The Performance of Socially Responsible Investment and Sustainable Development in France: An Update after the Financial Crisis

EDHEC-Risk Institute Finds No New Evidence that SRI Funds Create Financial Value.

Author(s) :

Véronique Le Sourd

In 2008, EDHEC-Risk Institute analysed the performance of a sample of SRI funds distributed in France, covering a six year-period from January 2002 to December 2007. This study concluded that none of the funds in the sample produced both positive and statistically significant alpha.

In a new position paper entitled The Performance of Socially Responsible Investment and Sustainable Development in France: an Update after the Financial Crisis, EDHEC-Risk Institute again finds that a majority of the funds studied over long or short periods produce negative but non-significant alpha.

To highlight the period of the financial crisis, the new study examines SRI funds over both a fairly long period, with eight years of data, ending in December 2009, and a shorter period of three years, including data from January 2007 to December 2009.

Including the period of the financial crisis increases the extreme risks borne by SRI funds considerably; it is clear that, on average, these funds provide no protection from market downturns.

Regarding SRI investments more globally, the three main comments are the following:

  • The study confirms EDHEC-Risk Institute's previous results on SRI as presented in the 2008 position paper. At this stage it has not been shown that the SRI approach on its own creates value in the financial sense of the term.
  • This does not mean that extra-financial criteria should not be taken into account, but they cannot be the only foundation for sound portfolio management.
  • EDHEC recommends that SRI be integrated in a more global process whereby the results of fifty years of quantitative research in finance are not abandoned in favour of a solely qualitative approach. As such, an approach that combines stock picking with SRI criteria and a well-diversified portfolio construction methodology can be an alternative to pure SRI, which is often practised with relative risk constraints linked to poorly diversified and inefficient cap-weighted indices.
The performance of SRI...
(-1.00 B)
Type : Position paper
Date : le 13/09/2013
Extra information :

For more information, please contact Joanne Finlay, EDHEC Research and Development Department [ ]

The contents of this paper do not necessarily reflect the opinions of EDHEC Business School.

Research Cluster : Finance

See Also

[Insider View] Student Experience - Discovering Berlin entrepreneurial ecosystem
- 15-03-2018
Floriane de Malestroit (third on the right), EDHEC MSc in Entrepreneurship &...
- 14-03-2018
Joëlle Vanhamme, Professor of Marketing at EDHEC Business School, has been a member of...
- 09-03-2018
The MSc in Data Analytics & Digital Business programme is proud to announce its partnership with Ecole 42. Co-founded by Xavier Niel, Ecole 42 is a novel and disruptive...
EDHEC Global MBA ranked 40th best MBA for women by the Financial Times
- 07-03-2018
This result reflects EDHEC’s enduring determination to support women in their career...