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The Financial Performance and Investment Style of French Ethical Funds

Author

Listed:
  • Khaled Saadaoui

    (Métis Lab EM Normandie - EM Normandie - École de Management de Normandie = EM Normandie Business School)

Abstract

Following the literature about Socially Responsible Investment performance, the purpose of this paper is to study the investment style and the performance of French ethical funds from January 1994 to January 2007. The performance measurement aims to verify if an active management based on specific research of sustainability can add value with regard to the market from a retail investor perspective. The comparison of the ethical funds with their relevant Benchmark is performed through Jensen's alpha. Results show a general but non- significant underperformance of the ethical funds. A common conservative attitude towards the market risk was also observed. The style analysis à la Fama and French confirms the existence of a small cap bias, already found in previous studies. However, no clear investment strategy, with regard to growth or value stocks, was observed. Finally, using Carhart model, we found that French equity ethical funds don't have any particular Momentum strategy.

Suggested Citation

  • Khaled Saadaoui, 2012. "The Financial Performance and Investment Style of French Ethical Funds," Post-Print hal-05537889, HAL.
    • Handle: RePEc:hal:journl:hal-05537889
    DOI: 10.2139/ssrn.2079430
    Note: View the original document on HAL open archive server: https://hal.science/hal-05537889v1
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    References listed on IDEAS

    as
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