Performance and performance persistence of 'ethical' unit trusts in the UK

We examine performance, and persistence in the performance, of UK ` ethical' or SRI funds and find that performance appears to be time- varying, showing that conclusions on performance itself are influenced by whether a static or time varying model is employed. Given evidence that many UK funds which claim to be international in nature may exhibit home bias in their portfolio allocations, we also propose a new measure for performance of international funds that allows for this and show that such recognition has important implications for the conclusions drawn with respect to these funds. We find evidence that supports persistence in performance, particularly at longer time horizons. There is some evidence that for domestic funds, past ` winning' SRI funds outperform ` losing' SRI funds to a greater extent than their control portfolio counterparts.