Abstract

http://ssrn.com/abstract=2080478
 
 

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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


Abstract:     
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, G28

working papers series


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Date posted: June 13, 2012 ; Last revised: October 14, 2012

Suggested Citation

Haslem, John A. and Scheraga, Carl A., Data Envelopment Analysis of Morningstar's Large-Cap Mutual Funds (November 4, 2003). Available at SSRN: http://ssrn.com/abstract=2080478 or http://dx.doi.org/10.2139/ssrn.2080478

Contact Information

John A. Haslem (Contact Author)
University of Maryland - Robert H. Smith School of Business ( email )
College Park, MD 20742
United States
202-236-3172 (Phone)
Carl A. Scheraga
Fairfield University - Charles F. Dolan School of Business ( email )
N. Benson Road
Fairfield, CT 06824
United States
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References:  12
Citations:  3

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