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Measuring the performance of ethical mutual funds: a DEA approach

Antonella Basso and S Funari ()
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S Funari: University of Venice, Dorsoduro 3825/E

Journal of the Operational Research Society, 2003, vol. 54, issue 5, 521-531

Abstract: Abstract The solidarity and social responsibility features that characterize the ethical mutual funds satisfy the fulfillment of humanitarian aims, but may lower the investment profitability. Hence, when we measure the performance of ethical mutual funds, we cannot disregard the ethical component. In this contribution, we propose a performance indicator that considers the expected return, the investment risk, the ethical component and the subscription and redemption costs together. The performance measure proposed is obtained using a data envelopment analysis (DEA) approach, which allows one to measure the relative efficiency of decision-making units in the presence of a multiple input–multiple output structure. The DEA performance indicator for ethical funds can be computed with different models, according to the nature of the ethical indicator that characterizes the socially responsible funds. In particular, a DEA categorical variable model seems appropriate.

Keywords: finance; data envelopment analysis; mutual fund performance indexes; ethical funds (search for similar items in EconPapers)
Date: 2003
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