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evaluating the performance of ethical and non-ethical strongfundsstrong a.pdf

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evaluating the performance of ethical and non-ethical strongfundsstrong a

Evaluating the Performance of Ethical and Non-Ethical Funds: A Matched Pair Analysis N.Kreander, R.H.Gray, D.M.Power, and C.D.Sinclair N.Kreander is a PhD student at the University of Glasgow. R.H.Gray is Professor of Accounting and Director of The Centre for Social and Environmental Accounting Research (CSEAR) at the University of Glasgow. D.M.Power is the Professor of Finance at the University of Dundee and C.D.Sinclair is a senior lecturer at the University of Dundee, Corresponding author is N.Kreander. Address: N.Kreander, The Department of Accountancy Finance, The University of Glasgow, 65-7 1 Southpark Avenue, Glasgow G12 8LE. Telephone: 0370 367 960 E-mail: 9912327k@student.gla.ac.uk Abstract This paper investigates the comparative financial performance of 80 investment funds from seven European countries, over a recent time period, 1996-1998. Of these funds, 40 select securities according to ethical criteria while the remainder do not. The paper extends the matched pair approach to ethical fund performance developed in previous papers by Mallin, Saadouni and Briston (1995) and Gregory, Matatko and Luther (1997). The matching in this investigation was done by age, country, size and investment universe of the fund. An analysis of the results reveals that no significant difference in financial performance exists between the two groups of funds despite the fact that ethical funds choose securities from a restricted universe of investments. Irrespective of whether the Jensen alpha, the Sharpe ratio or the Treynor measure is employed, the matched pairs perform equally well. However, while there is not a significant difference in returns, there is some evidence that ethical funds are less risky as measured by volatility of returns and fund beta than their non-ethical counterparts. This may indicate that for a risk averse British investor an ethical fund may be more appropriate than a conventional fund which ignores non-financial issues. It also