The KLD Catholic Values 400 Index
The KLD Catholic Values 400 Index
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KLD 天主教价值观 400 指数
DOI：
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发表时间：
2005
期刊：
影响因子：
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通讯作者：
D. Dibartolomeo
中科院分区：
文献类型：
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作者：
L. Kurtz;D. Dibartolomeo
我们回顾了 KLD Catholic Values 400 指数 (CV 400) 的风险状况和表现。该指数与标准普尔 500 指数有重要区别：它具有更高的贝塔系数、更低的平均市值和更高的估值比率。然而，自 CV 400 指数 1998 年推出以来，其回报率实际上与 S&P 500 指数相同。多因素归因分析显示，CV 400 的表现受到较高贝塔值和行业权重的积极影响，但受到市净率和市值等基本面因素的负面影响。尽管 CV 400 不排除避孕药具制造商，但排除美国最大的避孕药具公司（强生公司）并没有改变我们的调查结果。对排除在指数之外的股票的进一步分析表明，它们的表现与基准没有统计差异。
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.