PT  - JOURNAL ARTICLE
AU  - Lloyd Kurtz
AU  - Dan diBartolomeo
TI  - The KLD Catholic Values 400 Index
AID  - 10.3905/joi.2005.580556
DP  - 2005 Aug 31
TA  - The Journal of Investing
PG  - 101--104
VI  - 14
IP  - 3
4099  - https://pm-research.com/content/14/3/101.short
4100  - https://pm-research.com/content/14/3/101.full
AB  - 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.