The KLD Catholic Values 400 Index

Abstract

We review the risk profile and performance of the KLD Catholic Values 400 Index (CV 400). This index differs from the S&P 500 in important ways: it has a higher beta, lower average market capitalization, and higher valuation ratios. Returns since the CV 400's 1998 inception have been virtually identical to those of the S&P 500, however. A multifactor attribution analysis shows that the CV 400's performance has been positively impacted by its higher beta and industry weightings, and negatively impacted by fundamental factors such as price/book ratio and market capitalization. Although the CV 400 does not exclude manufacturers of contraceptives, the elimination of the largest U.S. firm involved in contraception (Johnson & Johnson) does not change our findings. Further analysis of stocks excluded from the index shows that their performance was not statistically different from the benchmark.