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.