@article {Kurtz101, author = {Lloyd Kurtz and Dan diBartolomeo}, title = {The KLD Catholic Values 400 Index}, volume = {14}, number = {3}, pages = {101--104}, year = {2005}, doi = {10.3905/joi.2005.580556}, publisher = {Institutional Investor Journals Umbrella}, 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{\textquoteright}s 1998 inception have been virtually identical to those of the S\&P 500, however. A multifactor attribution analysis shows that the CV 400{\textquoteright}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.}, issn = {1068-0896}, URL = {https://joi.pm-research.com/content/14/3/101}, eprint = {https://joi.pm-research.com/content/14/3/101.full.pdf}, journal = {The Journal of Investing} }