Single and Multi-Criteria Ranking of Mutual Fund Schemes

42 Pages Posted: 3 Jan 2006

See all articles by S.V.D. Nageswara Rao

S.V.D. Nageswara Rao

Indian Institute of Technology (IIT), Bombay - Shailesh J. Mehta School of Management (SJM)

Leena Shrivastava

Indian Institute of Technology (IIT), Bombay - Shailesh J. Mehta School of Management (SJM)

Vishnu S. Ramachandra

Indian Institute of Technology (IIT), Bombay - Shailesh J. Mehta School of Management (SJM)

Date Written: December 20, 2004

Abstract

We evaluate the performance of 21 equity (growth) funds using data envelopment analysis (DEA), Semi-Standard Deviation, Negative Potential Measure, and Morning Star Methodology. The results are compared with those obtained using conventional performance evaluation methods of Sharpe, Treynor, and Jensen. DEA is a multi input-output analytical tool, which includes transaction costs, diversification efficiency, and fund manager's stock selection skills in addition to risk and return. Semi-standard deviation and Negative Potential are modified risk measures which reflect a fund's downside risk only. We use two evaluation windows of 1997 - 2000 and 2001 - 2004 to analyze rank migration, and 5 investment horizons of 1, 3, 6, 12 and 24 months to include preferences of different investors.

Keywords: Mutual fund, Sharpe, Treynor, Jensen, DEA, Morning Star Methodology, Semi-Standard Deviation, Negative Potential

JEL Classification: G2

Suggested Citation

Nageswara Rao, S. V. D. and Shrivastava, Leena and Ramachandra, Vishnu S., Single and Multi-Criteria Ranking of Mutual Fund Schemes (December 20, 2004). Available at SSRN: https://ssrn.com/abstract=873430 or http://dx.doi.org/10.2139/ssrn.873430

S. V. D. Nageswara Rao (Contact Author)

Indian Institute of Technology (IIT), Bombay - Shailesh J. Mehta School of Management (SJM) ( email )

Powai
Mumbai 400076
India
91-22-25767789 (Phone)
91-22-25722872 (Fax)

Leena Shrivastava

Indian Institute of Technology (IIT), Bombay - Shailesh J. Mehta School of Management (SJM) ( email )

Powai
Mumbai, Maharashtra 400076
India

Vishnu S. Ramachandra

Indian Institute of Technology (IIT), Bombay - Shailesh J. Mehta School of Management (SJM) ( email )

Powai
Mumbai, Maharashtra 400076
India

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
576
Abstract Views
2,752
Rank
90,917
PlumX Metrics