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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
Metadata
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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