TAILIEUCHUNG - Performance of Socially Responsible nvestment Funds against an Efficient SRI Index: The Impact of Benchmark Choice when Evaluating Active Managers – An update

We ¯nd that when the hypothetical benchmarks are recognized as being unavailable for investment, there need not exist close substitutes for them in the universe of mutual funds. For an investor who believes completely in the accuracy of the Fama-French model and precludes managerial skill, the perceived maximum Sharpe ratio is only 66 percent of what could be achieved by direct investment in that model's benchmarks. For a believer in the Carhart four-factor model, the corresponding value is 54 percent. Moreover, actively managed funds can be better substitutes for the benchmarks than existing passive funds, so active funds can be selected even by investors who admit no. | An EDHEC-Risk Institute Publication EDHEC-RISK Institute Performance of Socially Responsible Investment Funds against an Efficient SRI Index The Impact of Benchmark Choice when Evaluating Active Managers - An update March 2012 This study updates an initial version released in 2011 and which was based on a three-year data history cf. Le Sourd 2011 . The present version includes one year of additional data and thus covers the period from 2008 to 2011. Printed in France. March 2012. Copyright EDHEC 2012. The opinions expressed in this study are those of the author and do not necessarily reflect those of EDHEC Business School. The author can be contacted at research@. Performance of Socially Responsible Investment Funds against an Efficient SRI Index The Impact of Benchmark Choice when Evaluating Active Managers - An update March 2012 Table of Contents Executive 1. Introduction and Motivation .7 2. Data and Methodology .11 3. Performance Analysis of SRI Funds Using Factor Models .17 4. Performance Analysis of SRI Funds with Respect to a Reference Index .21 About EDHEC-Risk Institute .47 EDHEC-Risk Institute Publications and Position Papers 2009-2012 .51 An EDHEC-Risk Institute Publication

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