Ethical strategy focus and mutual fund management: Performance and persistence

Matallín‐Sáez, Juan Carlos; Soler‐Domínguez, Amparo; Tortosa‐Ausina, Emili; Mingo‐López, Diego Víctor de

doi:10.1016/j.jclepro.2018.12.130

Cited by 26 publications

(8 citation statements)

References 63 publications

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“…Matallín‐Sáez, Soler‐Domínguez, de Mingo‐López, and Tortosa‐Ausina (2019) explore the effect of idiosyncratic SR features and find that performance improves for environmental funds and those with high scores. In a multinational study, Matallín‐Sáez, Soler‐Domínguez, Tortosa‐Ausina, and de Mingo‐López (2019) show that funds achieving relatively high scores in each SR category seem to experience overall worse performance. Nonetheless, the negative relationship between scores and performance is driven by worst performing funds.…”

Section: Introductionmentioning

confidence: 99%

Looking for sustainable development: Socially responsible mutual funds and the low‐carbon economy

et al. 2020

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Sustainable investment responds to demands for carbon and climate-neutral societies. To address the urgency around climate change and provide investors with more qualified information, Morningstar has developed the Low Carbon Designation (LCD) to indicate that the companies held in a portfolio are in general alignment with the transition to a low-carbon economy. The designation is given to portfolios that have low carbon risk and fossil fuel exposure scores. The present study builds on the LCD by examining the relationship between these scores and financial performance. With this aim, we analyze 3920 socially responsible mutual funds from across the world.Results show differences in financial performance according to scores and investment areas. We find evidence that funds considered to have higher levels of sustainability achieved better performance than funds with higher exposure to companies involved in carbon and fossil fuel industries. We provide insights on the informativeness of these new scores with a focus on climate change and their relevance in helping investors to identify climate-aware funds. This study highlights the importance of introducing strategies to develop green finance; the analysis confirms that sustainability improves performance. Finally, the LCD indicator is shown to be relevant for making fairer comparisons among socially responsible funds and, ultimately, for developing low-carbon economies.

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Section: Introductionmentioning

confidence: 99%

Looking for sustainable development: Socially responsible mutual funds and the low‐carbon economy

et al. 2020

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“…Likewise, Nakai et al [50] advocate that SRI funds hold up stronger the ruin of the Lehman Brothers than conventional funds. On the contrary, Matallín-Sáez et al [51] noticed overall poorer performances of funds with high socially responsible attributes.…”

Section: Literature Reviewmentioning

confidence: 95%

A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings

et al. 2019

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This paper explores the sensitivity of Romanian collective investment undertakings’ returns to changes in equity, fixed income and foreign exchange market returns. We use a sample of 80 open-end investment funds and pension funds with daily returns between 2016 and 2018. Our methodology consists of measuring changes in the daily conditional volatility for the fund returns (EGARCH) and changes in their conditional correlation with selected market risk factors (DCC MV-GARCH) throughout different volatility regimes identified using a Markov Regime Switching model. We argue that, on average, the level of conditional correlations between funds and market risk factors remained stable and unconcerned by the volatility regimes. In addition, for only less than half of the funds in the sample, their volatility regimes were synchronized with those of the selected market risk factors. We found that, on average, fund returns are more correlated with equity returns and less correlated with changes in local bond yields, while not being significantly influenced by changes in foreign bond yields or changes in foreign exchange. During the period investigated equity returns were the most volatile while the funds returns volatility were, on average, much more reduced. Overall, our results show the resilience of the Romanian collective investment sector to the selected market risk factors, during the investigated period.

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“…(2019) presented an account of the influence of trading regulations on performance efficiency. Parida and Teo (2018) concentrated on investigating the impact of portfolio disclosure frequency on fund performance, and Galagedera (2019) and Matallín-Sáez et al. (2019) considered the influence of social responsibility or ethical level on performance.…”

Section: Literature Reviewmentioning

confidence: 99%

Empirical comparison of Shariah-compliant vs conventional mutual fund performance

Rahahleh

Bhatti

2022

IJOEM

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PurposeThis paper investigates the performance of locally focused equity mutual funds (LFEFs) in Saudi Arabia as compared with the performance of benchmark funds. More specifically, the focal question pertains to whether Shariah-compliant mutual funds (SMFs) and conventional mutual funds (CMFs) outperform their respective benchmarks. Undertaken in the context of Saudi Arabia's economic planning under Vision 2030, the study offers a foundation for determining whether and the extent to which Shariah-compliant investment strategies are competitive—a matter of considerable importance across 57 Muslim countries.Design/methodology/approachThe Carhart four-factor model is applied to a sample of 39 Saudi Arabian mutual funds (MFs) using the monthly net asset value (NAV) per share. The sample period, April 2007 to October 2016, is considered in its entirety and as three sub-periods, i.e. low-, medium- and high-volatility.FindingsThe results show that the locally focused equity mutual funds (LFEFs) significantly outperformed their benchmark, i.e. the Tadawul All Share Index (TASI), during the full sample period and the low-volatility period. According to the empirical comparison, the CMFs also outperformed their TASI benchmark for the full sample period and the low-volatility period. However, the SMFs neither outperformed nor underperformed their S&P Saudi Arabia Domestic Shariah Index benchmark. That is, for each of the SMFs included in the sample, the Jensen's alpha was insignificant for both the full sample and all three volatility sub-periods.Research limitations/implicationsIn this paper, the four-factor model is used in the context of a single country. The results, therefore, may not be generalizable to the multi-country level in the Gulf Council Cooperation (GCC) region given differences between the member countries in terms of financial structure and economic focus.Practical implicationsThe results reported constitute a useful guide for policymakers and faith-based-sensitive investors concerned about the Shariah compliancy of their portfolios given that there is very little difference between how CMFs and SMFs performed in the focal period. This research can be extended to include other Islamic countries in the GCC region as a basis for identifying optimal investment vehicles, i.e. those most likely to produce high returns at low risk.Originality/valueThe work reported in this paper is original and constitutes a valuable asset for ethnoreligious-sensitive investors. The research has not been published in any capacity and is not under consideration for publication elsewhere.

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Ethical strategy focus and mutual fund management: Performance and persistence

Cited by 26 publications

References 63 publications

Looking for sustainable development: Socially responsible mutual funds and the low‐carbon economy

Looking for sustainable development: Socially responsible mutual funds and the low‐carbon economy

A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings

Empirical comparison of Shariah-compliant vs conventional mutual fund performance

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