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Do Social Responsibility Screens Matter when Assessing Mutual Fund Performance?

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Date
2017
Dewey
Economie financière
Sujet
Socially Responsible Investment; Performance Attribution; Mutual Funds; Asset Allocation; Active Management
JEL code
G.G2.G24; G.G2.G23; G.G1.G11
Journal issue
Financial Analysts Journal
Volume
73
Number
3
Publication date
2017
Article pages
53-66
Publisher
National Federation of Financial Analysts Societies
DOI
http://dx.doi.org/10.2469/faj.v73.n3.2
URI
https://basepub.dauphine.fr/handle/123456789/20140
Collections
  • LEDa : Publications
Metadata
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Author
Brière, Marie
163511 Laboratoire d'Economie de Dauphine [LEDa]
Peillex, Jonathan
467022 Léonard de Vinci Pôle Universitaire [Research Center]
262846 Centre de Recherche sur l'Industrie, les Institutions et les Systèmes Economiques d'Amiens [CRIISEA]
Ureche-Rangau, Loredana
262846 Centre de Recherche sur l'Industrie, les Institutions et les Systèmes Economiques d'Amiens [CRIISEA]
Type
Article accepté pour publication ou publié
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.

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