TAILIEUCHUNG - Assessing SRI Fund Performance Research: Best Practices in Empirical Analysis

The deferral of the mandatory IFRS changeover date to January 1, 2014 is to prevent Canadian investment companies and segregated accounts of life insurance enterprises from having to change their current accounting treatment for controlled investees while the IASB finalizes its proposed investment entities standard. Under IFRS 10 Consolidated Financial Statements, investment companies are required to consolidate their controlled investments. The IASB has issued an exposure draft that will exempt entities that qualify as investment entities from consolidating their controlled investments and requires such entities to record, with very limited exceptions, all of their investments at fair value through profit or loss account. This exposure draft is still under review. Canadian GAAP permits investment companies. | Sustainable Development Sust. Dev. 2011 Published online in Wiley Online Library DOI Assessing SRI Fund Performance Research Best Practices in Empirical Analysis Andrea Chegut 1 Hans Schenk2 and Bert Scholtens3 1 Department of Finance Maastricht University Maastricht The Netherlands 2 Department of Economics Utrecht University Utrecht The Netherlands 3 Department of Economics Econometrics and Finance University of Groningen Groningen The Netherlands ABSTRACT We review the socially responsible investment SRI mutual fund performance literature to provide best practices in SRI performance attribution analysis. Based on meta-ethnography and content analysis five themes in this literature require specific attention data quality social responsibility verification survivorship bias benchmarking and sensitivity and robustness checks. For each of these themes we develop best practices. Specifically for sound SRI fund performance analysis it is important that research pays attention to dividend yields and fees incorporates independent and third party social responsibility verification corrects for survivorship bias and tests multiple benchmarks as well as analyzing the impact of fund composition management influences and SRI strategies through sensitivity and robustness analysis. These best practices aim to enhance the robustness of SRI financial performance analysis. Copyright 2011 John Wiley Sons Ltd and ERP Environment. Received 1 September 2009 revised 2 December 2009 accepted 4 January 2010 Keywords mutual funds socially responsible investing performance evaluation best practices Introduction In this paper we investigate performance attribution analysis with respect to socially responsible investment SRI . This analysis is relevant in the decision making process of financial institutions in constructing and offering SRI portfolios. Financial portfolio theory and the classical theory of the firm suggest that including non-financial .

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