None of the socially responsible investment equity funds available to European investors produced alpha or outperformance, according to an EDHEC Risk and Asset Management Research Centre study released today.
Most of the 62 funds studied generated negative but not statistically significant alpha, the study found. “The few significant alpha values are negative,” said a 34-page report about the study.
“SRI security selection in itself does not lead to outperformance,” the report said. “Our results show that SRI fund performance is accounted for instead by style biases and market cycles.”
“Older and younger funds perform in much the same ways,” the report added.
The study examined the funds from 2002 through 2007. Of the funds, 25 were invested in the eurozone, 20 worldwide, five in France and 12 in other European areas.
The research “finds no evidence that socially responsible funds produce outperformance,” an EDHEC statement about the study said.
“This study does not conclude that investors should not invest in SRI, but that the argument to do so should not be short- or medium-term outperformance,” the statement said.
The study was co-authored by Noel Amenc, professor of finance at EDHEC Business School and director of the EDHEC Risk and Asset Management Research Centre, and Veronique Le Sourd, senior research engineer at the EDHEC center.