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Performance evaluation of ethical mutual funds in slump periods

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Author Info

  • Antonella Basso

    (Dipartimento di Matematica Applicata Università Ca' Foscari Venezia)

  • Stefania Funari

    (Dipartimento di Matematica Applicata Università Ca' Foscari Venezia)

Abstract

In this paper we tackle the problem of the presence of negative average rate of returns in the computation of the performance of ethical mutual funds. The presence of these negative values raises problems both in the computation of the classical performance indicators and in DEA modeling. In this paper we propose a suitably adjusted DEA model which allows the presence of non negative outputs. The model is applied to data on the UK market of ethical mutual funds.

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File URL: http://128.118.178.162/eps/ge/papers/0511/0511001.pdf
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Bibliographic Info

Paper provided by EconWPA in its series GE, Growth, Math methods with number 0511001.

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Length: 17 pages
Date of creation: 04 Nov 2005
Date of revision:
Handle: RePEc:wpa:wuwpge:0511001

Note: Type of Document - pdf; pages: 17
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Web page: http://128.118.178.162

Related research

Keywords: Performance evaluation; ethical mutual funds; data envelopment analysis;

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References

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  1. Basso, Antonella & Funari, Stefania, 2001. "A data envelopment analysis approach to measure the mutual fund performance," European Journal of Operational Research, Elsevier, vol. 135(3), pages 477-492, December.
  2. Ang, James S. & Chua, Jess H., 1979. "Composite Measures for the Evaluation of Investment Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(02), pages 361-384, June.
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Cited by:
  1. Amporn SOONGSWANG & Yosawee SANOHDONTREE, 2011. "Equity Mutual Fund: Performances, Persistence and Fund Rankings," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, vol. 1(6), pages 27, October.

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