Our problem - see our previous articles on this subject - has led to questions about a possible shortfall by investing in socially responsible. It is also the question raised by a study of Adrienne Pages: "Performance of Socially Responsible Investments: Issues and measures."

The author points out that any investor seeks to generate returns on its investment. The model most commonly used is the CAPM (model of asset pricing, CAPM, in French). This model explains that the goal of any investor is to maximize profitability while minimizing risk (represented by the variance of the portfolio). This is possible through diversification both geographically and sectorally. Therefore, the profitability could be adversely affected

The calculation of performance, as we have seen in various articles is done in several ways:

By a simple geometric mean of all returns (payable monthly) by the Sharpe ratio, the ratio of Jensen. The advantage of these methods is that they are simple to implement, so what are those were selected in this study.

The following study therefore focuses on a sample of 30 funds which will be French to measure performance.

The site lists Novethic all socially responsible companies. A. Pages selected 30 funds among the 120 French on this site. The performance of these 30 funds are compared with those of 30 funds called "traditional". Each of SRI funds has been compared to a traditional fund with the same management company between January 2003 and March 2006.

After his calculations, the author finds that portfolio performance has SRI performance of 14.76% against 15.47% for the traditional funds. The cost is slightly lower (-0.72 points). However, it is possible to note that the Sharpe ratios of 2 portfolios are almost similar because the volatility of the portfolio is less importante.Pour SRI Finally, a hypothesis test was performed: Ho isr = R - R conv = 0 .

The value of the test done and after reviewing the Student table, we can note that the hypothesis Ho can not be rejected. Therefore, this shows that statistically the performance of SRI and traditional investment are no different

Adrienne Pages comes to the conclusion that it can not validate theories that suggest an underperformance of ethical funds. It seems that even when evidence is ethical, they outperform traditional indices over the long term.

Finally she ends by noting that much of financial theory abounds in his direction. Indeed, studies conducted so far are 2 types: empirical studies, like hers, are intended to compare funds with each other and studies using multivariate regression (Fama French model). All these studies conclude that nyy no significant difference and performance of ethical funds is comparable to that of conventional funds.