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Mutual Fund Industry Performance: A Network Data Envelopment Analysis Approach

  • I. M. Premachandra
  • Joe Zhu
  • John Watson
  • Don U. A. GalagederaEmail author
Chapter
Part of the International Series in Operations Research & Management Science book series (ISOR, volume 238)

Abstract

The objective of this chapter is twofold. First, we present a comprehensive review of the DEA literature that has evaluated mutual fund performance. Second, we present a two-stage DEA model that decomposes the overall efficiency of a decision-making unit into two components and demonstrate its applicability by assessing the relative performance of 66 large mutual fund families in the US over the period 1993–2008. By decomposing the overall efficiency into operational management efficiency and portfolio management efficiency components, we reveal the best performers, the families that deteriorated in performance, and those that improved in their performance over the sample period. We also make frontier projections for poorly performing mutual fund families and highlight how the portfolio managers have managed their funds relative to the others during financial crisis periods.

Keywords

Operational management efficiency Portfolio management efficiency Data envelopment analysis Input–output models Mutual fund families Performance 

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Copyright information

© Springer Science+Business Media New York 2016

Authors and Affiliations

  • I. M. Premachandra
    • 1
  • Joe Zhu
    • 2
    • 3
  • John Watson
    • 4
  • Don U. A. Galagedera
    • 5
    Email author
  1. 1.Department of Accountancy and FinanceSchool of Business University of OtagoDunedinNew Zealand
  2. 2.International Center for Auditing and EvaluationNanjing Audit UniversityNanjingP.R., China
  3. 3.School of Business, Worcester Polytechnic InstituteWorcesterUSA
  4. 4.Department of Banking and Finance, Monash Business SchoolMonash UniversityMelbourneAustralia
  5. 5.Department of Econometrics and Business Statistics, Monash Business SchoolMonash UniversityMelbourneAustralia

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