Thu, Mar 26, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

EDHEC-Risk Institute finds no new evidence that SRI funds create financial value

Tuesday, September 14, 2010
Opalesque Industry Update - In 2008, EDHEC-Risk Institute analysed the performance of a sample of SRI funds distributed in France, covering a six year-period from January 2002 to December 2007. This study concluded that none of the funds in the sample produced both positive and statistically significant alpha.

In a new position paper entitled “The Performance of Socially Responsible Investment and Sustainable Development in France: an Update after the Financial Crisis,” EDHEC-Risk Institute again finds that a majority of the funds studied over long or short periods produce negative but non-significant alpha.

To highlight the period of the financial crisis, the new study examines SRI funds over both a fairly long period, with eight years of data, ending in December 2009, and a shorter period of three years, including data from January 2007 to December 2009.

Including the period of the financial crisis increases the extreme risks borne by SRI funds considerably; it is clear that, on average, these funds provide no protection from market downturns.

Regarding SRI investments more globally, the three main comments are the following:

1. The study confirms EDHEC-Risk Institute’s previous results on SRI as presented in the 2008 position paper. At this stage it has not been shown that the SRI approach on its own creates value in the financial sense of the term.

2. This does not mean that extra-financial criteria should not be taken into account, but they cannot be the only foundation for sound portfolio management.

3. EDHEC recommends that SRI be integrated in a more global process whereby the results of fifty years of quantitative research in finance are not abandoned in favour of a solely qualitative approach. As such, an approach that combines stock picking with SRI criteria and a well-diversified portfolio construction methodology can be an alternative to pure SRI, which is often practised with relative risk constraints linked to poorly diversified and inefficient cap-weighted indices.

The EDHEC-Risk Institute Publication, “The Performance of Socially Responsible Investment and Sustainable Development in France: an Update after the Financial Crisis” can be downloaded here: Source


(press release)


EDHEC-Risk Institute is part of EDHEC Business School, one of Europe’s leading business schools and a member of the select group of academic institutions worldwide to have earned the triple crown of international accreditations (AACSB, EQUIS, Association of MBAs). www.edhec-risk.com


Bg

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Other Voices: Does the hedge fund industry benefit society?[more]

    This article was authored by Don Steinbrugge, Chairman of Agecroft Partners, a US-based global consulting and third party marketing firm for hedge funds. It is no secret that the hedge fund industry is viewed negatively by a la

  2. Private credit comes into focus for investors[more]

    Bailey McCann, Opalesque New York: As investors look for a way out of the low yield/no yield environment, private credit is becoming an increasingly attractive asset class, according to a white paper from Bayshore Capital Advisors. Private credit has grown steadily since the financial crisis as

  3. M&A - Hedge funds no longer attractive targets for banks, reinsurers, Blackstone buys stake in Christopher Pucillo’s Solus event-driven hedge fund[more]

    Hedge funds no longer attractive targets for banks, reinsurers From Institutionalinvestor.com: Swiss RE, the world’s second-largest reinsurer, is looking to sell its 15 percent stake in Jersey, Channel Islands–based hedge fund firm Brevan Howard Asset Management. Morgan Stanley reported

  4. Opalesque Radio: Threadneedle expects continuing equity volatility this year[more]

    Benedicte Gravrand, Opalesque Geneva: Investors should expect more volatility, which is signaling a "slow moving" top to the market, KKM Financial’s founder and CEO Jeff Kilburg told CNBC on Monday. And this volatility is going

  5. Hedge funds show strong performance of 2.52% so far in 2015[more]

    Komfie Manalo, Opalesque Asia: The hedge fund industry got off to a strong start in 2015 "completely unmindful" of the poor performance last year, according to data provider Preqin. According to Preqin, following a year which saw the average he

 

banner