CFA Institute Event
Socially responsible (SR) screening contributes to the variability of SR mutual fund performance, together with asset allocation decisions and active management. This contribution is, on average, between 4% and 10%, roughly two times lower than the contribution made by active portfolio choices.
In the article, "Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance?", Marie Brière proposes a new decomposition of the variability of SR mutual fund returns that isolates the contribution of SR screening, allowing it to be compared with other, traditional sources of performance.
Marie Brière is Head of Investor Research Center at AMUNDI (Asset Management of Crédit Agricole and Société Générale) in Paris. She is also an affiliate professor with Paris Dauphine University and an associate researcher at the Centre Emile Bernheim at Solvay Business School, Université Libre de Bruxelles. She started her career in 1998 as a quantitative researcher at the proprietary trading desk at BNP Paribas. She joined Credit Lyonnais Asset Management in 2002 as a fixed income strategist, then a head of fixed income, Forex and Volatility Strategy, at Credit Agricole Asset Management. Since 2010, she has been leading and conducting research on long-term asset allocation and risk management with the goal of advising investors on strategic decisions. She has written numerous articles published in academic journals and is managing editor of the academic journal Bankers Markets and Investors. She holds a PhD in Economics from the University Paris X and graduated from ENSAE.