Data Envelopment Analysis of Morningstar's Large-Cap Mutual Funds
19 Pages Posted: 13 Jun 2012 Last revised: 14 Oct 2012
Date Written: 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.
Keywords: DEA, mutual funds, Morningstar, performance efficient & inefficient, value v. growth
JEL Classification: G2, G23, G28
Suggested Citation: Suggested Citation