Modelling social responsibility in mutual fund performance appraisal: A two-stage data envelopment analysis model with non-discretionary first stage output

Don Galagedera

European Journal of Operational Research, 2019, vol. 273, issue 1, 376-389

Abstract: The aim of this study is to assess mutual fund (MF) performance in a multi-dimensional framework with ethical level as one of its performance measures. MF overall management process is conceptualised as a serially linked two-stage process with operational management and portfolio management as the first and second stage processes. Recognising that corporate policy on ethical issues may reflect medium- to long-term commitment and may guide MF portfolio construction, ethical level is modelled as a non-discretionary output at the operational management stage. Under this performance appraisal framework, network data envelopment analysis (DEA) output-oriented models are formulated to compute overall and stage-level performance. A DEA model to determine frontier projection of inefficient MFs is also developed. Application of the proposed DEA models is demonstrated using a sample of large U.S. equity MFs as a case study.

Keywords: Data envelopment analysis; Socially responsible investing; Performance appraisal; Mutual fund performance (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:273:y:2019:i:1:p:376-389

DOI: 10.1016/j.ejor.2018.08.011

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