Screening Process Matter ? 
    Capelle-Blancard, Gunther; Monjon, Stéphanie (2014) Article accepté pour publication ou publié
  • Thumbnail
    Does Regulation Matter? Riskiness and Procyclicality of Pension Asset Allocation 
    Boon, Ling-Ni; Brière, Marie; Rigot, Sandra (2014-05) Communication / Conférence
  • Thumbnail
    Are Star Funds Really Shining? Cross-trading And Performance Shifting In Mutual Fund Families 
    Nefedova, Tamara; Parise, Gianpaolo; Eisele, Alexander (2015-06) Communication / Conférence
  • Thumbnail
    Aid, volatility, and growth again : when aid volatility matters and when it does not 
    Chauvet, Lisa; Guillaumont, Patrick (2009) Article accepté pour publication ou publié
Dauphine PSL Bibliothèque logo
Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
Phone: 01 44 05 40 94
Contact
Dauphine PSL logoEQUIS logoCreative Commons logo