Mutual Funds Performance Appraisal Using a Multicriteria Decision Making Approach

This paper proposes an alternative mutual funds performance evaluation measure in the context of multicriteria decision making. Fund performance evaluation has been the topic of numerous studies for the last four decades with controversial results. We implement an original methodology on Greek domestic equity funds for the period 2000–2009. Employing a unique dataset of risk adjusted returns such as Carhart’s alpha and operational variables, we obtain a multicriteria performance evaluation and ranking of the mutual funds. The main conclusion is that among employed variables, the sophisticated Carhart’s alpha plays the most important role in determining fund rankings. On the other hand, funds’ rankings are affected only marginally by operational attributes.