Assessing Mutual Funds Performance Using Data Envelopment Analysis
نویسنده
چکیده
This study illustrates the use of data envelopment analysis to benchmark mutual funds on the basis of risk-adjusted performance, load, 12b-1 plan, and expense ratios. Using the DEA methodology, we calculate an efficiency score for 189 funds on a scale of 1 to 100 by maximizing twelve month total return and minimizing beta, standard deviation, load, 12b-1 charges, and expense ratios. This study benchmarks a mutual fund on the basis of risk-adjusted performance, load, 12b-1 plan, and expense ratio so that investor can select best performing funds on a broader basis rather than just the performance.
منابع مشابه
Using Data Envelopment Analysis Framework to Evaluate Mutual Fund Efficiency
The study shows the areas in which inefficient mutual funds are lagging behind and how they can improve their performance to bring them at par with other efficient mutual funds. Using data envelopment analysis approach, this study compares the relative efficiency of aggressive growth mutual funds. We study the efficiency of mutual funds in terms of risk-adjusted performance, load, 12b-1 plan, a...
متن کاملMutual Fund Performance Evaluation using Data Envelopment Analysis with Higher Moments
The mutual fund industry has experienced huge growth internationally, becoming one of the primary vehicles through which individuals and most institutions invest in capital markets. Thus, the evaluation of the performance of mutual funds has become a very interesting research topic both for academic researchers for managers of financial, banking and investment institutions. This paper proposes ...
متن کاملAppraisal of Mutual Equity Fund Performance Using Data Envelopment Analysis*
This paper employs Data Envelopment Analysis to measure for the first time the performance of Greek domestic equity mutual funds over four different one-year horizons and for the whole four-year period. In particular, the model used examines whether fund managers employ inputs (i.e. assets, loads, and risk) efficiently to produce output (returns). The results demonstrate that the efficient fund...
متن کاملPerformance Measurement and Best-Practice Benchmarking of Mutual Funds: Combining Stochastic Dominance criteria with Data Envelopment Analysis
We propose a method for mutual fund performance measurement and best-practice benchmarking, which endogenously identifies a dominating benchmark portfolio for each evaluated mutual fund. Dominating benchmarks provide information about efficiency improvement potential as well as portfolio strategies for achieving them. Portfolio diversification possibilities are accounts for by using Data Envelo...
متن کاملEfficiency of mutual funds in Croatia: a DEA-based approach applied in the pre-crisis, crisis and post crisis period
The aim of this paper is to estimate the overall performance of mutual funds in Croatia in terms of their relative efficiency based on several performance indicators using data envelopment analysis (DEA). DEA is a non-parametric method that can provide an overall relative efficiency score of a certain fund given a number of risk, cost or reward or profitability measures. Since traditional mutua...
متن کامل