Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance?
研究提出新方法分解社会责任共同基金收益的变动，发现社会责任筛选对基金业绩变动的贡献平均在4%到10%之间，约为主动投资组合选择贡献的一半。
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.