The Financial Performance and Investment Style of French Ethical Funds

Khaled Saadaoui ()
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Khaled Saadaoui: Métis Lab EM Normandie - EM Normandie - École de Management de Normandie = EM Normandie Business School

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Abstract: Following the literature about Socially Responsible Investment performance, the purpose of this paper is to study the investment style and the performance of French ethical funds from January 1994 to January 2007. The performance measurement aims to verify if an active management based on specific research of sustainability can add value with regard to the market from a retail investor perspective. The comparison of the ethical funds with their relevant Benchmark is performed through Jensen's alpha. Results show a general but non- significant underperformance of the ethical funds. A common conservative attitude towards the market risk was also observed. The style analysis à la Fama and French confirms the existence of a small cap bias, already found in previous studies. However, no clear investment strategy, with regard to growth or value stocks, was observed. Finally, using Carhart model, we found that French equity ethical funds don't have any particular Momentum strategy.

Keywords: Investment strategy; Socially Responsible Investment (SRI); Socially Responsible Investment (SRI) Ethical Funds Style Analysis Performance Measurement Investment strategy France; France; Investment Strategy; Performance Measurement; Style Analysis; Ethical Funds; Socially Responsible Investment (search for similar items in EconPapers)
Date: 2012-06-07
Note: View the original document on HAL open archive server: https://hal.science/hal-05537889v1
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Published in 29th International Conference of the French Finance Association (AFFI) 2012, French finance association, Jun 2012, Strasbourg, France. ⟨10.2139/ssrn.2079430⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05537889

DOI: 10.2139/ssrn.2079430

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