Groupe d’études et de recherche en analyse des décisions


Luck Versus Skill in the Cross-Section of Ethical Mutual Funds

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The risk-adjusted selection and timing performance (alphas and gammas) of a comprehensive and survivorship-free sample of Canadian equity SRI funds after (before) management-related costs is negative (positive) and is sensitive to the choice of the return-generating process. It is not statistically different from that of non-SRI funds. Examination of funds in the tails of the performance distribution using the block-bootstrap method suggests that "bad luck" causes the underperformance of extreme left-tail funds and almost no fund possesses truly superior management and timing skills.

, 30 pages