Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance?

Marie Brière, Jonathan Peillex and Loredana Ureche-Rangau

Financial Analysts Journal, 2017, vol. 73, issue 3, 53-66

Abstract: 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. Disclosure:The authors report no conflicts of interest. Editor’s NoteThis article was externally reviewed using our double-blind peer-review process. When the article was accepted for publication, the authors thanked the reviewers in their acknowledgments. Denys Glushkov and Jenke ter Horst were the reviewers for this article.Submitted 10 April 2015 Accepted 28 December 2016 by Stephen J. Brown

Date: 2017
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DOI: 10.2469/faj.v73.n3.2

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