RT Journal Article
SR Electronic
T1 Catholic Values and Direct Indexing: No Performance Penance Needed
JF The Journal of Beta Investment Strategies
FD Institutional Investor Journals
SP 117
OP 127
DO 10.3905/jbis.2022.1.006
VO 13
IS 2
A1 Rafika Shibly
A1 Andrew Subkoviak
A1 Paul Bouchey
YR 2022
UL https://pm-research.com/content/13/2/117.abstract
AB In this article, we demonstrate that Catholic investors are able to own a market-like portfolio that is well aligned with their faith. We examine the MSCI USA Catholic Values Index and the S&P 500 Catholic Values Index. We show that the performance from 1998 to 2021 was largely in line with the base index, with some outperformance observed in the recent 10-year period. We highlight a direct indexing method for reducing performance variations observed in the standard Catholic values indices. Using less restrictive screens and optimization methods, we create a portfolio with reduced tracking error relative to the target index. We also discuss applications to global markets, taxable investors, and the issue of active ownership.