Izvorni znanstveni članak
https://doi.org/10.17535/crorr.2027.0007
A hybrid logarithmic decomposition and root assessment framework for comparing environment, society, and governance fund performance
Dewasini Roy
; Amity School of Economics / Amity Business School, Amity University Kolkata, West Bengal, India.
Sanjib Biswas
; Amity School of Economics / Amity Business School, Amity University Kolkata, West Bengal, India.
Supatra De Sarkar
; Amity School of Economics / Amity Business School, Amity University Kolkata, West Bengal, India.
Dragan Pamučar
; Department of Operations Research and Statistics, Faculty of Organizational Sciences, University of Belgrade, Belgrade, Serbia; Faculty of Engineering, Dogus University, Istanbul, Türkiye
*
Vladimir Simic
; University of Belgrade, Faculty of Transport and Traffic Engineering, Belgrade, Serbia; Center for Digital Transformation and Artificial Intelligence Research, Bahçeşehir Cyprus University, Nicosia, Northern Cyprus; Faculty of Engineering and Technology, Sunway University, No 5 Jalan Universiti, Bandar Sunway, Malaysia
* Dopisni autor.
Sažetak
The mutual fund (MF) market has witnessed phenomenal growth over the last few decades. Recently, investors have been paying increasing attention to ESG (environment, society, and governance). MFs performance is a sophisticated decision analysis that depends on multiple mutually contradictory factors. MF performance has been explicitly evaluated using multi-criteria decision analysis (MCDA) models in earlier research. However, there has been limited focus on ESG funds. This paper presents a case study that applies an innovative MCDA framework, using LODECI (Logarithmic Decomposition of Criteria Importance) and RAM (Root Assessment Method), to compare the market performance of leading ESG funds. The results show that the return, the alpha and the Sortino ratio are the most weighted criteria under the LODECI weighting scheme. The suggested methodology ranks ICICI Prudential, SBI, and Quant ESG funds as the top three performers among the funds considered. The Spearman rank correlation values range from 0.833 to 0.976, indicating that the ranking results are generally consistent with those of several well-known MCDA models, including SAW, CRADIS, MABAC, TOPSIS, PIV, and CoCoSo. This shows good convergent validity. Further, a sensitivity analysis suggests that the top and bottom rankings are stable under gradual changes in the criterion weights, while slight positional shifts are observed for mid-ranked funds under large redistributions of weights. The suggested methodology offers a simple approach to the multi-criteria performance evaluation of ESG funds and can serve as a valuable analytical tool for investors, fund analysts, and asset management organizations.
Ključne riječi
Sustainable Investment; Mutual Fund; LODECI; RAM; ESG Funds
Hrčak ID:
351148
URI
Datum izdavanja:
21.9.2026.
Posjeta: 0 *