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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)

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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://129.3.20.41/eps/ge/papers/0511/0511001.pdf
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Publisher 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
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Handle: RePEc:wpa:wuwpge:0511001

Note: Type of Document - pdf; pages: 17
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Web page: http://129.3.20.41

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

Find related papers by JEL classification:
C6 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming
D5 - Microeconomics - - General Equilibrium and Disequilibrium
D9 - Microeconomics - - Intertemporal Choice and Growth

This paper has been announced in the following NEP Reports:

References listed on IDEAS
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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. [Downloadable!] (restricted)
  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. [Downloadable!]
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This page was last updated on 2009-10-29.

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