Indonesian J
ournal of Ele
c
trical Engin
eering and
Computer Sci
e
nce
Vol. 1, No. 2,
February 20
1
6
, pp. 229 ~
237
DOI: 10.115
9
1
/ijeecs.v1.i2.pp22
9-2
3
7
229
Re
cei
v
ed Se
ptem
ber 21, 2015; Revi
se
d De
ce
m
ber
9, 2015; Acce
pted Ja
nua
ry
5, 2016
The Performance of CSR Mutual Funds and Investment
Decisio
n
-Making
Jen-Der Da
y
1
, Thu
y
Mai T
r
inh Ngu
y
en
1,2,
*, Chia Nan Wang
1
, Ge
orge Yungch
i
h Wang
1
1
Departme
n
t of Industrial En
gi
neer
ing a
nd M
ana
geme
n
t,
Natio
nal Ka
ohs
iun
g
Univ
ersit
y
of Applie
d Sci
ences, T
a
i
w
a
n
2
Departme
n
t F
i
nanc
e & Accou
n
ting, Lac H
o
n
g
Univ
ersit
y
,
Buu Lo
ng
w
a
rd
, Bien Hoa cit
y
,
Dong N
a
i, Viet
nam
*Corres
p
o
ndi
n
g
author, e-ma
i
l
: ntmtrinh_tc@
ya
ho
o.com.vn
A
b
st
r
a
ct
Now
aday, Cor
porate Soc
i
al
l
y
Respo
n
sib
l
e
(CSR) mutu
al funds ar
e
beco
m
i
ng a
popu
la
r
invest
m
e
nt option for investor
s. However, no any r
e
se
arch
confir
ms w
het
her CS
R Mutu
al fun
d
activ
i
ty is
better tha
n
ma
rket ind
e
x or
n
o
t. Besides, w
e
sho
u
ld
hav
e
one
metho
d
ca
n he
lp c
on se
q
uently
invest
or
s in
mak
i
n
g
the de
cision to se
lec
t
appropr
iate i
n
vestment
fun
d
s. In this stu
d
y, w
e
measu
r
e the financ
ia
l
perfor
m
a
n
ce o
f
a samp
le of 15 CSR
mutu
a
l
funds in
th
e w
o
rld, w
i
th the mont
hly retur
n
over the p
e
ri
o
d
200
8-20
13, the
n
w
e
prop
ose t
he d
e
ssio
n
tab
l
e. W
e
fi
rst use the meas
ures
to eval
uate th
e
perfor
m
a
n
ce o
f
mutu
al fun
d
s such as Alp
ha
(
α
), Sharpe Ratio (SR), and
Informati
on R
a
tio (IR). And then, w
e
use th
e
obtai
ne
d d
e
cisi
on ta
bleto
eva
l
uate th
e pr
edic
t
ability
b
y e
a
ch
me
asur
e. The r
e
sults i
n
d
i
ca
te
that on
ly 3
of t
h
e
15 CS
R
mutua
l
funds
achi
ev
e go
od
perfor
m
a
n
ce r
e
sults
base
d
o
n
the
statistical si
gni
ficance
of the
tw
o
me
asur
es S
h
a
r
pe
Ratio
a
n
d
Infor
m
atio
n
R
a
tio. In
ad
diti
o
n
, the
IR is
s
ugg
ested
to
e
v
alu
a
te
and
make
invest
me
nt de
cisions
i
n
the
future
and
it a
l
so is th
e
best
one
a
m
o
ng t
h
e thre
e
me
asu
r
es. T
he d
e
cis
i
on
table su
gg
est investors a
me
asure forec
a
st accuracy w
a
y.
Ke
y
w
ords
:
corpor
ate s
o
ci
ally
resp
onsi
b
l
e
(CS
R
), the
meas
ur
es, ev
alu
a
te the
p
e
rfor
ma
nce,
mutua
l
funds,
decisi
on ta
ble
Copy
right
©
2016 In
stitu
t
e o
f
Ad
van
ced
En
g
i
n
eerin
g and
Scien
ce. All
rig
h
t
s reser
ve
d
.
1. Introduc
tion
Corpo
r
ate so
cial re
spo
n
si
bility
(CS
R
) h
a
s
l
ong
bee
n
a ma
ndato
r
y asse
ssment
crite
r
ion
in many deve
l
oped
co
untri
es. Th
e so
cia
l
respon
sib
ilit
y investment
market is
dev
elopin
g
ra
pidl
y
in inte
rest
an
d si
ze. E
u
ro
p
e
take the
o
u
tstandi
ng
pl
ace
–
over 6
0
% of the
m
a
rket
sha
r
e.
The
most
dra
m
ati
c
in
crea
se
be
long
s in
the
numbe
r
of
S
R
I fund
s belo
ngs to Bel
g
iu
m, Fra
n
ce, U.K.
and S
w
itze
rla
nd -th
e
se fo
r
cou
n
trie
s a
ccount for 72%
of total SRI fu
nds in Eu
ro
p
e
[1]. Ho
wev
e
r,
CSR is
still a little interest in a numbe
r o
f
devel
oping
cou
n
trie
s. When loo
k
ing a
t
the success o
f
a bu
sine
ss,
many peo
ple
just sto
p
lo
okin
g at t
he tangible
in
dicators su
ch a
s
sale
s,
profi
t
s,
wag
e
s
paid t
o
empl
oyee
s
or the tax
co
ntribution
s
to
the state
bu
dget. Wh
erea
s, the inta
ngi
ble
criterion such as the
social
resp
onsi
bility of every busi
ness
seems t
o
be forgotten in the offici
al
document
s a
nd also hardl
y ever remem
bere
d
by the enterp
r
i
s
e itself.
Corporate social resp
onsibility (CSR): Accordi
ng to T
he United
Nat
i
ons Global Compact
(UNG
C)[2], CSR emb
r
a
c
es 10
p
r
in
ci
ples
of
o
r
ga
nizatio
nal b
e
havior th
at a
ddre
s
s the
four
dimen
s
ion
s
of hum
an
ri
ghts, la
bo
r, environm
e
n
t
prote
c
tion,
and
corporate gove
r
na
nce.
Corporate social responsi
bility
has been a topic of academic
st
udy for several decades Wartick
– Co
chran [3], 1985; Fred
e
r
ich,1
990 [4]; Carrol, 19
97 [5]),
In fact, past studie
s
have
sho
w
n that compani
es im
plementin
g social respon
sibility are
not red
u
ced
benefits b
u
t also in
crea
se
d. The
bu
sin
e
ss ben
efits obtaine
d wh
e
n
impleme
n
ting
so
cial re
sp
on
sibility, includ
ing
red
u
ced
co
sts, increa
sed revenu
e, brand valu
e, redu
ce the rate
of employee
severa
nce, increa
sed p
r
odu
ctiv
ity and more o
p
p
o
rtunitie
s
to acce
ss the
new
markets.
The
r
e a
r
e
a l
o
t of
different
mut
ual fun
d
s
in t
he inve
stmen
t
worl
d. Th
erefore, the
ch
oice
of profitable
mutual fund
s for investme
nt is
a important issu
e. The
numb
e
r o
f
mutual funds
investing in compani
es th
at meet a va
riety of
ethical criteri
a
, be
tter kno
w
n a
s
ethical mut
ual
funds
or
so
ci
ally re
spo
n
si
ble mutu
al fu
nds, i
s
g
r
o
w
i
ng rapidly
wo
rldwi
de.
Th
e
stron
g
ly growing
intere
st in the inco
rp
orati
on of so
cial,
moral, env
i
r
o
n
mental o
r
a
n
y other ethi
cal criteri
a
in
the
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ISSN: 25
02-4
752
IJEECS
Vol.
1, No. 2, February 201
6 : 229 – 237
230
stock
sel
e
ctio
n compa
n
ie
s may be
com
e
out of
favo
ur within
th
e investment community wh
en
behavin
g un
ethically.The
purpo
se
of this p
r
e
s
e
n
t study i
s
to
find out th
e
ne
ce
ssa
ry f
a
cts
rega
rdi
ng pe
rforman
c
e of
selecte
d
bala
n
c
ed
schem
es, which
ca
n b
enefit the investors a
nd fu
nd
manag
ers.
The sp
ecifi
c
objectives o
f
the study
are
to an
swer the que
sti
on: If a mutual fund
activities associated with
social
responsi
bility,
would it have good perf
orm
a
nce and reli
ability for
investors to chose wh
ether invest or not
?
Firstly, to evaluate the
pe
rforma
nce of
15
CS
R Mu
tual Fund
s u
s
ing
Retu
rn
Analysis,
Sharp
e
, Information
ratio
and Alp
h
a
m
easure,
we
compa
r
e
all th
e me
asure
s
with the
ma
rket
index to distin
guish and to
dra
w
co
mpa
r
i
s
on
s.
Secondly, the best m
e
asure give the
making
deci
sion ability to
the CS
R m
u
tual funds
help inve
sto
r
s to
con
s
id
er option
s
whe
n
ma
ki
ng th
e
i
r inve
stment
deci
s
io
ns when u
s
in
g three
measures Sh
arpe, Informa
t
ion ratio and
Alpha .
2. Proposed
Approac
h
es
This pa
rt giv
e
s
brief
outli
ne of th
e b
r
oad
obj
e
c
tive
of the
study
and
Hyp
o
th
esi
s
, the
unde
rlying p
r
incipl
e of re
sea
r
ch meth
odolo
g
y and
the choi
ce
of the appro
p
riate resea
r
ch
method for th
e study. Explanation
s
of Figure 1 a
r
e
sh
own b
e
lo
w
Figure 1. Pro
ducer App
r
oa
h
Step 1: Colle
ct databa
se
The first, we sele
ct ra
ndo
mly 15 mutua
l
fund co
rpo
r
ate so
cial respon
sibility funds in the
worl
d incl
udin
g
: Taiwan, United States, Italia, France,
United King
dom, and Swiss. The d
a
ta
is
colle
cted on histori
c
al
Return of
15
fu
n
d
s sele
cted
from 20
08 to
2
013. Se
con
d
l
y
, we colle
ct
data
on ma
rket p
o
r
tfolio return
and th
e ma
rket portfolio
wi
ll be
sele
cted
for e
a
ch m
u
tual fun
d
a
b
o
v
e
CSR
Fund
an
d data
on
risk-free
rate: T
r
easy Bill from
2008
to 20
1
3
, acco
rdin
g to data
coll
ect
ed
monthly and
are sourced fromh
ttp://finance.yahoo.com/ [6-8].
Then we use the Simple Regre
s
sion M
o
del as follo
wi
ng:
a
X
b
(
1
)
Where Y is
the return o
y
f th
efund, X is re
turn of theMa
r
ket, a an
d b are con
s
tant.
Cal
c
ulating th
e expecte
d re
turn by the followin
g
equati
on:
y
R
∗
(
2
)
Whe
r
e R i
s
th
e expecte
d Return, R
m
is
return market, c
oeffic
i
ent x,
y.
Summari
zed from the proceeding section,
corporate so
cial responsi
bility could be
rega
rd
ed a
s
socially re
sp
on
sible inve
stm
ent and st
rate
gic inve
stmen
t
in a firm.
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IJEECS
ISSN:
2502-4
752
The Perfo
r
m
ance of CS
R
Mutual Fun
d
s and In
ve
stm
ent De
cisi
on-Makin
g
(Jen
-Der
Da
y)
231
Step 2: Calcu
l
ate the m
easure ratios
This study ai
ms to answer th
e question “A
re
social
resp
onsibility mutual funds
always
achi
eving go
od perfo
rma
n
c
e?" Th
us, we examine th
e return perfo
rman
ce of CSR mutual fu
nds
by monthly. We u
s
e 3 m
easure
m
ent
s to eval
uate CSR Mutu
al
Fund
s Perfo
r
mance: Alph
a
,
Sharp
e
Ratio,
and Informati
on Ratio [9] a
nd t
hen test the statisti
cal
signifi
can
c
e o
f
them.
Alpha
Alpha (
α
) is d
e
fined by [1
0] as foll
owi
ng:
the
differe
nce
betwe
en
th
e fund’s actu
al return
and its expe
cted return, given its leve
l of risk as m
e
a
s
ured by beta.
α
R
E
R
(
3
)
Whe
r
e
α
is Asset Alpha; E(
R
) is Expected
Asset
Return; and
R
is
Ac
tual As
s
e
t Return.
Whe
n
α
> 0,
the fund’
s a
c
tual retu
rn
e
x
ceed
s it
s ex
pecte
d return
, in whi
c
h
ca
se th
e
manag
er
ha
s a
dded
val
ue.
Whe
n
α
< 0, the fun
d
mana
ger h
a
s
actu
ally destroyed va
lue.
Whe
n
α
= 0, the fund
ha
s
behave
d
exa
c
tly as
predict
ed by the m
a
rket an
d its
beta to the
in
dex,
but the mana
ger ha
s not a
dded a
n
y value.
Sh
a
r
pe
R
a
tio
In 1966
William Sharpe [11] sug
g
e
s
te
d that
the perform
an
ce
of mutual funds b
e
analyzed
by the ratio of
ret
u
rn
s to
sta
n
d
a
rd
devia
tion.
Sharp
e
Ratio (SR)i
s
define
d
a
s
the
exce
ss
return on a portfolio over a risk
-free asset, such as a
T-bill, divided by the risk of
the portfolio.
SR
σ
(
4
)
Whe
r
e S
is Sha
r
pe’
s ratio for
fund i,
is the a
v
erage
return
on fund i,
R
is
the return on risk
free ass
e
ts
, and
σ
is the stan
dard d
e
viation of return on fun
d
i.
Information Ratio
Like the Sh
arpe Ratio, the
Information
Ratio
(I
R) al
so mea
s
ures
exce
ss
return
per unit
of risk[12], the IR formula i
s
expre
s
sed
as follo
wing:
IR
σ
(
5
)
Whe
r
e
IR
is d
e
noted
= Information
Ratio
of Assetfor fu
nd i;
R
is p
r
e
s
e
n
ted= A
nnual
ized A
s
set
Returnon fun
d
i;
R
is symbolled Annuali
z
ed Ben
c
hm
ark Index Return;
σ
= Annuali
z
e
d
Standard Dev
i
ation of Excess
Retu
rn.
The info
rmat
ion ratio i
s
a
risk-adju
s
t
ed
perfo
rm
ance met
r
ic often utili
zed
whe
n
evaluating m
u
tual fund
s.
The info
rmati
on ratio ta
ke
s into a
c
cou
n
t
both the ri
sk-free return
rate
and the
retu
rn on th
e be
n
c
hma
r
k po
rtfolio, giving in
vestors a
bet
ter un
derstan
ding of th
e h
o
w
much
risk the
manage
r too
k
to achi
eve its perfo
rma
n
ce.
Step 3: Significan
c
e
statisti
c
Alpha
T
h
is
pr
oc
e
dur
e
,
s
i
mu
ltan
eo
u
s
ly a
p
p
lie
d a
c
ro
ss all fu
nds, is
a mul
t
iple hypothe
sis te
st
(for
several null hypothe
se
s, H1
0
, a
nd alternative hypothe
se
s, H1
1
):Th
e
Alpha ca
n
be
interp
reted a
s
a t-test for t
he hypothe
si
s that t
hey expect a retu
rn highe
r than
the actual re
turn
as:
H1
0
:
α
i
≤
0,H1
1
:
α
i
>
0, (with
i =
1,.. ,15)
(6)
Sharp
e
Ratio
(SR)
The mea
s
u
r
e
to risk-a
dju
s
ted perfo
rma
n
ce i
s
the S
harp
e
ratio
(Sharp
e
196
6
)
, whi
c
h
measures the
fund’
s
exce
ss
return
per u
n
it of its ri
sk.To eval
uat
e
wheth
e
r the
p
e
rform
a
n
c
e
o
f
a
portfolio
of th
e CS
R Mutu
al Fun
d
i
s
si
gnifica
nt
ly higher than
th
ose
of be
nch
Fund
s, the
null
hypothe
sis (H0) and
th
e alternative
hy
pothe
sis (H
1) are e
s
tabli
s
hed a
s
follo
ws,
respe
c
tively:
The Sh
arp
e
ratio can b
e
i
n
terp
reted
a
s
a t-te
st for t
he hypot
hesi
s
that th
at th
e retu
rn
on t
he
portfolio is e
q
ual to the risk-free rate. Thi
s
pro
c
e
d
u
r
e, simultan
eou
sl
y applied across all fund
s, is
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ISSN: 25
02-4
752
IJEECS
Vol.
1, No. 2, February 201
6 : 229 – 237
232
a multiple
hy
pothe
sis test
(for
seve
ral
n
u
ll hypothe
se
s, H2
0
,
an
d alternative hypothe
se
s,
H2
1
)
as:
H2
0
: SR
i
≤
0,H2
1
: SR
i
>
0, (with i =
1,.. ,
15)
(7)
Information Ratio
(IR)
The info
rmati
on ratio can b
e
interprete
d
as t
he t
-
test a
s
soci
ated
with the hypoth
e
s
is th
at
the retu
rn
s o
n
the p
o
rtfoli
o do
not si
gn
ificantly
devia
te from the
market ind
e
x. An inform
ation
ratio l
a
rg
er than
1.96
imp
lies th
at a
p
o
rtfolio
m
ana
ger ha
s
a
95
% pro
bability
of
beatin
g
the
ma
rk
e
t
in
de
x
in
a
n
y
pe
r
i
od
.T
h
i
s
p
r
oc
ed
ure
,
s
i
mu
lta
neo
usly ap
plied
a
c
ro
ss all
fund
s, is
a multipl
e
hypothe
sis te
st (for several
null hypothe
se
s,H3
0
, and
alternative hy
pothe
se
s, H3
1
) as:
H3
0
: IRi
≤
0,H3
1
: IRi >
0, (with i =
1,.. ,15)
(8)
Step 4: Makin
g
deci
s
io
nabil
i
ty
With the num
eric of Alph
a, Sharp
e
Ratio,
Information
Ratio, have just been
cal
c
ul
ated,
we
set
up de
ci
sion in
vestment tabl
e ba
sed
on the histo
r
i
c
retu
rn. We
use ave
r
ag
e
and expo
nent
ial smothin
g
method to m
a
ke
rolling ov
er 1
year with on
e
by measures and make in
vestment
de
cision
s ea
ch n
e
xt 3 month in 3 years. Th
en
we
co
unt
h
o
w
m
any
ca
se
s a
r
e
rig
h
t
de
cisi
on
s a
nd
h
o
w
many
ca
s
e
s
are
wro
n
g
de
cisi
on
s m
a
ke
the percenta
g
e
.
We calculate
similar indi
ces, re
spe
c
tively
for Alpha, Sharpe Rat
i
o, Informatio
n Ratio,
De
cisi
on tabl
e for ea
ch me
asu
r
em
ent. Then we have
four ca
se
s a
s
followed the
Table 1:
Table 1. De
ci
sion Ta
ble
Predictio
n
Real
Decisio
n
Positi
v
e
Positive
Good
-Go
o
d
Right
Positi
v
e
Negative Bad-
Good
Wrong
Negati
v
e
Positive
Good
-Bad
Wrong
Negati
v
e
Negative Bad-Bad
Right
Table
1 m
e
a
n
s th
at if the
fund
s h
a
ve
both the
results in
p
r
edi
ction an
d in
real a
r
e
positive,
we
will make the right
decisi
on, “Good-
Good”; if the funds
have
the positive resul
t
s
in
predi
ctive b
u
t negative
re
sults in
real,
we will m
a
ke th
e wron
g de
ci
sion,
“Bad
-G
ood”; if the
fu
nds
have the negative results in pred
ictive but positive results in
fact, we
will m
a
ke the wrong
deci
s
io
n, “G
o
od- Ba
d”; if the fund
s h
a
ve both th
e
re
sults i
n
p
r
edi
ction a
nd in
real a
r
e n
egat
ive,
we will make
the right
deci
sion, “Bad- B
ad”.
The
com
pari
s
onof the
pe
rcentage
ma
ke
s d
e
ci
si
on
abi
lity of each
m
easure
m
ent t
o
Rig
h
t
De
cisi
on, Wrong Deci
sion.
Choi
ce
of a measurement
has the be
st
ability to ma
king inve
stm
ent
deci
s
io
n.
We consider specially
the rate
of
Right
Decisi
on, as i
t
will
bri
ng less
ri
sks
to investors.
Wrong Deci
si
on will be a
n
o
t
her co
nsi
d
e
r
ation:
Ca
se 1: Th
e fund a
c
tivities
are g
ood
perf
o
rme
r
s, b
u
t the con
s
ide
r
at
ion is b
ad, an
d then
we m
a
ke a
Wrong
De
ci
si
on, this
will
affect the in
v
e
stment de
ci
sion
s
of
i
n
ve
stors a
nd, if
not
carefully con
s
ide
r
ed d
e
ci
sion, the investor will re
gret
, the loss of a about
the p
r
ofits that wo
uld
have bee
n lo
st if the investment
is wi
se t
o
contin
ue to fund.
Ca
se 2: In fact, the fund perform
s is b
a
d
, but
given the co
nsid
eration is goo
d, and then
we m
a
ke a
Wrong
De
ci
si
on, the inve
stment de
cisi
o
n
to inve
st in
this fun
d
wil
l
cau
s
e
lo
ss
of
capital.
Therefore, th
e makin
g
de
cisi
on ability sho
u
ld
be
ca
lculate
d
effici
ently and accurately
help
s
investo
r
s
can op
erate at a
profit, but not risking
too much.
Evaluation Warning : The document was created with Spire.PDF for Python.
IJEECS
ISSN:
2502-4
752
The Perfo
r
m
ance of CS
R
Mutual Fun
d
s and In
ve
stm
ent De
cisi
on-Makin
g
(Jen
-Der
Da
y)
233
3. Results a
nd Analy
s
is
3.1. Descrip
tiv
e
Statistics
De
scriptive S
t
atistics i
s
co
ndu
cted o
n
the sample
to
scre
en d
a
ta
cha
r
a
c
teri
sti
cs
and
distrib
u
tion
s. De
scriptive st
atistics of all variable
s
a
r
e
displ
a
yed in
Table 2.
Table 2. The
De
scriptive Statistics
Name of CSR
fu
nds
Variables
Mean
Median
SD
Max
Min
1
Fubon
Tai
w
an C
S
R B
Mutal fund
0.4767
2.2541
7.06
10.00
-25.16
Market Inde
x
-0.2401
0.8428
6.06
12.44
-15.81
2
Ariel Appreciation Fund
(CAAPX)
Mutal fund
0.0481
1.2586
7.46
19.66
-33.33
Market Inde
x
-0.1424
0.7019
0.0523
8.59
-20.40
3
Ari
e
l
Foc
u
s
Fund
(ARF
FX)
Mutal fund
-0.0033
1.9060
5.73
10.98
-24.04
Market Inde
x
-0.1424
0.7019
5.23
8.59
-20.40
4
Ar
iel F
uns
(ARG
FX)
Mutal fund
-0.4186
0.9113
10.40
27.43
-36.42
Market Inde
x
-0.1424
0.7019
5.23
8.59
-20.40
5
Domini Social Eq
uity Fund
(DSEF
X)
Mutal fund
0.0008
1.5045
5.57
7.89
-25.29
Market Inde
x
-0.1987
1.4068
7.49
10.76
-30.34
6
Pax World Balan
c
ed Fund (PAX
WX)
Mutal fund
0.1681
2.1175
6.44
15.11
-18.11
Market Inde
x
0.2823
1.1719
3.74
9.07
-9.69
7
Pax World
Globa
l Environmental Markets
Fund (P
GR
NX)
Mutal fund
-0.18
1.69
7.68
13.81
-34.68
Market Inde
x
0.3050
0.2938
5.76
16.79
-10.18
8
Pax World
Gro
w
t
h
Fund
(PXWGX
)
Mutal fund
0.1192
1.5152
6.08
11.69
-26.93
Market Inde
x
0.1566
1.2037
3.16
10.05
-21.27
9
Pax World Inte
rn
ational Fund (PX
I
NX)
Mutal fund
-0.5807
0.0000
7.14
12.61
-27.26
Market Inde
x
-0.3764
0.2713
6.95
11.64
-26.34
10
Pax
World Small Cap Fun
d
(PXCSX)
Mutal fund
0.2267
1.7958
7.70
11.87
-30.09
Market Inde
x
-0.0289
1.7668
6.90
13.33
-26.52
11
Vanguard
FTSE
Social Index Fun
d
(VFT
NX)
Mutal fund
-0.1880
1.1848
6.34
12.19
-23.90
Market Inde
x
-0.1810
0.3779
4.77
7.79
-14.97
12
Natixis Impact Aggregate Eu
ro I I
n
c
(NAT
OEMD)
Mutal fund
-0.2174
-0.1339
1.13
3.05
-3.00
Market Inde
x
-0.9295
-0.8267
7.91
33.94
-29.42
13
Pioneer Funds
-Global Ecology
(
Italy)
Mutal fund
-0.4968
0.0797
5.80
9.20
-27.09
Market Inde
x
-1.6011
-1.5692
7.20
17.22
-19.48
14
Asia Pacif
i
c Sust
ainability
F
u
nd-F
i
r
s
t State
Investments SCVC(
U
K)
Mutal fund
0.8444
1.5716
4.38
9.69
-17.81
Market Inde
x
-0.1810
0.3779
4.77
7.79
-14.97
15
Sustainable Health
y
Living Fund
-Julius Baer
Multipartner Ro
b
e
co SAM(S
w
i
ss)
Mutal fund
0.0806
0.9406
5.04
10.42
-19.33
Market Inde
x
-0.4961
0.2288
0.17
9.19
-12.78
Table
2 ald
o
sho
w
s the
mean, me
dia
n
, and
stan
d
a
rd
deviation
, max, min
of CSR
mutual fund
s’
return a
nd M
a
rket retu
rn.
We u
s
e
first
analytical
me
thods
(me
an,
media
n
, stan
dard
deviatio
n
, Max, Min)
15 CS
R
for mutual of 6 countrie
s
aroun
d the worl
d then
we analy
z
e
each cou
n
try
with one fund
eviden
ce.
3.2. H
y
pothesis Testing
As mentione
d earlie
r, to test statistica
l
significa
nce
of the m
easures Alph
a, Sharpe
Ratio, Inform
ation Ratio
we apply me
thod of one-
side
d and pa
ir wise t-stati
s
tic testin
g. The
results a
r
e ex
hibited in Tab
l
e 3.
As sho
w
n in
Table3, mo
st
of the hypotheses
te
sting
the significa
nce of Alpha,
Sharpe
Ratio, Inform
ation Ratio o
f
15 CS
R mu
tual fund
s are reje
cted. T
h
is me
an
s th
at there
are
not
signifi
cant. Howeve
r, Tabl
e 3 indicates that the t-
s
t
atis
tics
of CS
R mutual fund relative to the
Sharp
e
Ratio
and Inform
ation ratio in:
H11: H11
-
2
i
s
0.75
17 (p
-value <0.05
)
; H11
-
3
i
s
3.4
503
(p-val
ue
<0.01
)
, H14:
H14
-
2 i
s
3.4103
(p
-val
ue
<0.01
)
; H14-3
is 10.6
3
39 (p-val
ue
<
0.01)
and
H1
5: H1
5-2
is 1
.
7307
(p
-valu
e
<0.05
)
; H15
-
3 is 5.457
9 (p-value
<0.0
1
)
, respe
c
tively. Thus reje
cting the null hypothe
sis a
nd
acceptin
g the altern
ative hypothesi
s
.
This
me
an
s that Vangu
ard FTSE S
o
cial Ind
e
x Fund
(VFTNX
)
,Asi
a Pacific Su
stainability Fu
nd-Fi
rst
Stat
e Investment
s SCV
C
(UK) and Sust
ain
able
Healthy
Livin
g
Fun
d
-Juli
u
s Baer Multipa
r
tner
Robe
co
SAM(Swi
ss)
mutual fun
d
s
have a
Sha
r
p
e
Ratio an
d Informatio
n ratio
greate
r
than
0.
Evaluation Warning : The document was created with Spire.PDF for Python.
ISSN: 25
02-4
752
IJEECS
Vol.
1, No. 2, February 201
6 : 229 – 237
234
Table 3. The
results of Hyp
o
thesi
s
testin
g
Note
: ***p<0.01
;
**p<0.05; *p<0.
1
Mutual fund
perfo
rman
ce
of both 3 funds ab
ove is
better than th
eir market in
dex. The
perfo
rman
ce
of
a
p
o
rtfolio
of
the CSR Mutual
F
und
is
signifi
cantl
y
highe
r tha
n
those of
ben
ch
Fund
s, the
re
turn o
n
the
p
o
rtfolio i
s
g
r
e
a
ter tha
n
the
risk fre
e
rate. The
returns
on the
portfol
i
o
signifi
cantly d
e
viate from the market inde
x.
Whe
n
compa
r
ing the Alp
h
a
s, Sha
r
pe
ra
tio, and
Information ratio of the CSR f
und
s with
those
of matche
d co
nvent
ional f
und
s, the CS
R retu
rns
are lowe
r than those
of conve
n
tion
al
funds,
but the
r
e i
s
little
stati
s
tically
sig
n
ificant
eviden
ce that
CSR fu
nds un
derpe
rform. Th
e ma
in
reason
why CSR investors
may be willin
g to pay such a price for et
hics
or social
responsibility is
based on ave
r
sio
n
to co
rpo
r
ate beh
avior which is
de
e
m
ed unethi
ca
l or so
cial. In
vestors of CS
R
funds m
a
y thus expli
c
itly deviate from
the eco
nomi
c
ally rational
goal of we
alth-maximi
z
ing
by
pursuin
g so
ci
al obje
c
tives.
3.3. The Level Making Decision Ability
b
y
Time
3.3.1. Making Decision
Abilit
y
w
i
th Al
pha b
y
Ti
me
Table
4 indi
cates the
re
sults of te
stin
g and
Ma
kin
g
de
cisi
on a
b
ility with Alpha in
36
months,
spe
c
ific data as fol
l
owin
g:
H
y
p
o
t
hes
i
s
Sub-
H
y
p
o
th
esi
s
t
- Sta
t
isti
c
p
Value
H1
H1-1
0.2029
0.4200
H1-2
0.1251
0.4506
H1-3
2.7314
0.0100
**
*
H2
H2-1
0.0000
0.5000
H2-2
-0.4886
0.3135
H2-3
3.0758
0.0016
**
*
H3
H3-1
0.0000
0.5000
H3-2
-0.0090
0.4964
H3-3
-0.5521
0.2914
H4
H4-1
-0.0338
0.4866
H4-2
-1.5718
0.9393
H4-3
-5.4570
0.9999
H5
H5-1
0.0000
0.5000
H5-2
-0.1348
0.4466
H5-3
0.5181
0.3230
H6
H6-1
0.0000
0.5000
H6-2
-0.2016
0.4204
H6-3
-2.5908
0.9440
H7
H7-1
0.0000
0.5000
H7-2
1.0018
0.1608
H7-3
0.8156
0.2090
H8
H8-1
0.0000
0.5000
H8-2
-0.6608
0.2556
H8-3
-0.9112
0.1829
H9
H9-1
0.0000
0.5000
H9-2
0.3270
0.3725
H9-3
0.0181
0.4928
H10
H10-1
0.0000
0.5000
H10-2
-3.6216
0.9108
H10-3
3.5486
0.4468
H11
H11-1
4.2784
0.5000
H11-2
0.7517
0.0476
**
H11-3
3.4503
0.0005
**
*
H12
H12-1
0.0000
0.5000
H12-2
-3.6216
0.9997
H12-3
3.5468
0.0004
**
*
H13
H13-1
0.0000
0.5000
H13-2
0.5107
0.3059
H13-3
7.9281
0.0000
**
*
H14
H14-1
0.0000
0.5000
H14-2
3.4103
0.0006
**
*
H14-3
10.6339
0.0000
**
*
H15
H15-1
0.0000
0.5000
H15-2
1.7307
0.0449
**
H15-3
5.4579
0.0000
**
*
Evaluation Warning : The document was created with Spire.PDF for Python.
IJEECS
ISSN:
2502-4
752
The Perfo
r
m
ance of CS
R
Mutual Fun
d
s and In
ve
stm
ent De
cisi
on-Makin
g
(Jen
-Der
Da
y)
235
Table 4. The
results of Ma
king d
e
ci
sion
ability with Alpha by time
Right Decision (%)
Wrong Decision (%)
Ti
me
G
ood
-Go
o
d
B
ad-Bad
Sum
Good
-Bad
Bad-Go
od
Sum
3 months
30.52
16.73
47.3
29.45
23.29
52.74
6 months
29.97
18.18
48.2
27.41
24.43
51.84
9 months
29.57
16
45.6
27.89
26.52
54.41
12 months
29.95
14.56
44.5
27.17
28.31
55.48
15 months
28.62
14.5
43.1
27.14
29.74
56.88
18 months
26.42
12.17
38.6
29.28
32.13
61.41
21 months
30.18
10.27
40.5
28.13
31.42
59.55
24 months
26.09
11.9
38
32.26
29.75
62.01
27 months
27.54
13.1
40.6
32.89
26.47
59.36
30 months
23.18
16.2
39.4
31.84
28.77
60.61
33 months
26.71
14.33
41
35.83
23.13
58.96
36 months
14.23
15.77
30
44.23
25.77
70
Then the te
st
s were
cal
c
ul
ated , we
see
trend
s ba
se
d
newspa
p
e
r
b
a
se
d on Alph
a index
clea
rly cha
n
g
e
s over time
; the longer
the perio
d, the rate of makin
g
wrong
deci
s
io
n abili
ty
increa
se
s
wit
h
hig
h
level.
Ho
wever o
b
served
data
was
cal
c
ul
ated
and
Fig
u
re
see
s
th
at in
the
short period
of time (3 m
o
nths),
the
rat
e
of m
a
ki
ng right
deci
sion ability
with
of the Alpha
al
so
has
a very lo
w 48%
(le
ss t
han 5
0
%)
whi
l
e the propo
rti
on of ma
king
wro
ng d
e
ci
sio
n
ability with i
s
very high at 52%.
We
co
nsi
der
3 month
pe
ri
od, 12
month
peri
od, 2
4
m
onth p
e
rio
d
a
nd 3
6
mo
nth
perio
d,
with differe
nt
levels of tim
e
as
a result of us
in
g the
alpha te
st to predict th
a
t
the pre
d
icti
ve
accuracy
rate : 47.3%
- 44.5% - 38% -
30%, the
percentage of
inaccurate
deci
sion ability to :
52.74% - 55.
47% - 62.01
% - 70%.Alpha's
inve
stmen
t
decisi
on abil
i
ty in the short term as well
as
long-te
rm
is l
e
ss. Th
erefo
r
e, to h
e
lp i
n
vestors
ma
kin
g
de
ci
sion
a
b
ility with m
o
re
ba
se
s in
the
investment p
r
oce
s
s, we carried out the calcul
at
ion
s
an
d tests si
milar to the Sharp
e
Ratio.
3.3.2. Making Decision
Abilit
y
w
i
th Sharpe
Ratio
Use the
s
e
st
eps and
calculate way si
milar to Al
ph
a, we
also h
a
v
e table
s
of t
e
st results
of the Sharp
e
Ratio indi
ces con
s
ide
r
makin
g
de
cision ability in each pe
riod
of 3 months
and a
perio
d of 3 years a
s
sho
w
in Table 5:
Usi
ng the Sh
arpe
Ratio to
measure the
effect
ivene
ss of the p
o
rtfolio, to help i
n
vestors
kno
w
po
rtfoli
o, investment
funds b
r
ing
h
o
w mu
ch
pr
of
it (in exce
ss of risk-f
ree a
s
sets) of 1 unit
of
risk. Thus, if investors do
not accuratel
y
predi
ct
SR,
this will m
a
ke the investment risks of hi
gh
spe
c
ific i
n
vestment ch
oice
s a
r
e
wrong
with the fu
nd
s that it i
s
not
profitabl
e en
ough to
offset
the
ris
ks.
In Table 5, S
harpe Ratio's making deci
sion
ability also tends to
decrease the rate of
accurate M
a
king de
ci
sion
ability with
ra
te and vi
ce i
naccu
rate
de
cisi
on
ability tend to in
cre
a
se
accretio
n in a
long time.
Table 5. The
results of Making deci
sion
ability with Sharpe
Ratio by
time
Right Decision
Wrong Decision
Time
Good
-Go
o
d
Bad-Bad
Sum Good
-Bad
Bad-Go
od
Sum
3
months
32.91
14.31
47.22
29.72
23.06
52.78
6
months
30.08
11.61
41.69
32.58
25.73
58.31
9
months
34.45
11.23
45.68
29.96
24.36
54.32
12
months
34.36
9.67
44.03
28.81
27.16
55.97
15 months
44.49
6.35
50.84
23.96
25.2
49.16
18 months
40.61
12.94
53.55
23.35
23.1
46.45
21
months
45.83
13.09
58.92
22.91
18.17
41.08
24
months
51.01
13.51
64.52
24.66
10.82
35.48
27
months
44.04
13.49
57.53
32.14
10.33
42.47
30 months
41.63
13.87
55.5
36.84
7.66
44.5
33 months
34.64
13.4
48.04
48.04
3.92
51.96
36 months
20.95
20
40.95
57.14
1.91
59.05
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02-4
752
IJEECS
Vol.
1, No. 2, February 201
6 : 229 – 237
236
In general, SR ha
s the level right de
cisi
on ability
is low in sho
r
t-te
rm, specifi
c
SR is only
rea
c
he
d 4
7
.22% (<5
0
%) in 3
month
s
time.
Ho
wever, the
m
a
kin
g
ri
ght d
e
ci
sion
rate
has
increa
sed over
a peri
od of
mode
rate
and som
e
h
o
w
sud
denly
plummete
d. Specifically, the
makin
g
rig
h
t deci
s
io
n of SR in 3, 12, 24, 36
month
perio
d, re
spe
c
tively, as follows: 47.22%
,
44.03%, 6
6
.5
2%, 40.95% i
s
n
o
t goi
ng
to chan
ge thi
s
tren
d al
so
a
s
a
rule
sp
eci
f
ic. So inve
st
ors
meet ma
ny di
fficulties in
p
r
edictin
g exa
c
tly, to
get the
approp
riate i
n
vestm
ent de
cisi
on
s.Thu
s
,
in
this case again
we
have concl
uded that
the S
R
has
no ability to
make the right decisi
on
and if
you want to use this in
de
x for making
decisi
on inv
e
stment it sh
ould only be
used in a short
perio
d of tim
e
to a
s
sess th
e effectiven
e
s
s of inve
stm
ent fund
s.
We continu
e
with the Info
rma
t
ion
Ratio.
3.3.3. Decisi
on-making
Abilit
y
w
i
th Information Ratio
It is the
meth
od of
scrollin
g in th
e first
year
a
nd
gra
dually move
s to the
next
month,
we
can
cal
c
ulate
the data on th
e Information
Ratio in Tabl
e 6 belo
w
.
Table 6. the result
s of maki
ng decisi
on
ability with Information
Ratio by time
Right Decision
Wrong Decision
Time
Good
-Go
o
d
Bad-Bad
Sum Good
-Bad
Bad-Go
od
Sum
3 months
43.08
22.94
66.02
14.53
19.45
33.98
6 months
43.41
24.03
67.44
13.36
19.2
32.56
9 months
42.57
21.89
64.46
15.05
20.49
35.54
12 months
40.91
18.83
59.74
19.26
21
40.26
15 months
40.48
17.07
57.55
20.24
22.21
42.45
18 months
38.82
13.96
52.78
22.9
24.32
47.22
21 months
41
10.09
51.09
25.24
23.67
48.91
24 months
32.82
10.04
42.86
26.25
30.89
57.14
27 months
37.15
10.09
47.24
25.22
27.54
52.76
30 months
33.69
9.09
42.78
31.02
26.2
57.22
33 months
33.11
14.19
47.3
39.19
13.51
52.7
36 months
25.23
19.62
44.85
44.86
10.29
55.15
Table 6 i
ndi
cates the
re
sults of testin
g and M
a
ki
n
g
de
cisi
on a
b
ility with Informatio
n
Ratio
s
in 36
months,
spe
c
ific data as fol
l
ows:
The main
cha
r
acte
ri
stics of the informati
on ratio a
r
e a
s
follows:
The i
n
form
ation
ratio
esti
matesafte
r th
e fact val
ue
adde
d a
nd
re
lates thi
s
to
b
e
fore
the
eventopp
ortu
nity available in the future. The re
sid
u
a
l frontier th
at describ
es
the oppo
rtuni
ties
acce
ssi
ble t
o
the
active
mana
ge
r i
s
id
entifi
ed
by the info
rmation
ratio.
The l
e
vel
o
f
aggressiven
e
ss fo
r ea
ch m
anag
er is
de
cided by his/
h
e
r informatio
n ratio. Occa
sion
ally, intuition
can
give a
good
clu
e
a
bout the info
rmation
ratio
and
re
sidua
l risk ave
r
si
o
n
. Value ad
d
ed
depe
nd
s on the mana
ge
rs’
pros
pe
cts an
d aggressive
ness.
The
results show that, with the level
of I
n
fo
rmation Ratio's accuracy
right deci
sion ability
66.02% i
s
qui
te high
(> 50
%) and
do
ubl
e the ra
te
wrong d
e
ci
sio
n
ability and in
the su
bsequ
e
n
t
perio
ds,
re
sp
ectively 6,9,1
2
,15,18.21
m
onths, th
e
rat
e
of a
c
curate
Ma
king
rig
h
t de
cisi
on
abil
i
ty
with of IR is still over 50%
(gre
ater
than
the rate of wrong de
ci
sion
ability).
4. Conclusio
n
There are 3
CSR M
u
tual fund
s pe
rform
ance are bett
e
r than
th
eir
market ind
e
xed. The
perfo
rman
ce
of the portfolio of CSR Mut
ual Fund
i
s
si
gnifica
ntly higher than tho
s
e of benchma
r
k
Fund
s, the re
turn on th
e p
o
rtfolio is
gre
a
ter than th
e
risk-f
ree
rate.
The return
s
on the po
rtfol
i
o
signifi
cantly d
e
viate from the market inde
x.
To help Inv
e
stor
make
the co
rre
ct i
n
vest
ment d
e
ci
sion, we
sho
u
ld an
swer the
que
stion."Ho
w
can an i
n
vestor
ev
aluat
e the pe
rform
ance of a fun
d?" One
of the simpl
e
st
ways
is to loo
k
at the histo
r
i
c
al
analysi
s
of th
e retu
rns. F
o
r this, one
can
either
con
s
id
er poi
nt-to-po
int
returns or rol
ling
ret
u
rn
s. Let's
l
o
o
k
at
what
th
ese
terms mea
n
,
and whi
c
h one
i
s
a bet
ter
measuri
ng to
ol.
Evaluation Warning : The document was created with Spire.PDF for Python.
IJEECS
ISSN:
2502-4
752
The Perfo
r
m
ance of CS
R
Mutual Fun
d
s and In
ve
stm
ent De
cisi
on-Makin
g
(Jen
-Der
Da
y)
237
Usi
ng th
e
d
e
ci
sion
table
give
there
s
ults
for 3 measure
s
Alph
a, Sharpe Ratio, and
Information
Ratio re
sp
ect
i
vely, following: the Info
rmation Ratio a
b
le to predi
ct
the best in the
given 3
crite
r
ia for
evaluat
ion (Alp
ha
ra
tio,Shar
pe
Ratio). Th
rou
g
h this
re
sult,
investo
r
s m
a
y
con
s
id
er
use
IR to
predi
ct and
a
s
sess
the pe
rf
orm
a
nce
of inve
st
ment fund
s in the
sh
ort t
e
rm.
Since the
n
i
n
vestors h
a
ve helpe
d to
make th
e de
cisi
on an
d th
e right
choi
ce to brin
g g
ood
results
in the
future inves
t
ment
The
study
sti
ll ha
s o
w
n
li
mitations such a
s
: the
dat
aba
se
doe
s
not p
r
ovide
sufficient
informatio
n, so the
data
are only
coll
ect
ed from
1
5
CSR mutual
funds for 5 y
ears,
while to
tal
CSR
mutual
funds listed
i
n
the
wo
rld a
r
e a
bout
ov
e
r
25
0 fun
d
s,
the larger sa
mple
size giv
e
s
more com
p
re
hen
sive
an
d more gen
eral
re
sults
of
o
u
r research.
The
study o
n
ly use
d
three
measures Alp
ha, Sha
r
pe
Ratio, Informati
on
Ratio
c
ons
id
er
e
d
to
be
a
ve
r
y
imp
o
r
ta
n
t
me
as
ur
e
o
f
Mutual fund
perfo
rman
ce
in other litera
t
ure whil
e
the
r
e many way
s
to measure
it such as g
r
oss
operating p
r
o
f
it, stock retu
rn, retu
rn…
different
mea
s
ures
provid
e distin
ct perspe
c
tives
whi
c
h
help u
s
have
a deep
er con
c
lu
sion a
bout
the associ
ation abo
ut CSR Mutual fun
d
perfo
rman
ce.
Therefore, th
e future re
se
arch sh
ould
fill
this rese
a
r
ch g
ap by gene
rali
zing
finding
s
usin
g a l
a
rger sam
p
le
si
ze
in orde
r to h
a
v
e more
ge
n
e
ral, im
perative vision
as
well a
s
sol
u
tions
for CS
R M
u
tual. Mo
re m
e
asu
r
e
s
of fi
rm pe
rform
a
n
c
e
as well a
s
set ma
nag
e
m
ent comp
o
nents
sho
u
ld be
ap
plied in future re
sea
r
che
s
have a bett
e
r evalu
a
tion
and hel
ping
the investo
r
can
make the
righ
t investment deci
s
io
n.
Referen
ces
[1]
Indre S, Rima T
.
Sociall
y
Res
pons
ibl
e
Mutua
l
F
unds
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e W
a
y
of
Inve
sting. Scie
ntific Anna
ls
of the “Ale
xa
nd
ru Ioan Cuz
a
.
University of Ia
ş
i Econo
mic Scienc
es
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3; 60 (1): 199-
21
2.
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Unite
d
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a
tion
glo
b
a
l
comp
ac
t
w
e
bsit
e: [Online]
ava
ila
bl
e: https://
w
w
w
.
u
ngl
oba
lcom
pac
t.org/
w
h
a
t-is-
gc/missio
n
/prin
c
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[3]
W
a
trick, Steven L
Cochr
an,
Phili
ph
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he Evol
uti
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he Corpor
ate
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l
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mance M
o
d
e
l
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my Of Mana
ge
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4): 758-7
69.
[4]
F
r
ederick W
ill
i
a
m C, Preston Lee E. Busi
nes
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arch issu
es an
d empiric
a
l stu
d
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[5]
Carroll St, Gannon
Μ
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a
l
dimensions
of Internat
ional Managem
ent. SSBE. T
h
ousand O
a
ks:
SAGE Publicat
ions. 19
97.
[6]
Bloom
berg Bu
siness
w
e
bsite:
[Online] avai
la
ble: http://
w
w
w
.
bloom
berg.co
m/.
[7]
Yaho
o F
i
na
nce -
Bu
siness
F
i
na
nce, St
ock
Market
w
e
b
s
ite: [Onlin
e
]
avai
lab
l
e
:
http://
w
w
w
.
finance.
y
ahoo.com/.
[8]
F
unds - Morni
n
gstar
w
e
bs
ite: [Onlin
e] avail
a
b
l
e: http://
w
w
w
.
mornin
gstar.co
m/Cover/F
und
s.asp
x
.
[9]
Chin
g-H
u
i
C
h
ang, J
y
h-Ji
ua
n
Lin
b
, J
y
h-H
o
rng
L
i
n,
Mia
o
-
C
he
n Ch
ia
ng.
Domestic
op
en-e
nd
equ
it
y
mutual fun
d
performa
nce
eval
uatio
n usi
ng e
x
te
n
d
e
d
T
O
PSIS meth
od
w
i
th differ
ent distanc
e
appr
oach
e
s.
Expert Systems
w
i
th Applicati
o
ns
. 2010; 3
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4
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ed A Ponko,
CF
A, Klei
n
Decisi
o
n
s: [Onli
ne] ava
i
l
abl
e:
http://
w
w
w
.
a
d
vi
sorpers
pective
s.com/ne
w
s
l
e
tters07/n
e
w
s
ltr2
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tual fu
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l of Bus
i
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[12]
Deb
o
rah K
i
dd
.
T
he Sharpe
Ratio a
nd the Informati
o
n
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CF
A
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nt Performanc
e
Measur
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eature
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Evaluation Warning : The document was created with Spire.PDF for Python.