Response of the Shepherd to the Shepherdess

Response of the Shepherd to the Shepherdess. The Edhec Risk and Asset Management Research Centre did not like the comments of Altedia Investment Consulting on his study "The performance of socially responsible investment in France", published in April. In fact today consultant fees, in a new study of the Edhec published detailed reply and "Les echos" unveils the findings.

Back on the controversy. The dispute between the two offices of research dates back to last spring. Edhec had then evaluated the performance of the French Fund for the ISR over a period of six years and showed that the selection of titles to character ISR was not likely in itself to generate a surplus of performance, i.e. the alpha.

The same month, Altedia produced a study on the same theme which the conclusion was to the contrary rather positive: ISR funding often beat their benchmarks. A more widespread idea in the market. The findings could remain simply divergent, but comments of Benoît Magnier, co-Chair of Altedia on the specialized site Newsmanagers (Group Agefi) were displeased the Edhec experts: "We believe that our study, which covers 139 International Fund, is representative of a more comprehensive approach to that of the Edhec, on the euro area, which takes into account 28 funds distributed in France."

"A minimum of method."

The research centre took the time to respond. And the message is violent. "When talking about performance relative to a reference, must meet a minimum of method and dispose of sufficient data, advises Noël Amenc, Director of the Edhec Risk & Asset Management Research Centre.". Explore a sample less than three years is not serious.

To silence criticism on close the sample size, the Office of analysis has integrated his initial study a group of funds invested in international assets to 62 available to French investors funds existing on the period from January 2002 to December 2007. "Few funds get a significant alpha and the rare alphas are significant are negative," explain the authors. To meet sorry to only selecting the Fund with a six-year history, the Edhec compared the performance of the Fund according to their age on the recent period. It is apparent that younger displayed a higher alpha... on average than the former. But only some of them show a better performance. The area of investment also influences the results. "World class differs widely from category France zone euro Europe", observed the Edhec.

"In the anything."

The latter does not stop there and focuses on the study of its opponent Altedia. "Reservations may be issued on the methodology used in the Altedia study to assess the performance of the funds Sri." The study provides no details on the selection and the definition of the reference, or the method used to calculate the excess performance. "In this demonstration, Altedia is not the only aim. "It seems to us damage in the absence of empirical evidence to conclude that this outperformance, management companies and consultants have developed a communication about a promise of outperformance for the ISR, without the necessary reserves", notes the study.

"If some are seeking to sell the ISR too fast, they will kill him." It is absurd. There are very good reasons to invest in this global long-term issue without added reasons for short term. Thus sell with bad arguments is a slump. "The case of Altedia is emblematic of the anything," complete Noël Amenc. The debate is open.