Typical and Tail Performance of Canadian Equity SRI Mutual Funds

While no evidence for timing ability is identified, selection performance before (after) management-related costs for a comprehensive and survivorship-free sample of Canadian equity SRI funds is significantly positive (insignificant) and not statistically different from that for non-SRI funds. Conditioning and multifactor benchmarking improve selection performance. Based on block-bootstrap tests, luck (and not ability), or the lack thereof, is associated with fund membership in the tails of the cross-sectional selection and timing performance distributions. Accounting for the effects of cross-correlations changes inferences about the interpretation of the significance of traditionally calculated t-values.