Do Social Responsibility Screens Really Matter When Assessing Mutual Fund Performance?

34 Pages Posted: 22 Jan 2014 Last revised: 3 Jan 2017

See all articles by Marie Briere

Marie Briere

Amundi Asset Management; Paris Dauphine University; Université Libre de Bruxelles

Jonathan Peillex

University of Picardy Jules Verne - CRIISEA

Loredana Ureche

University of Picardy Jules Verne - CRIISEA

Date Written: December 20, 2016

Abstract

This paper questions the contribution that socially responsible (SR) screening makes to mutual fund performance. We propose a new decomposition of the variability of SR mutual fund returns making it possible to isolate the contribution of SR screening and compare it with the other traditional sources of performance: market movements, asset allocation choices and active management. Our results, based on a sample of SR equity mutual funds show that SR screening does contribute to the variability of mutual fund performance, alongside other portfolio choices such as asset allocation decisions and active management. This contribution is rather modest on average (between 4% and 10%), roughly two times lower than that made by active portfolio choices.

Keywords: Active Management, Asset Allocation, Mutual Funds, Performance Attribution, Socially Responsible Investment

JEL Classification: G11, G23, G24

Suggested Citation

Briere, Marie and Peillex, Jonathan and Ureche, Loredana, Do Social Responsibility Screens Really Matter When Assessing Mutual Fund Performance? (December 20, 2016). Financial Analysts Journal, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2381937 or http://dx.doi.org/10.2139/ssrn.2381937

Marie Briere (Contact Author)

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015
France

Paris Dauphine University ( email )

Université Libre de Bruxelles ( email )

Brussels
Belgium

Jonathan Peillex

University of Picardy Jules Verne - CRIISEA ( email )

Pôle Universitaire Cathédrale
10 placette Lafleur BP 2716
Amiens, 80027
France

Loredana Ureche

University of Picardy Jules Verne - CRIISEA ( email )

Pôle Universitaire Cathédrale
10 placette Lafleur BP 2716
Amiens, 80027
France

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