Do Social Responsibility Screens Matter when Assessing Mutual Fund Performance?

Marie Brière, Jonathan Peillex () and Loredana Ureche-Rangau ()
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Marie Brière: LEDa - Laboratoire d'Economie de Dauphine - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres
Jonathan Peillex: DVRC - De Vinci Research Center - DVHE - De Vinci Higher Education, CRIISEA - Centre de Recherche sur les Institutions, l'Industrie et les Systèmes Économiques d'Amiens - UR UPJV 3908 - UPJV - Université de Picardie Jules Verne
Loredana Ureche-Rangau: CRIISEA - Centre de Recherche sur les Institutions, l'Industrie et les Systèmes Économiques d'Amiens - UR UPJV 3908 - UPJV - Université de Picardie Jules Verne

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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.

Keywords: Socially Responsible Investment; Performance Attribution; Mutual Funds; Asset Allocation; Active Management (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (15)

Published in Financial Analysts Journal, 2017, 73 (3), ⟨10.2469/faj.v73.n3.2⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02315452

DOI: 10.2469/faj.v73.n3.2

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