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An EDHEC-Risk Institute Publication Performance of Socially Responsible Investment Funds against an Efficient SRI Index: The Impact of Benchmark Choice when Evaluating Active Managers – An update March 2012 Institute 2 This study updates an initial version released in 2011 and which was based on a three-year data history (cf. Le Sourd 2011). The present version includes one year of additional data, and thus covers the period from 2008 to 2011. Printed in France. March 2012. Copyright© EDHEC 2012. The opinions expressed in this study are those of the author and do not necessarily reflect those of EDHEC Business School. The author can be contacted at research@edhec-risk.com. Performance of Socially Responsible Investment Funds against an Efficient SRI Index: The Impact of Benchmark Choice when Evaluating Active Managers – An update — March 2012 Table of Contents Executive Summary...............................................................................................5 1. Introduction and Motivation .........................................................................7 2. Data and Methodology .................................................................................11 3. Performance Analysis of SRI Funds Using Factor Models ......................17 4. Performance Analysis of SRI Funds with Respect to a Reference Index ........................................................................................21 Conclusion.............................................................................................................29 Appendix................................................................................................................33 References.............................................................................................................43 About EDHEC-Risk Institute ..............................................................................47 EDHEC-Risk Institute Publications and Position Papers (2009-2012).......51 An EDHEC-Risk Institute Publication 3 Performance of Socially Responsible Investment Funds against an Efficient SRI Index: The Impact of Benchmark Choice when Evaluating Active Managers – An update — March 2012 About the Author Véronique Le Sourd has a Master’s Degree in applied mathematics from the Pierre and Marie Curie University in Paris. From 1992 to 1996, she worked as a research assistant in the finance and economics department of the French business school HEC and then joined the research department of Misys Asset Management Systems in Sophia Antipolis. She is currently a senior research engineer at EDHEC-Risk Institute. 4 An EDHEC-Risk Institute Publication Executive Summary ... - tailieumienphi.vn
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