Assessing mutual funds' corporate social responsibility: a multistakeholder-AHP based methodology

Abstract

There are an increasing number of individual or corporate investors who demand
 Social Responsibility (SR) to a financial asset. Social responsibility is a multidimensional
 concept that requires identifying a number of criteria and their weights to
 be assessed in a financial asset. Currently a varied discussion is held among
 practitioners and academics with respect to this question. The common practice is to
 equally weight all the social responsibility criteria. However, investors may wish to
 prioritize a particular dimension depending on their preferences and the purpose of this
 work is to tackle this issue.
 To that end, Vigeo's list of social responsibility criteria is taken as the starting point for
 discussion. The Equitics® database gives the information for the companies' social
 responsibility performance according to those criteria. Stakeholders are selected
 according to various proposals and the Analytic Hierarchy Process is applied to
 weighting the Vigeo's criteria according to the stakeholders' preferences. The
 methodology allows not only assessing the financial assets but also tracking their
 evolution with the periodic Equitics® database updates.
 To prove the feasibility and utility of the methodology, a case study analysing Spanish
 equity mutual funds has been carried out. Among other results, the method shows that
 the so called "responsible" funds do not perform particularly well in the social
 responsibility assessment. Besides, we have found that there are few mutual funds
 with a good balance between financial and social responsibility behaviour.

García-Melón, M.; Pérez Gladish, BM.; Gómez-Navarro, T.; Méndez Rodriguez, P. (2016). Assessing mutual funds' corporate social responsibility: a multistakeholder-AHP based methodology. Annals of Operations Research. 244(2):475-503. doi:10.1007/s10479-016-2132-5.

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