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Modelling social responsibility in mutual fund performance appraisal: A two-stage data envelopment analysis model with non-discretionary first stage output

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  • Galagedera, Don U.A.

Abstract

The aim of this study is to assess mutual fund (MF) performance in a multi-dimensional framework with ethical level as one of its performance measures. MF overall management process is conceptualised as a serially linked two-stage process with operational management and portfolio management as the first and second stage processes. Recognising that corporate policy on ethical issues may reflect medium- to long-term commitment and may guide MF portfolio construction, ethical level is modelled as a non-discretionary output at the operational management stage. Under this performance appraisal framework, network data envelopment analysis (DEA) output-oriented models are formulated to compute overall and stage-level performance. A DEA model to determine frontier projection of inefficient MFs is also developed. Application of the proposed DEA models is demonstrated using a sample of large U.S. equity MFs as a case study.

Suggested Citation

  • Galagedera, Don U.A., 2019. "Modelling social responsibility in mutual fund performance appraisal: A two-stage data envelopment analysis model with non-discretionary first stage output," European Journal of Operational Research, Elsevier, vol. 273(1), pages 376-389.
    • Handle: RePEc:eee:ejores:v:273:y:2019:i:1:p:376-389
    DOI: 10.1016/j.ejor.2018.08.011
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    7. Armenia Androniceanu, 2019. "Social Responsibility, an Essential Strategic Option for a Sustainable Development in the Field of Bio-Economy," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 21(52), pages 503-503, August.
    8. Ioannis E. Tsolas, 2020. "Precious Metal Mutual Fund Performance Evaluation: A Series Two-Stage DEA Modeling Approach," JRFM, MDPI, vol. 13(5), pages 1-13, April.
    9. Ioannis E. Tsolas, 2020. "The Determinants of the Performance of Precious Metal Mutual Funds," JRFM, MDPI, vol. 13(11), pages 1-10, November.
    10. Panos Xidonas & Eric Essner, 2024. "On ESG Portfolio Construction: A Multi-Objective Optimization Approach," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 21-45, January.
    11. Fadillah Mansor & M. Ishaq Bhatti & Shafiqur Rahman & Hung Quang Do, 2020. "The Investment Performance of Ethical Equity Funds in Malaysia," JRFM, MDPI, vol. 13(9), pages 1-14, September.

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