Measuring The Performance Of Ethical Mutual Funds: A DEA Approach

Basso, Antonella; Funari, Stefania

doi:10.2139/ssrn.300521

Cited by 36 publications

(43 citation statements)

References 16 publications

(12 reference statements)

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“…According to Brandouy et al (2012), this growing literature can be classified in the following categories: (i) models directly transposed from production theory; (ii) models combining traditional performance measures such as those referred to above with additional dimensions; (iii) models directly transposed from portfolio theory; (iv) hedonic price models. In the particular case of ethical funds, the number of contributions is much lower, basically including Basso and Funari (2003). In the case of Islamic funds, as far as we know there is no empirical evidence of these methods yet, although in the case of Islamic banking several research papers have considered these methods.…”

Section: Methodsmentioning

confidence: 99%

Do ethics imply persistence? The case of Islamic and socially responsible funds

Abdelsalam

Duygun

Matallín‐Sáez

et al. 2014

Journal of Banking & Finance

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Citation for published item:edelslmD yF nd huygunD hF nd wtll¡ %nE¡ ezD tFgF nd ortosEeusinD iF @PHIRA 9ho ethis imply persistenec he se of sslmi nd soilly responsile fundsF9D tournl of nking (nneFD RH F ppF IVPEIWRF Further information on publisher's website: Use policyThe full-text may be used and/or reproduced, and given to third parties in any format or medium, without prior permission or charge, for personal research or study, educational, or not-for-prot purposes provided that:• a full bibliographic reference is made to the original source • a link is made to the metadata record in DRO • the full-text is not changed in any way The full-text must not be sold in any format or medium without the formal permission of the copyright holders.Please consult the full DRO policy for further details. Meryem DuygunUniversity of Leicester Juan Carlos MatallínUniversitat Jaume I Emili Tortosa-AusinaUniversitat Jaume I and Ivie January 16, 2014 AbstractWe analyse the performance persistence of Islamic and Socially Responsible Investment (SRI) mutual funds. We adopt a multi-stage strategy in which, in the first stage, partial frontiers' approaches are considered to measure the performance of the different funds in the sample. In the second stage, the results yielded by the partial frontiers are plugged into different investment strategies based on a recursive estimation methodology whose persistence performance is evaluated in the third stage of the analysis. Results indicate that, for both types of funds, performance persistence actually exists, but only for the worst and, most notably, best funds. This result is robust not only across methods (and different choices of tuning parameters within each method) but also across both SRI and Islamic fundsalthough in the case of the latter persistence was stronger for the best funds. The persistence of SRI and Islamic funds represents an important result for investors and the market, since it provides information on both which funds to invest in and which funds to avoid. Last but not least, the use of the aforementioned techniques in the context of mutual funds could also be of interest for the non-conclusive literature.

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Section: Methodsmentioning

confidence: 99%

Do ethics imply persistence? The case of Islamic and socially responsible funds

Abdelsalam

Duygun

Matallín‐Sáez

et al. 2014

Journal of Banking & Finance

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“…Actually, the market of socially responsible investment funds has seen a marked increase in the last decade both in the US and in Europe, while the traditional indicators used to evaluate the performance of mutual funds do not allow to take account of non financial aspects, such as the ethical level of mutual funds. Along this line, Basso and Funari (2003) presents some DEA models specifically designed to evaluate the performance of SRI funds, which explicitly consider the ethical level of the mutual funds among the outputs.…”

Section: Introductionmentioning

confidence: 99%

“…In addition to the final value of the investment, when we analyze the performance of SRI funds we introduce among the outputs also a measure of the ethical level of the funds, as suggested by Basso and Funari (2003), and we present a method to evaluate the degree of social responsibility by taking the main ethical features into account.…”

Section: Introductionmentioning

confidence: 99%

Constant and variable returns to scale DEA models for socially responsible investment funds

Basso

Funari

2014

European Journal of Operational Research

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In order to evaluate the performance of socially responsible investment (SRI) funds, we propose some models which use data envelopment analysis and can be computed in all phases of the business cycle. These models focus on the most crucial elements of an investment in mutual funds. In the literature both constant and variable returns to scale DEA models have been used to evaluate the performance of mutual funds. An empirical investigation carried out on European SRI equity funds indicates that for the funds analyzed the returns to scale are constant. Another aspect taken into account by the empirical investigation is the measurement of the degree of social responsibility of SRI equity funds in the various European countries. In addition, we have analyzed the performance of the funds considered with the different DEA models proposed, which differ in the way the ethical objective is taken into account. Moreover, the paper focuses on another crucial issue regarding socially responsible investing: the comparison of the performances between SRI and non SRI funds; the empirical study suggests that the ethical objective can be pursued without having to renounce financial rewards.

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“…Basso and Funari (2001) measure the efficiency of 47 mutual funds between 1997 and 1999. Other applications of DEA to measure mutual fund performance include Morey and Morey (1999), Basso and Funari (2003), Lozano and Gutierrez (2008) and Lamb and Tee (2012). Some recent papers also apply DEA to evaluate hedge fund performance (e.g.…”

Section: A C C E P T E D Mmentioning

confidence: 99%