Stock-picking and style-timing abilities: a comparative analysis of conventional and socially responsible mutual funds in the US market

This paper analyses stock-picking and style-timing abilities through comparative analysis of an extensive sample of conventional and socially responsible (SR) mutual funds in the US market. Our results show that there is a little difference between conventional and SR fund managers, and even less so when we control for the presence of atypical observations. Both types of manager show negative stock-picking skills, correct size and book-to-market style-timing skills, and an absence of ability to time the market as a whole and the momentum style. Other notable findings are that the size of the fund does not affect the style-timing abilities of both conventional and SR mutual fund managers. In terms of the age of the fund, we observe that the results obtained for conventional funds are driven by older funds, while younger funds, both conventional and SR mutual funds, show perverse market-timing skills. Finally, we observe that both conventional and SR mutual fund managers make use of superior information to time the book-to-market style.