A Data Envelopment Analysis Approach to Measure the Mutual Fund Performance

Science Direct Working Paper No S1574-0358(04)70516-X

20 Pages Posted: 26 Mar 2018

See all articles by Antonella Basso

Antonella Basso

Ca Foscari University of Venice - Dipartimento di Economia

Stefania Funari

Ca Foscari University of Venice - Department of Management

Date Written: June 2001

Abstract

In this paper we present a model which can be used to evaluate the performance of mutual funds. This model applies an operational research methodology, called data envelopment analysis (DEA), which allows to measure the relative efficiency of decision making units. This approach allows to define mutual fund performance indexes that can take into account several inputs and thus consider different risk measures and, above all, the investment costs (subscription costs and redemption fees). Moreover, the DEA approach can naturally envisage other output indicators, in addition to the mean return considered by the traditional indexes. Therefore, a generalized version of the DEA mutual fund performance indexes is defined, too, which includes among the outputs a stochastic dominance indicator that reflects both the investors’ preference structure and the time occurrence of the returns. In addition, the procedure allows to identify, for each mutual fund, a composite portfolio which can be considered as a particular benchmark. The performance indexes proposed are tested on empirical data.

Keywords: Finance, Data envelopment analysis, Mutual fund performance indexes

Suggested Citation

Basso, Antonella and Funari, Stefania, A Data Envelopment Analysis Approach to Measure the Mutual Fund Performance (June 2001). Mathematics Preprint Archive Vol. 2001, Issue 6, pp 625-644. Available at SSRN: https://ssrn.com/abstract=3148521

Antonella Basso (Contact Author)

Ca Foscari University of Venice - Dipartimento di Economia ( email )

Cannaregio 873
Venice, 30121
Italy
+39-041-2346914 (Phone)

HOME PAGE: http://www.unive.it/nqcontent.cfm?a_id=82251&pid=5591751

Stefania Funari

Ca Foscari University of Venice - Department of Management ( email )

San Giobbe, Cannaregio 873
Venice, 30121
Italy

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