• Working Paper
    • EN

Do Social Responsibility Screens Really Matter? A Comparison with Conventional Sources of Performances

Published October 21, 2014

> 10 minutes

> 10 minutes


On average, socially responsible (SR) funds have showed statistically similar performances to traditional funds. Does this mean SR screens make a negligible contribution to fund performance? In this paper, we propose a new decomposition of the variability of mutual fund returns. This allows us to measure the performance contributions of SR screening compared with the other traditional sources: market movement, asset allocation choices and active management. Our results, based on a large sample of equity mutual funds worldwide, show that SR screening does explain the variability in mutual fund performance, alongside asset allocation and active management. However, the sum of these three components accounts only for 30% of total performance. SR screens matter but, like active portfolio choices, they have a limited impact on total equity fund performance, heavily dominated by market movements. 

First version: October 2014
Revised version: January 2017

To find out more, download the full paper

This website is solely for informational purposes.
This website does not constitute an offer to sell, a solicitation of an offer to buy, or a recommendation of any security or any other product or service. Any securities, products, or services referenced may not be registered for sale with the relevant authority in your jurisdiction and may not be regulated or supervised by any governmental or similar authority in your jurisdiction.
Furthermore, nothing in this website is intended to provide tax, legal, or investment advice and nothing in this website should be construed as a recommendation to buy, sell, or hold any investment or security or to engage in any investment strategy or transaction. There is no guarantee that any targeted performance or forecast will be achieved.

Get in touch with us

Our online help service is available to answer your question

My personal information

If you have a question about our company or one of our products, please complete the form to get in touch. Please do not mention your account numbers or critical data in this form.


(*) Required fields
All our job offers (Permanent and temporary position, Internship, Apprenticeship or VIE) are available on our dedicated website: https://jobs.amundi.com.

Register and apply directly online.

Amundi on Twitter