Journal of Risk

A fuzzy data envelopment analysis model for evaluating the efficiency of socially responsible and conventional mutual funds

I. Baeza-Sampere, V. Coll-Serrano, B. M’Zali and P. Méndez-Rodríguez

  • A fuzzy DEA model for mutual funds' performance evaluation in a more realistic way.
  • Incorporation of non-financial criteria allowing more realistic evaluation.
  • The expert knowledge is considered together with the historical information.
  • Chein and Klein index is used to classify mutual funds' efficiency score.


Although several data envelopment analysis (DEA) models have been proposed in the literature for mutual funds' performance evaluation, few of them incorporate nonfinancial criteria. In this paper a fuzzy DEA model is used, allowing mutual funds relative performance evaluation in a more realistic and flexible way. We examine the efficiency of forty US large cap equity mutual funds based not only on financial variables but also on nonfinancial ones. To achieve this aim, we extend Basso and Funari's mutual funds' ethical level proposing a more reliable fuzzy measure of the social environmental responsibility degree of equity mutual funds. It relies on the corporate social performance of the companies invested in by the mutual funds and on the quality of the management in terms of the transparency and credibility degree of the nonfinancial information provided by the mutual funds. We can conclude that socially responsible mutual funds show better behavior in terms of efficiency than conventional funds.

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