Style and performance of international socially responsible funds in Europe

This paper analyses the performance and investment styles of internationally oriented Socially Responsible Investment (SRI)funds, domiciled in eight European markets, in comparison with characteristics-matched conventional funds. To the best of our knowledge, this is the first multi-country study, focused on international SRI funds (investing in Global and in European equities), to combine the matched-pairs approach with the use of robust conditional multi-factor performance evaluation models, which allow for both time-varying alphas and betas and also control for home biases and spurious regression biases.In general, the results show that differences in the performance of international SRI funds and their conventional peers are not statistically significant. Regarding investment styles, SRI and conventional funds exhibit similar factor exposures in most cases. In addition,conventional benchmarks present a higher explaining power of SRI fund returns than SRI benchmarks. Our results also show significant differences in the investment styles of SRI funds according to whether they use “best-in-class” screening strategies or not. When compared to SRI funds that employ simple negative and/or positive screens, SRI “best-in-class” funds present significantly lower exposures to small caps and momentum strategies and significantly higher exposures to local stocks.

On universal central extensions of Hom-Leibniz algebras

In the category of Hom-Leibniz algebras we introduce the notion of Hom-corepresentation as adequate coefficients to construct the chain complex from which we compute the Leibniz homology of Hom-Leibniz algebras. We study universal central extensions of Hom-Leibniz algebras and generalize some classical results, nevertheless it is necessary to introduce new notions of α-central extension, universal α-central extension and α-perfect Hom-Leibniz algebra due to the fact that the composition of two central extensions of Hom-Leibniz algebras is not central. We also provide the recognition criteria for these kind of universal central extensions. We prove that an α-perfect Hom-Lie algebra admits a universal α-central extension in the categories of Hom-Lie and Hom-Leibniz algebras and we obtain the relationships between both of them. In case α = Id we recover the corresponding results on universal central extensions of Leibniz algebras.