We investigate the performance of US socially responsible funds that employ different stock selection criteria: religious, social and ‘irresponsible' criteria. Performance is evaluated over different market regimes using a Markov-switching conditional CAPM model that defines different states...

This paper investigates the impact of using different risk-adjusted measures of performance on the evaluation of UK investment trusts. Significant negative skewness is probably the most important empirical property of the time series of returns under analysis. Performance results based on the...

This paper reports an investigation into methods of portfolio performance measurement. The work is motivated first by equivocal empirical evidence reported by several authors about the correlation of performance measures with the Sharpe ratio. Secondly it is motivated by recent work which...

We show that subject to regularity conditions, for a given location-scale distribution all performance measures which are increasing functions of reward and decreasing functions of risk are monotonically increasing functions of the Sharpe ratio. For large sample sizes, the correlation between...

This paper investigates the style and performance of US and European global socially responsible funds. Several specifications of the return generating process are applied as well as their corresponding conditional versions. Most European global socially responsible funds do not show significant...