Catholic Investing

Abstract

The author evaluates the value and returns of five different portfolios constructed on the basis of Catholic religious beliefs for the five-year period 1991–1995. The screened portfolios perform no worse on a risk-adjusted basis than the benchmark unscreened portfolio, although the „sin” portfolio—constructed of the divested stocks—performs exceptionally well. Multivariate regression analysis identifies military, community, and diversity screens as significant factors. While isolation of a few offensive companies might result in abnormal returns as demonstrated in the sin portfolio, exclusion of such industries should not significantly alter the returns of a diversified risk-adjusted portfolio.