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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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.

Original languageEnglish
Pages (from-to)376-389
Number of pages14
JournalEuropean Journal of Operational Research
Issue number1
Publication statusPublished - 16 Feb 2019


  • Data envelopment analysis
  • Mutual fund performance
  • Performance appraisal
  • Socially responsible investing

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