Data Envelopment Analysis of Morningstar's Large-Cap Mutual Funds
John A. Haslem
University of Maryland - Robert H. Smith School of Business
Carl A. Scheraga
Fairfield University - Charles F. Dolan School of Business
November 4, 2003
What the study findings say is that there are identified input/output and profile variables that are significantly different between the Morningstar 500’s (1999) large-cap mutual funds that are DEA performance efficient and inefficient. The Sharpe Index represents the DEA output variable.
That is, the findings indicate the variables that are significantly different between performance efficient and inefficient funds and the nature of their relationships. The variable values associated with efficient funds are relatively conservative in nature, not aggressive. This finding is consistent with characterizing the investment style of large cap DEA performance efficient funds as predominantly value rather than growth.
Number of Pages in PDF File: 19
Keywords: DEA, mutual funds, Morningstar, performance efficient & inefficient, value v. growth
JEL Classification: G2, G23, G28working papers series
Date posted: June 13, 2012 ; Last revised: October 14, 2012
© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo4 in 0.250 seconds