Regarding the contribution of socially responsible (SR) screening to mutual fund performance, we propose a new decomposition of the variability of SR mutual fund returns that isolates the contribution of SR screening, allowing it to be compared with other, traditional sources of performance. Our results, based on a sample of SR equity mutual funds, show that SR screening does contribute to the variability of mutual fund performance, together with asset allocation decisions and active management. This contribution is, on average, between 4% and 10%, roughly two times lower than the contribution made by active portfolio choices.


The authors report no conflicts of interest.

Editor’s Note

This article was externally reviewed using our double-blind peer-review process. When the article was accepted for publication, the authors thanked the reviewers in their acknowledgments. Denys Glushkov and Jenke ter Horst were the reviewers for this article.

Submitted 10 April 2015

Accepted 28 December 2016 by Stephen J. Brown

Author Information

Marie Brière is head of the Investor Research Center at Amundi, Paris, affiliate professor at Université Paris-Dauphine, and senior associate researcher at Université Libre de Bruxelles.

Jonathan Peillex is assistant professor at Léonard de Vinci Research Center, Paris.

Loredana Ureche-Rangau is professor of finance at the University of Picardie Jules Verne–CRIISEA, Amiens, France.

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