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The ethical constraints forced on an investment fund satisfy the fulfilment of humanitarian aims but may lower the investment profitability. Hence, when we measure the performance of ethical mutual funds we cannot disregard the ethical component.In this contribution we propose a performance indicator which considers the expected return, the investment risk, the ethical component and the subscription and redemption costs together. The performance measure proposed is obtained using a DEA approach, which allows to measure the relative efficiency of decision making units in presence of a multiple input-multiple output structure.The DEA performance indicator for ethical funds can be computed with different models, according to the nature of the ethical indicator which characterizes the socially responsible funds. In particular, a DEA model with exogenously fixed output variables and a categorical variable model seem appropriate.

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This Working Paper is published under the auspices of the Department of Applied Mathematics of the Ca' Foscari University of Venice. Opinions expressed herein are those of the authors and not those of the Department. The Working Paper series is designed to divulge preliminary or incomplete work, circulated to favour discussion and comments. Citation of this paper should consider its provisional nature.