Selectivity and timing abilities of international socially responsible funds

Leite, Paulo; Cortez, Maria Céu

doi:10.1080/13504851.2013.848015

Cited by 8 publications

(11 citation statements)

References 6 publications

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“…Additionally, the Differences portfolio of global funds shows that conventional fund managers investing globally are better in terms of stock picking, as the intercept is negative and statistically significant. This finding is consistent with the results of Leite and Cortez () relative to European funds that invest in European securities, and suggests that the fact that SR fund managers have a narrower universe of assets to choose from is reflected negatively in their performance. This way, the underperformance of SR global funds documented in Tables and is related to the worse selectivity abilities of SR fund managers.…”

Section: Resultssupporting

confidence: 89%

“…Furthermore, Muñoz, Vargas, and Marco () document unsuccessful timing abilities for both European and U.S. global green funds. For a data set of international equity funds in eight European countries, Leite and Cortez () find no difference between timing abilities of SR funds and their matched conventional funds, as both present neutral timing abilities. In relation to U.K. pension funds, Ferruz, Muñoz, and Vargas () document negative timing abilities on the part of both SR and conventional funds.…”

Section: Literature Reviewmentioning

confidence: 99%

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The performance of socially responsible equity mutual funds: Evidence from Sweden

Leite

Cortez

Silva

et al. 2017

Business Ethics: A Eur Rev

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This paper presents a comprehensive analysis of socially responsible (SR) funds in Sweden by assessing fund managers' abilities and performances across different market states. These issues are analyzed at the aggregate and individual fund levels. The paper also presents several new statistical tests that allow more precise inferences about differences in performance and the variability in fund returns arising from different benchmarks. In general, SR and conventional funds perform similarly to the market. At the aggregate level, SR funds investing in Sweden and Europe perform similarly to conventional funds, while those investing globally tend to underperform. This underperformance seems to be linked with poor selectivity abilities of global SR fund managers. For individual funds, the performance of both types of funds is more similar. Most funds perform similarly in crisis periods compared to non‐crisis periods. Overall, our results are consistent with a mature market for SR investing and support the view that the similar performance of SR and conventional funds is associated with the mainstreaming of SR investment in Sweden. These findings encourage SR investing both by socially conscious investors, who wish to align their social values with their investment decisions, as well as by conventional investors, who will not be penalized by investing in these funds. We also call attention to the difficulties investors face when trying to identify funds with high social standards, considering that there is scarce information on the extent to which each fund (SR or conventional) holds stocks that comply with ethical and social criteria.

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Section: Resultssupporting

confidence: 89%

Section: Literature Reviewmentioning

confidence: 99%

The performance of socially responsible equity mutual funds: Evidence from Sweden

Leite

Cortez

Silva

et al. 2017

Business Ethics: A Eur Rev

View full text Add to dashboard Cite

show abstract

“…In this way, our results are in line with the findings of Girard, Rahman, and Stone (2007) and Leite and Cortez (2014a), among others.…”

Section: Managerial Abilities In Crisis and Non-crisis Periodssupporting

confidence: 96%

“…Another interesting research question within this field is to investigate if managerial abilities are also state-dependant and if they are somewhat related to different funds' screening strategies. As pointed out by Leite and Cortez (2014a), there are theoretical arguments to support that both selectivity and timing abilities should be different for SRI and conventional fund managers. In terms of selectivity, screening activities can help SRI fund managers find undervalued stocks since they can generate valuable information that otherwise would not be considered.…”

Section: Literature Reviewmentioning

confidence: 93%

Performance of European socially responsible funds during market crises: Evidence from France

Leite

Cortez

2015

International Review of Financial Analysis

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“…For conventional mutual funds the most common evidence found is of negative or nonsignificant timing. Ferruz et al (2010) and Leite and Cortez (2014b):…”

Section: Managerial Implicationsmentioning

confidence: 99%

Does socially responsible mutual fund performance vary over the business cycle? New insights on the effect of idiosyncratic SR features

Matallín‐Sáez

Soler‐Domínguez

Mingo‐López

et al. 2018

Business Ethics: A Eur Rev

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This study analyses the performance and market timing of US socially responsible (SR) mutual funds in relation to business cycle regime shifts and different grouping criteria: Ethical strategy focus, SR attributes scores and Morningstar category. Different methodologies are applied and results highlight the importance of considering specific benchmarks related to the investment style in evaluating the SR fund performance. Our results show that, in aggregate, the abnormal performance of SR funds is negative and significant in expansion periods, but no significant differences are found in recession periods. When specific benchmarks are considered, performance improves in recession periods, particularly for environmental funds, those with high SR attributes scores, and funds from the nine Morningstar style box categories. Market timing of SR funds takes positive values and is partially significant. Previous evidence of negative timing after a recent financial crisis vanishes when specific benchmarks are considered. For comparative purposes the performance of conventional US mutual funds is also analysed. There are no significant differences between the performance of SR and conventional mutual funds when a fair comparison is made within the same style categories. When all the SR funds are considered, they underperform conventional funds in expansion sub‐periods, but in recession sub‐periods they perform better, although the differences observed are not significant.

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Selectivity and timing abilities of international socially responsible funds

Cited by 8 publications

References 6 publications

The performance of socially responsible equity mutual funds: Evidence from Sweden

The performance of socially responsible equity mutual funds: Evidence from Sweden

Performance of European socially responsible funds during market crises: Evidence from France

Does socially responsible mutual fund performance vary over the business cycle? New insights on the effect of idiosyncratic SR features

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