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Primary Article

The KLD Catholic Values 400 Index

Lloyd Kurtz and Dan diBartolomeo
The Journal of Investing Fall 2005, 14 (3) 101-104; DOI: https://doi.org/10.3905/joi.2005.580556
Lloyd Kurtz
A senior portfolio manager at Nelson Capital Management, a subsidiary of Wells Fargo Corporation in Palo Alto, CA.
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  • For correspondence: kurtzls@nelsoncapital.com
Dan diBartolomeo
The founder and president of Northfield Information Services, Inc.,based in Boston.
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  • For correspondence: dan@northinfo.com
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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.

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The Journal of Investing
Vol. 14, Issue 3
Fall 2005
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The KLD Catholic Values 400 Index
Lloyd Kurtz, Dan diBartolomeo
The Journal of Investing Aug 2005, 14 (3) 101-104; DOI: 10.3905/joi.2005.580556

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The KLD Catholic Values 400 Index
Lloyd Kurtz, Dan diBartolomeo
The Journal of Investing Aug 2005, 14 (3) 101-104; DOI: 10.3905/joi.2005.580556
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