Journal of Business Ethics

, Volume 87, Issue 4, pp 573–588 | Cite as

The Performance of European Socially Responsible Funds

  • Maria Ceu CortezEmail author
  • Florinda Silva
  • Nelson Areal


Recent years have witnessed an increasing growth in mutual funds that invest according to social criteria. As a consequence, the financial performance of these portfolios has attracted the interest of academics and practitioners. This paper investigates the performance of a sample of socially responsible mutual funds from seven European countries investing globally and/or in the European market. Using unconditional and conditional models, we assess the performance of these funds in comparison to conventional and socially responsible benchmark portfolios. The results show that European socially responsible funds present in general neutral performance in relation to both conventional and socially responsible benchmarks. However, performance estimates seem to be slightly higher when funds are evaluated in relation to socially responsible indices. Our results also show that socially responsible funds are more exposed to conventional than to socially responsible indices. Furthermore, conventional benchmarks are better able to explain fund returns than socially responsible benchmarks. These findings are robust to both unconditional and conditional models of performance. We also observe that conditional models lead to a slight improvement of performance estimates and to the explanatory power of the models, both when conventional and socially responsible benchmarks are considered. This is consistent with most previous empirical findings on conditional performance evaluation. Our results show that investors who wish to hold European funds can add social screens to their investment choices without compromising financial performance.


fund performance evaluation socially responsible mutual funds socially responsible investing socially responsible indices general market indices 


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The authors wish to thank the financial support of FCT, POCTI and the European Communitarian Fund FEDER. The authors are also grateful for helpful comments from Dean Paxson, Chris Adcock and participants in the Workshop “Socially Responsible Investing and Financial Performance”, as well as participants in the EBEN Research Conference 2007.


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Copyright information

© Springer Science+Business Media B.V. 2008

Authors and Affiliations

  • Maria Ceu Cortez
    • 1
    Email author
  • Florinda Silva
    • 1
  • Nelson Areal
    • 1
  1. 1.University of MinhoBragaPortugal

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