Socially responsible (SR) screening contributes to the variability of SR 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.
In the article, "Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance?", Marie Brière proposes 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.
This is an archived version of a live webinar that took place 17 October 2017.