The performance of European SRI funds investing in bonds and their comparison to conventional funds

Detalhes bibliográficos
Autor(a) principal: Leite, Paulo
Data de Publicação: 2018
Outros Autores: Cortez, Maria Céu
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/11110/1365
Resumo: This paper evaluates the performance of European SRI fixed-income funds domiciled in France and in Germany compared to characteristics-matched conventional funds. Fund performance is evaluated by means of conditional multi-factor models that allow for both time-varying risk and performance. The results show that SRI balanced funds perform similarly to conventional funds, whereas SRI bond funds significantly outperform their peers. The outperformance of SRI bond funds seems more related to their government (and not their corporate) bond holdings. Compared to conventional funds, SRI funds are significantly less exposed to bonds issued by the countries most affected by the Euro sovereign debt crisis, which is consistent with more conservative and long term-oriented investment strategies.
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spelling The performance of European SRI funds investing in bonds and their comparison to conventional fundsSocially responsible fundsfixed-income fundsperformance evaluationThis paper evaluates the performance of European SRI fixed-income funds domiciled in France and in Germany compared to characteristics-matched conventional funds. Fund performance is evaluated by means of conditional multi-factor models that allow for both time-varying risk and performance. The results show that SRI balanced funds perform similarly to conventional funds, whereas SRI bond funds significantly outperform their peers. The outperformance of SRI bond funds seems more related to their government (and not their corporate) bond holdings. Compared to conventional funds, SRI funds are significantly less exposed to bonds issued by the countries most affected by the Euro sovereign debt crisis, which is consistent with more conservative and long term-oriented investment strategies.Investment Analysts Journal2018-01-31T12:42:11Z2018-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/11110/1365oai:ciencipca.ipca.pt:11110/1365engPaulo Leite & Maria Céu Cortez (2018): The performance of European SRI funds investing in bonds and their comparison to conventional funds, Investment Analysts Journal, DOI: 10.1080/10293523.2017.1414911http://hdl.handle.net/11110/1365metadata only accessinfo:eu-repo/semantics/openAccessLeite, PauloCortez, Maria Céureponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2022-09-05T12:52:48Zoai:ciencipca.ipca.pt:11110/1365Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T15:01:44.729078Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The performance of European SRI funds investing in bonds and their comparison to conventional funds
title The performance of European SRI funds investing in bonds and their comparison to conventional funds
spellingShingle The performance of European SRI funds investing in bonds and their comparison to conventional funds
Leite, Paulo
Socially responsible funds
fixed-income funds
performance evaluation
title_short The performance of European SRI funds investing in bonds and their comparison to conventional funds
title_full The performance of European SRI funds investing in bonds and their comparison to conventional funds
title_fullStr The performance of European SRI funds investing in bonds and their comparison to conventional funds
title_full_unstemmed The performance of European SRI funds investing in bonds and their comparison to conventional funds
title_sort The performance of European SRI funds investing in bonds and their comparison to conventional funds
author Leite, Paulo
author_facet Leite, Paulo
Cortez, Maria Céu
author_role author
author2 Cortez, Maria Céu
author2_role author
dc.contributor.author.fl_str_mv Leite, Paulo
Cortez, Maria Céu
dc.subject.por.fl_str_mv Socially responsible funds
fixed-income funds
performance evaluation
topic Socially responsible funds
fixed-income funds
performance evaluation
description This paper evaluates the performance of European SRI fixed-income funds domiciled in France and in Germany compared to characteristics-matched conventional funds. Fund performance is evaluated by means of conditional multi-factor models that allow for both time-varying risk and performance. The results show that SRI balanced funds perform similarly to conventional funds, whereas SRI bond funds significantly outperform their peers. The outperformance of SRI bond funds seems more related to their government (and not their corporate) bond holdings. Compared to conventional funds, SRI funds are significantly less exposed to bonds issued by the countries most affected by the Euro sovereign debt crisis, which is consistent with more conservative and long term-oriented investment strategies.
publishDate 2018
dc.date.none.fl_str_mv 2018-01-31T12:42:11Z
2018-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/11110/1365
oai:ciencipca.ipca.pt:11110/1365
url http://hdl.handle.net/11110/1365
identifier_str_mv oai:ciencipca.ipca.pt:11110/1365
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Paulo Leite & Maria Céu Cortez (2018): The performance of European SRI funds investing in bonds and their comparison to conventional funds, Investment Analysts Journal, DOI: 10.1080/10293523.2017.1414911
http://hdl.handle.net/11110/1365
dc.rights.driver.fl_str_mv metadata only access
info:eu-repo/semantics/openAccess
rights_invalid_str_mv metadata only access
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Investment Analysts Journal
publisher.none.fl_str_mv Investment Analysts Journal
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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