Relative performance of SRI equity funds: An analysis of European funds using Data Envelopment Analysis
AbstractThe main aims of this contribution are first to analyse the ethical level of European socially responsible investment (SRI) funds, secondly to measure the overall performance of the European SRI mutual funds with an appropriate data envelopment analysis (DEA) model and, finally, to investigate the relationship between the ethical level of mutual funds and their financial performance. In order to do so, we build an ethical measure, based on the main socially responsible features usually taken into account by SRI mutual funds, which evaluate their ethical strategies. In the time period of economic recession considered in the analysis, the triennium June 2006-June 2009, the mean returns of most mutual funds are negative, preventing the usual DEA models from being applied. In order to overcome this difficulty, we apply a special modification of these DEA models which can be used regardless of the phase of business cycle.
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Bibliographic InfoPaper provided by Department of Applied Mathematics, Università Ca' Foscari Venezia in its series Working Papers with number 201.
Length: 30 pages
Date of creation: Sep 2010
Date of revision:
performance evaluation; SRI mutual funds; data envelopment analysis.;
Find related papers by JEL classification:
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
- G1 - Financial Economics - - General Financial Markets
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-16 (All new papers)
- NEP-EFF-2010-10-16 (Efficiency & Productivity)
- NEP-EUR-2010-10-16 (Microeconomic European Issues)
- NEP-FMK-2010-10-16 (Financial Markets)
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