A Study of Ethical Mutual Fund Performance

• Main Authors: Ya-Mei Huang, 黃雅梅
• Other Authors: Hong, Sheue-Ching
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/77649067585105648927

碩士 === 淡江大學 === 會計學系碩士在職專班 === 96 === The importance of global warming and climate change issues are gradually acknowledged. The global resources and agricultural products are affected accordingly. Some enterprises have begun to carry out an environmental protection policy and are willing to undertake certain degree of social responsibility. The US and UK have started to issue ethical mutual funds (also known as social responsibility investment) which invest those firms with social responsibility, and the funds’ investment strategy takes into consideration of environmental protection, social equity, and enterprise ethics. Using the database of 105 ethical mutual funds and 654 conventional mutual funds fromthe US,UK and Japan, we employed the single factor model of Capital Asset Pricing Model to measure the performance and persistence comparisons between the ethical and conventional mutual funds from the periods of 2004 to 2007. Our empirical results are summarized as follows： (i) In the US.UK and Japan, the average management fee of ethical mutual funds is higher than conventional mutual funds, however, the average duration and fund size of ethical mutual funds are less than conventional mutual funds. (ii) In the US.UK and Japan, we find no statistically significant difference in performance between ethical mutual funds and conventional mutual funds. (iii) The performances of the ethical mutual funds are persistent in UK and US from 2004 to 2007, except for Japan. (iv) The conventional equity indices are more powerful in explaining ethical mutual funds return variation compared to ethical equity indices in US and Japan Our empirical results show that the average management fee ratio of ethical mutual fund is higher than conventional mutual funds. The duration of conventional mutual fund is longer than ethical mutual funds and the fund size is higher than ethical mutual funds. Maybe because ethical mutual fund is a new product and undergoes a catching up phase; fund managers need to screen the portfolio to investment of the ethical funds with enterprise''s community responsibility, so there are direct relationship between management fee ratios and mutual fund types. However, the performance of ethical fund and conventional fund is very similar.