DEA models for ethical and non ethical mutual funds with negative data

This paper tackles the problem of the presence of negative average rates of returns in the evaluation of the performance of mutual funds using a DEA approach. We present some extensions of DEA models for the evaluation of the performance of mutual funds that enable to compute the performance measure also in the presence of negative rates of returns. These extensions regard a model that can be used for investments in mutual funds which have profitability as main objective and two models specifically formulated for ethical mutual funds that include also the ethical objective among the outputs and differ in the way the ethical goal is pursued by investors. The models proposed are applied to the European market of ethical mutual funds. In order to do so, a measure of the ethical level which takes into account the main socially responsible features of each fund is built.