Measuring the Performance of Ethical Mutual Funds: A DEA Approach

20 Pages Posted: 23 Feb 2002

See all articles by Antonella Basso

Antonella Basso

Ca Foscari University of Venice - Dipartimento di Economia

Stefania Funari

Ca Foscari University of Venice - Department of Management

Date Written: January 2002

Abstract

The ethical constraints forced on an investment fund satisfy the fulfilment 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 which 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 to measure the relative efficiency of decision making units in 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 which characterizes the socially responsible funds. In particular, a DEA model with exogenously fixed output variables and a categorical variable model seem appropriate.

Keywords: Finance, Data envelopment analysis, Mutual fund performance indexes, Ethical funds

JEL Classification: G11

Suggested Citation

Basso, Antonella and Funari, Stefania, Measuring the Performance of Ethical Mutual Funds: A DEA Approach (January 2002). Available at SSRN: https://ssrn.com/abstract=300521 or http://dx.doi.org/10.2139/ssrn.300521

Antonella Basso (Contact Author)

Ca Foscari University of Venice - Dipartimento di Economia ( email )

Cannaregio 873
Venice, 30121
Italy
+39-041-2346914 (Phone)

HOME PAGE: http://www.unive.it/nqcontent.cfm?a_id=82251&pid=5591751

Stefania Funari

Ca Foscari University of Venice - Department of Management ( email )

San Giobbe, Cannaregio 873
Venice, 30121
Italy

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