Erroneous Ecumenicism: The folly of faith fund fungibility

This paper examines two often-associated religious beliefs, Roman Catholicism and Protestantism, and whether their respective faith based investment funds systematically differ. We find that Catholic- and Protestant- oriented investment funds exhibit different risk and return characteristics, especially in how they relate to common asset pricing factors. Also, these superficially similar faith foci have become increasingly distinct over time and show only a moderate relationship with Islamic- and Israeli- focused investment indexes. Further, we provide strong evidence of the existence of different, religion-specific asset pricing factors that are strongly (weakly) associated with more similar (dissimilar) religious funds. An extensive examination of the extant literature and these beliefs' underlying theology augment these empirical findings. Together, our findings clearly show that different faith based funds from different faiths exhibit different risk and return characteristics and that these different funds are suitable only to particular investor clienteles. This study concludes by providing implications and recommendations to academics for future research and investment participants regarding best practices; that all should avoid the easy call of investment related erroneous ecumenicism.