Performance and Performance Persistence of ‘Ethical’ Unit Trusts in the UK

Authors

  • Alan Gregory,

    1. The authors are respectively from the Centre for Finance and Investment (Xfi) and the Department of Management at the School of Business and Economics, University of Exeter. They would like to thank colleagues and seminar participants at the University of Exeter for their comments on an earlier version of this paper, Richard Harris and Ian Tonks for helpful suggestions on test statistics, and Maria Michou for her assistance with updating the Fama French and Momentum factors used in this paper and for the Datastream information on dead unit trust returns. They would also like to thank the editor, Peter Pope, and an anonymous referee for comments on an earlier draft. The usual caveats with respect to errors and omissions apply.
    Search for more papers by this author
  • Julie Whittaker

    Corresponding author
    1. The authors are respectively from the Centre for Finance and Investment (Xfi) and the Department of Management at the School of Business and Economics, University of Exeter. They would like to thank colleagues and seminar participants at the University of Exeter for their comments on an earlier version of this paper, Richard Harris and Ian Tonks for helpful suggestions on test statistics, and Maria Michou for her assistance with updating the Fama French and Momentum factors used in this paper and for the Datastream information on dead unit trust returns. They would also like to thank the editor, Peter Pope, and an anonymous referee for comments on an earlier draft. The usual caveats with respect to errors and omissions apply.
    Search for more papers by this author

* Address for correspondence: Alan Gregory, Centre for Finance and Investment (Xfi), School of Business and Economics, University of Exeter. e-mail: a.gregory@ex.ac.uk

Abstract

Abstract:  We examine performance, and persistence in the performance, of UK ‘ethical’ or SRI funds and find that performance appears to be time-varying, showing that conclusions on performance itself are influenced by whether a static or time varying model is employed. Given evidence that many UK funds which claim to be international in nature may exhibit home bias in their portfolio allocations, we also propose a new measure for performance of international funds that allows for this and show that such recognition has important implications for the conclusions drawn with respect to these funds. We find evidence that supports persistence in performance, particularly at longer time horizons. There is some evidence that for domestic funds, past ‘winning’ SRI funds outperform ‘losing’ SRI funds to a greater extent than their control portfolio counterparts.

Ancillary