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 publiéDate
2017Journal name
Financial Analysts JournalVolume
73Number
3Publisher
National Federation of Financial Analysts Societies
Pages
53-66
Publication identifier
Metadata
Show full item recordAuthor(s)
Brière, MarieLaboratoire 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 ManagementRelated items
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