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