Skip to main content
SpringerLink
Log in
Book cover

Data Envelopment Analysis pp 229–287Cite as

DEA Performance Assessment of Mutual Funds

  • Chapter
  • First Online:

Part of the book series: International Series in Operations Research & Management Science ((ISOR,volume 238))

Abstract

The objectives of this paper are manyfold. First we present a comprehensive review of the literature of DEA models for the performance assessment of mutual funds. Then we discuss the problem of the presence of negative returns in DEA modeling for mutual funds and we identify a DEA model that is financially justified and tackles the issue of negative returns in a natural way. Moreover, we present an empirical application on real market data, considering different risk measures. We consider also different holding periods, which include both a period of financial crisis and one of financial recovery. Moreover, we compare the results of the DEA performance measure with those obtained with traditional financial indicators.

This is a preview of subscription content, log in via an institution.

Chapter
USD   29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD   139.00
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD   179.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book
USD   249.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions

References

  • Abdelsalam O, Duygun-Fethi M, Matallín JC, Tortosa-Ausina E (2014a) On the comparative performance of socially responsible and Islamic mutual funds. J Econ Behav Organ 103:S108–S128

    Article  Google Scholar 

  • Abdelsalam O, Duygun M, Matallín-Sáez JC, Tortosa-Ausina E (2014b) Do ethics imply persistence? The case of Islamic and socially responsible funds. J Bank Financ 40:182–194

    Article  Google Scholar 

  • Adamauskas S, Krusinskas R (2012) Behavioural finance efficiency under the influence of country’s economic cycle. Inzinerine Ekon Eng Econ 23:327–337

    Google Scholar 

  • Adeli O (2013) Measuring the efficiency of mutual funds. J Oper Res Appl (J Appl Math) 9:27–41

    Google Scholar 

  • Alexakis P, Tsolas I (2011) Appraisal of mutual equity fund performance using data envelopment analysis. Multinatl Financ J 15:273–296

    Article  Google Scholar 

  • Ali AI, Seiford LM (1990) Translation invariance in data envelopment analysis. Oper Res Lett 9:403–405

    Article  Google Scholar 

  • Ali Asghar MJ-K, Afza T, Bodla MA (2013) Efficiency of the mutual funds in Pakistan. Middle-East J Sci Res 18:1055–1064

    Google Scholar 

  • Ammann M, Moerth P (2008) Performance of funds of hedge funds. J Wealth Manag 2008:46–63

    Article  Google Scholar 

  • Anderson RI, Brockman CM, Giannikos C, McLeod RW (2004) A non-parametric examination of real estate mutual fund efficiency. Int J Bus Econ 3:225–238

    Google Scholar 

  • Andreu L, Sarto JL, Vicente L (2014) Efficiency of the strategic style of pension funds: an application of the variants of the slacks-based measure in DEA. J Oper Res Soc 65:1886–1895

    Article  Google Scholar 

  • Babalos V, Caporale GM, Philippas N (2012) Efficiency evaluation of Greek equity funds. Res Int Bus Financ 26:317–333

    Article  Google Scholar 

  • Babalos V, Doumpos M, Philippas N, Zopounidis C (2015) Towards a holistic approach for mutual fund performance appraisal. Comput Econ 46:35–53

    Article  Google Scholar 

  • Baghdadabada MRT, Tanha FH, Halid N (2013) The efficiency evaluation of mutual fund managers based on DARA, CARA, IARA. J Bus Econ Manag 14:677–695

    Article  Google Scholar 

  • Bahrani R, Khedri N (2013) Evaluation of relative efficiency and performance of companies using data envelopment analysis (DEA) approach. Elixir Financ Manag 56:13299–13304

    Google Scholar 

  • Banihashemi S, Sanei M (2013) Portfolio optimization and asset allocations using DEA and DEA/AHP. Ind J Sci Res 4:81–86

    Google Scholar 

  • Banker R, Charnes A, Cooper WW (1984) Some models for estimating technical and scale inefficiencies in data envelopment analysis. Manag Sci 30:1078–1092

    Article  Google Scholar 

  • Barrientos A, Boussofiane A (2005) How efficient are pension fund managers in Chile? Rev Econ Contemp 9:289–311

    Article  Google Scholar 

  • Basso A, Funari S (2001) A data envelopment analysis approach to measure the mutual fund performance. Eur J Oper Res 135:477–492

    Article  Google Scholar 

  • Basso A, Funari S (2003) Measuring the performance of ethical mutual funds: a DEA approach. J Oper Res Soc 54:521–531

    Article  Google Scholar 

  • Basso A, Funari S (2005a) A generalized performance attribution technique for mutual funds. Cent Eur J Oper Res 13:65–84

    Google Scholar 

  • Basso A, Funari S (2005b) Performance evaluation of ethical mutual funds in slump periods. Rendiconti per gli Studi Economici Quantitativi 2005:89–105

    Google Scholar 

  • Basso A, Funari S (2008) DEA models for ethical and non ethical mutual funds. Math Methods Econ Financ 2:21–40

    Google Scholar 

  • Basso A, Funari S (2014a) Constant and variable returns to scale DEA models for socially responsible investment funds. Eur J Oper Res 235:775–783

    Article  Google Scholar 

  • Basso A, Funari S (2014b) DEA models with a constant input for SRI mutual funds with an application to European and Swedish funds. Int Trans Oper Res 21:979–1000

    Article  Google Scholar 

  • Basso A, Funari S (2014c) The role of fund size and returns to scale in the performance of mutual funds. In: Perna C, Sibillo M (eds) Mathematical and statistical methods for actuarial sciences and finance. Springer, Cham, pp 21–25

    Chapter  Google Scholar 

  • Basso A, Funari S (2014d) Socially responsible mutual funds: an efficiency comparison among the European countries. In: Mathematical and statistical methods for actuarial sciences and finance. Springer, Cham, pp 69–79

    Google Scholar 

  • Batra D, Batra G (2012) A DEA comparison of systematic and lump sum investment in mutual funds. Int J Comput Bus Res 3:1–10

    Google Scholar 

  • Branda M (2011) Third-degree stochastic dominance and DEA efficiency-relations and numerical comparison. In: Dlouhý M, Skočdopolová V (eds) Proceedings of the 29th international conference on mathematical methods in economics. University of Economics in Prague, Jánská Dolina, pp 64–69

    Google Scholar 

  • Branda M (2013a) Diversification-consistent data envelopment analysis with general deviation measure. Eur J Oper Res 226:626–635

    Article  Google Scholar 

  • Branda M (2013b) Diversification-consistent DEA-risk tests – solution techniques and an empirical comparison. In: Vojáčková H (ed) Proceedings of the 31th international conference on mathematical methods in economics. College of Polytechnics Jihlava, Jihlava, pp 77–82

    Google Scholar 

  • Branda M (2013c) Reformulations of input-output oriented DEA tests with diversification. Oper Res Lett 41:516–520

    Article  Google Scholar 

  • Branda M, Kopa M (2012a) DEA-risk efficiency and stochastic dominance efficiency of stock indices. Czech J Econ Financ 62:106–124

    Google Scholar 

  • Branda M, Kopa M (2012b) From stochastic dominance to DEA-risk models: portfolio efficiency analysis. In: Sakalauskas L, Tomasgard A, Wallace SW (eds) Proceedings of the international workshop on stochastic programming for implementation and advanced applications. Vilnius Gediminas Technical University, Vilnius, pp 13–18

    Chapter  Google Scholar 

  • Branda M, Kopa M (2014) On relations between DEA-risk models and stochastic dominance efficiency tests. Cent Eur J Oper Res 22:13–35

    Article  Google Scholar 

  • Brandouy O, Kerstens K, Van de Woestyne I (2015) Frontier-based vs.traditional mutual fund ratings: a first backtesting analysis. Eur J Oper Res 242:332–342

    Article  Google Scholar 

  • Briec W, Kerstens K, Lesourd JB (2004) Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function. J Optim Theory Appl 120:1–27

    Article  Google Scholar 

  • Briec W, Kerstens K, Jokung O (2007) Mean-variance-skewness portfolio performance gauging: a general shortage function and dual approach. Manag Sci 53:135–149

    Article  Google Scholar 

  • Chang JF (2010) Applying DEA investment portfolio efficiency index and GA to the establishment of the fund of funds in Taiwan. Int J Organ Innov 2:225–249

    Google Scholar 

  • Chang K-P (2004) Evaluating mutual fund performance: an application of minimum convex input requirement set approach. Comput Oper Res 31:929–940

    Article  Google Scholar 

  • Chen H-H (2008) Stock selection using data envelopment analysis. Ind Manag Data Syst 108:1255–1268

    Article  Google Scholar 

  • Chen Z, Lin R (2006) Mutual fund performance evaluation using data envelopment analysis with new risk measures. OR Spectr 28:375–398

    Article  Google Scholar 

  • Chen Y-C, Chiu Y-H, Li M-C (2011) Mutual fund performance evaluation - application of system BCC model. S Afr J Econ 79:1–16

    Article  Google Scholar 

  • Cheng G, Zervopoulos P, Qian Z (2013) A variant of radial measure capable of dealing with negative inputs and outputs in data envelopment analysis. Eur J Oper Res 225:100–105

    Article  Google Scholar 

  • Choi YK, Murthi BPS (2001) Relative performance evaluation of mutual funds: a non-parametric approach. J Bus Financ Account 28:853–876

    Article  Google Scholar 

  • Chu J, Chen F, Leung P (2010) ETF performance measurement-data envelopment analysis. In: International conference on service systems and service management (ICSSSM), 28–30 June 2010, pp 1–6

    Google Scholar 

  • Cooper WW, Seiford LM, Zhu J (eds) Handbook on data envelopment analysis, 2nd edn. Springer, New York

    Google Scholar 

  • Daraio C, Simar L (2006) A robust nonparametric approach to evaluate and explain the performance of mutual funds. Eur J Oper Res 175:516–542

    Article  Google Scholar 

  • Darling G, Mukherjee K, Wilkens K (2004) CTA performance evaluation with data envelopment analysis. In: Gregoriou GN, Karavas VN, Lhabitant F-S, Rouah F (eds) Commodity trading advisors: risk, performance analysis, and selection. Wiley, Hoboken, pp 79–104

    Google Scholar 

  • de Guzman MPR, Cabanda EC (2005) Performance appraisal of Philippine mutual funds using DEA approach. Labuan Bull Int Bus Financ 3:65–77

    Google Scholar 

  • Devaney M, Weber WL (2005) Efficiency, scale economies, and the risk/return performance of real estate investment trusts. J Real Estate Financ Econ 31:301–317

    Article  Google Scholar 

  • Dia M (2009) A portfolio selection methodology based on data envelopment analysis. Inf Syst Oper Res 47:71–79

    Google Scholar 

  • Ding H, Zhou Z, Xiao H, Ma C, Liu W (2014) Performance evaluation of portfolios with margin requirements. Math Probl Eng 2014:1–8

    Google Scholar 

  • Diz F, Gregoriou GN, Rouah F, Satchell SE (2004) Simple and cross-efficiency of CTAs using data envelopment analysis. In: Gregoriou GN, Karavas VN, Lhabitant F-S, Rouah F (eds) Commodity trading advisors: risk, performance analysis, and selection. Wiley, Hoboken, pp 129–147

    Google Scholar 

  • Edirisinghe NCP, Zhang X (2007) Generalized DEA model of fundamental analysis and its application to portfolio optimization. J Bank Financ 31:3311–3335

    Article  Google Scholar 

  • Edirisinghe NCP, Zhang X (2010) Input/output selection in DEA under expert information, with application to financial markets. Eur J Oper Res 207:1669–1678

    Article  Google Scholar 

  • Einolf KW (2007) Building a socially responsible equity portfolio using data envelopment analysis. Philosophica 80:71–103

    Google Scholar 

  • Eling M (2006) Performance measurement of hedge funds using data envelopment analysis. Financ Mark Portfolio Manag 20:442–471

    Article  Google Scholar 

  • Emrouznejad A, Anouze AL, Thanassoulis E (2010) A semi-oriented radial measure for measuring the efficiency of decision making units with negative data, using DEA. Eur J Oper Res 200:297–304

    Article  Google Scholar 

  • Galagedera DUA (2013) A new perspective of equity market performance. J Int Financ Mark Inst Money 26:333–357

    Article  Google Scholar 

  • Galagadera DUA, Silvapulle P (2002) Australian mutual fund performance appraisal using data envelopment analysis. Manag Financ 28:60–73

    Google Scholar 

  • Glawischnig M, Sommersguter-Reichmann M (2010) Assessing the performance of alternative investments using non-parametric efficiency measurement approaches: is it convincing? J Bank Financ 34:295–303

    Article  Google Scholar 

  • Gnanasekar IF, Arul R (2013) Financial risk tolerance using data envelopment analysis-a case study. ZENITH Int J Bus Econ Manag Res 3:251–262

    Google Scholar 

  • Gnanasekar IF, Arul R (2014) Data envelopment analysis: Jeopardy can never be defeat without taking financial risk tolerance. Indian J Appl Res 4:121–124

    Article  Google Scholar 

  • Gökgöz F (2010) Measuring the financial efficiencies and performances of Turkish funds. Acta Oecon 60:295–320

    Article  Google Scholar 

  • Gökgöz F, Çandarli D (2011) Data envelopment analysis: a comparative efficiency measurement for Turkish pension and mutual funds. Int J Econ Perspect 5:261–281

    Google Scholar 

  • Gregoriou GN (2003) Performance appraisal of funds of hedge funds using data envelopment analysis. J Wealth Manag 5:88–95

    Article  Google Scholar 

  • Gregoriou GN (2006a) Optimisation of the largest US mutual funds using data envelopment analysis. J Asset Manag 6:445–455

    Article  Google Scholar 

  • Gregoriou GN (2006b) Trading efficiency of commodity trading advisors using data envelopment analysis. Derivatives Use Trading Regul 12:102–114

    Article  Google Scholar 

  • Gregoriou GN (2007) Efficiency of US mutual funds using data envelopment analysis. In: Gregoriou GN (ed) Performance of mutual funds: an international perspective. Palgrave Macmillan, Basingstoke, pp 152–167

    Google Scholar 

  • Gregoriou GN, Chen Y (2006) Evaluation of commodity trading advisors using fixed and variable and benchmark models. Ann Oper Res 145:183–200

    Article  Google Scholar 

  • Gregoriou GN, Henry SC (2015) Undesirable outputs in commodities trading advisers: a data envelopment analysis approach. J Wealth Manag 17:85–92

    Article  Google Scholar 

  • Gregoriou GN, Zhu J (2005) Evaluating hedge fund and CTA performance: data envelopment analysis approach. Wiley, New York

    Google Scholar 

  • Gregoriou GN, Zhu J (2007) Data envelopment analysis: a way to assess the efficiency of funds of hedge funds. J Portfolio Manag 33:120–132

    Article  Google Scholar 

  • Gregoriou GN, Rouah F, Sedzro K (eds) (2003) Performance evaluation of hedge funds. Beard Books, Washington

    Google Scholar 

  • Gregoriou GN, Sedzro K, Zhu J (2005) Hedge fund performance appraisal using data envelopment analysis. Eur J Oper Res 164:555–571

    Article  Google Scholar 

  • Guillén GB (2008) Is efficiency the equivalent to a high rate of return for private pension funds? Evidence from Latin American countries. J CENTRUM Cathedra 1:109–117

    Article  Google Scholar 

  • Guo J, Ma C, Zhou Z (2012) Performance evaluation of investment funds with DEA and higher moments characteristics: financial engineering perspective. Syst Eng Proc 3:209–216

    Article  Google Scholar 

  • Hanafizadeh P, Khedmatgozar HR, Emrouznejad A, Derakhshan M (2014) Neural network DEA for measuring the efficiency of mutual funds. Int J Appl Decis Sci 7:255–269

    Article  Google Scholar 

  • Haslem JA, Scheraga CA (2003) Data envelopment analysis of Morningstar’s large-cap mutual funds. J Invest 12:41–48

    Article  Google Scholar 

  • Haslem JA, Scheraga CA (2006) Data envelopment analysis of Morningstar’s small-cap mutual funds. J Invest 15:87–92

    Article  Google Scholar 

  • Hsu C-M (2014) An integrated procedure for resolving portfolio optimization problems using data envelopment analysis, ant colony optimization and gene expression programming. Int J Comput Sci Bus Inform 9:45–65

    Google Scholar 

  • Hsu C-S, Lin J-R (2007) Mutual fund performance and persistence in Taiwan: a non-parametric approach. Serv Ind J 27:509–523

    Article  Google Scholar 

  • Hu J-L, Chang T-P (2008) Decomposition of mutual fund underperformance. Appl Financ Econ Lett 4:363–367

    Article  Google Scholar 

  • Hu J-L, Yu H-E, Wang Y-T (2012) Manager attributes and fund performance: evidence from Taiwan. J Appl Financ Bank 2:85–101

    Google Scholar 

  • Huang TH, Leu YH (2014) A mutual fund investment method using fruit fly optimization algorithm and neural network. Appl Mech Mater 571–572:318–325

    Article  Google Scholar 

  • Huang C-Y, Chiou C-C, Wu T-H, Yang S-C (2015) An integrated DEA-MODM methodology for portfolio optimization. Oper Res 15:115–136

    Google Scholar 

  • Ismail MKA, Salamudin N, Rahman NMNA, Kamaruddin BH (2012) DEA portfolio selection in Malaysian stock market. In: 2012 international conference on innovation management and technology research (ICIMTR), 21–22 May 2012, pp 739–743

    Google Scholar 

  • Jensen MC (1968) The performance of mutual funds in the period 1945–1964. J Financ 23:389–416

    Article  Google Scholar 

  • Jeong SO, Hoss A, Park C, Kang K-H, Ryu Y (2013) Portfolio selection for socially responsible investment via nonparametric frontier models. Commun Stat Appl Methods 20:115–127

    Google Scholar 

  • Joro T, Na P (2006) Portfolio performance evaluation in a mean-variance-skewness framework. Eur J Oper Res 175:446–461

    Article  Google Scholar 

  • Kadoya S, Kuroko T, Namatame T (2008) Contrarian investment strategy with data envelopment analysis concept. Eur J Oper Res 189:120–131

    Article  Google Scholar 

  • Kerstens K, Van de Woestyne I (2011) Negative data in DEA: a simple proportional distance function approach. J Oper Res Soc 62:1413–1419

    Article  Google Scholar 

  • Kerstens K, Mounir A, Van de Woestyne I (2011) Non-parametric frontier estimates of mutual fund performance using C- and L-moments: some specification tests. J Bank Financ 35:1190–1201

    Article  Google Scholar 

  • Kerstens K, Mounir A, Van de Woestyne I (2012) Benchmarking mean-variance portfolios using a shortage function: the choice od direction vector affects rankings! J Oper Res Soc 63:1199–1212

    Article  Google Scholar 

  • Khedmatgozar HR, Kazemi A, Hanafizadeh P (2013) Mutual fund performance evaluation: a value efficiency analysis approach. Int J Electron Financ 7:263–280

    Article  Google Scholar 

  • Kumar UD, Roy A, Saranga H, Singal K (2010) Analysis of hedge fund strategies using slack-based DEA models. J Oper Res Soc 61:1746–1760

    Article  Google Scholar 

  • Kumar Singh A, Sahu R, Bharadwaj S (2010) Portfolio evaluation using OWA-heuristic algorithm and data envelopment analysis. J Risk Financ 11:75–88

    Article  Google Scholar 

  • Lamb JD, Tee K-H (2012a) Data envelopment analysis models of mutual funds. Eur J Oper Res 216:687–696

    Article  Google Scholar 

  • Lamb JD, Tee K-H (2012b) Resampling DEA estimates of investment fund performance. Eur J Oper Res 223:834–841

    Article  Google Scholar 

  • Lamb JD, Tee K-H (2012c) Data envelopment analysis (DEA) integrated risk assessment technique on hedge funds investment: theory and practical application. In: Risk assessment and management. Academy Publish, Wyoming, pp 73–84

    Google Scholar 

  • Lim S, Oh KW, Zhu J (2014) Use of DEA cross-efficiency evaluation in portfolio selection: an application to Korean stock market. Eur J Oper Res 236:361–368

    Article  Google Scholar 

  • Lin R (2009) Mutual fund performance dynamic evaluation using data envelopment windows analysis. In: International conference on management and service science, pp 1–4

    Google Scholar 

  • Lin R, Chen Z (2008) New DEA performance evaluation indices and their applications in the American fund market. Asia Pac J Oper Res 25:421

    Article  Google Scholar 

  • Lopes A, Lanzer E, Lima M, da Costa N Jr (2008) DEA investment strategy in the Brazilian stock market. Econ Bull 13:1–10

    Google Scholar 

  • Lovell CAK, Pastor JT (1995) Units invariant and translation invariant DEA models. Oper Res Lett 18:147–151

    Article  Google Scholar 

  • Lozano S, Gutiérrez E (2008a) Data envelopment analysis of mutual funds based on second-order stochastic dominance. Eur J Oper Res 189:230–244

    Article  Google Scholar 

  • Lozano S, Gutiérrez E (2008b) TSD-consistent performance assessment of mutual funds. J Oper Res Soc 59:1352–1362

    Article  Google Scholar 

  • Majid MSA, Maulana H (2010) Assessing performance of mutual funds in Indonesia. J Econ Coop Dev 31:49–76

    Google Scholar 

  • Majid MSA, Maulana H (2012) A comparative analysis of the productivity of Islamic and conventional mutual funds in Indonesia: data envelopment analysis (DEA) and general least square (GLS) approaches. Gadjah Mada Int J Bus 14:183

    Google Scholar 

  • Malhotra DK, Malhotra R (2012) Using data envelopment analysis framework to evaluate mutual fund efficiency. In: 2012 Northeast decision sciences institute conference proceedings, pp 137–143

    Google Scholar 

  • Margaritis DM, Otten R, Tourani-Rad A (2007) New Zealand equity fund performance appraisal: a non-parametric approach. In: Gregoriou G (ed) Performance of mutual funds: an international perspective. Palgrave-McMillan, New York, pp 17–30

    Google Scholar 

  • Matallín-Sáez JC, Soler-Domínguez A, Tortosa-Ausina E (2014) On the informativeness of persistence for evaluating mutual fund performance using partial frontiers. Omega Int J Manag Sci 42:47–64

    Article  Google Scholar 

  • McMullen PR, Strong RA (1998) Selection of mutual funds using data envelopment analysis. J Bus Econ Stud 4:1–12

    Google Scholar 

  • Medeiros Garcia MT (2010) Efficiency evaluation of the Portuguese pension funds management companies. J Int Financ Mark Inst Money 20:259–266

    Article  Google Scholar 

  • Morey MR, Morey RC (1999) Mutual fund performance appraisals: a multi-horizon perspective with endogenous benchmarking. Omega Int J Manag Sci 27:241–258

    Article  Google Scholar 

  • Murthi BPS, Choi YK, Desai P (1997) Efficiency of mutual funds and portfolio performance measurement: a non-parametric approach. Eur J Oper Res 98:408–418

    Article  Google Scholar 

  • Pai V (2012) Risk budgeted portfolio optimization using an extended ant colony optimization metaheuristic. Int J Appl Metaheuristic Comput 3:25–42

    Article  Google Scholar 

  • Pastor JT (1996) Translation invariance in data envelopment analysis: a generalization. Ann Oper Res 66:93–102

    Article  Google Scholar 

  • Pastor JT, Ruiz JL (2007) Variables with negative values in DEA. In: Zhu J, Cook WD (eds) Modeling data irregularities and structural complexities in data envelopment analysis. Springer, New York, pp 63–84

    Chapter  Google Scholar 

  • Pätäri E, Leivo T, Honkapuro S (2010) Enhancement of value portfolio performance using data envelopment analysis. Stud Econ Financ 27:223–246

    Article  Google Scholar 

  • Pätäri E, Leivo T, Honkapuro S (2012) Enhancement of equity portfolio performance using data envelopment analysis. Eur J Oper Res 220:786–797

    Article  Google Scholar 

  • Pendaraki K (2012) Mutual fund performance evaluation using data envelopment analysis with higher moments. J Appl Financ Bank 2:97–112

    Google Scholar 

  • Pérez-Gladish B, Rodríguez MP, M’zali B, Lang P (2013) Mutual funds efficiency measurement under financial and social responsibility criteria. J Multi-Criteria Decis Anal 20:109–125

    Article  Google Scholar 

  • Pestana Barros C, Medeiros Garcia MT (2006) Performance evaluation of pension funds management companies with data envelopment analysis. Risk Manag Insur Rev 9:165–188

    Article  Google Scholar 

  • Powers J, McMullen PR (2000) Using data envelopment analysis to select efficient large market cap securities. J Bus Manag 7:31–42

    Google Scholar 

  • Prasanna PK (2012) Performance of exchange-traded funds in India. Int J Bus Manag 7:122–143

    Article  Google Scholar 

  • Premachandra I, Powell JG, Shi J (1998) Measuring the relative efficiency of fund management strategies in New Zealand using a spreadsheet-based stochastic data envelopment analysis model. Omega Int J Manag Sci 26:319–331

    Article  Google Scholar 

  • Premachandra I, Zhu J, Watson J, Galagadera DUA (2012) Best-performing US mutual fund family from 1993 to 2008: evidence from a novel two-stage DEA model for efficiency decompostition. J Bank Financ 36:3302–3317

    Article  Google Scholar 

  • Rubio JF, Hassan MK, Merdad HJ (2012) Nonparametric performance measurement of international and Islamic mutual funds. Account Res J 25:208–226

    Article  Google Scholar 

  • Saad NM, Majid MSA, Kassim S, Hamid Z, Yusof RM (2010) A comparative analysis of the performance of conventional and Islamic unit trust companies in Malaysia. Int J Manag Financ 6:24–47

    Google Scholar 

  • Sahoo BK, Meera E (2008) A comparative application of alternative DEA models in selecting efficient large cap market securities in India. Int J Manag Perspect 2:62–74

    Google Scholar 

  • Sedzro K (2009) New evidence on hedge fund performance measures. Int Bus Econ Res J 8:95–105

    Google Scholar 

  • Sengupta JK (2003) Efficiency tests for mutual fund portfolios. Appl Financ Econ 13:869–876

    Article  Google Scholar 

  • Sharpe WF (1994) The sharpe ratio. J Portfolio Manag 21:49–58

    Article  Google Scholar 

  • Silva Portela MCA, Thanassoulis E, Simpson G (2004) Negative data in DEA: a directional distance approach applied to bank branches. J Oper Res Soc 55:1111–1121

    Article  Google Scholar 

  • Simar L, Vanhems A (2012) Probabilistic characterization of directional distances and their robust versions. J Econom 166:342–354

    Article  Google Scholar 

  • Simar L, Vanhems A, Wilson PW (2012) Statistical inference for DEA estimators of directional distances. Eur J Oper Res 220:853–864

    Article  Google Scholar 

  • Soongswang A, Sanohdontree Y (2011a) Equity mutual fund: performances, persistence and fund rankings. J Knowl Manag Econ Inf Technol 6:1–27

    Google Scholar 

  • Soongswang A, Sanohdontree Y (2011b) Open-ended equity mutual funds. Int J Bus Soc Sci 2:127–136

    Google Scholar 

  • Sortino FA, van der Meer R (1991) Downside risk. J Portfolio Manag 17:27–31

    Article  Google Scholar 

  • Tarim SA, Karan MB (2001) Investment fund performance measurement using weight restricted data envelopment analysis: an application to the Turkish capital market. Russ East Eur Financ Trade 37:64–84

    Google Scholar 

  • Tavakoli Baghdadabad MR, Noori Houshyar A (2014) Productivity and efficiency evaluation of US mutual funds. Czech J Econ Financ (Finance a úvěr) 64:120–143

    Google Scholar 

  • Tokic D (2012) Managed futures for long-term investors: a DEA ranking analysis. Aust Econ Rev 45:422–440

    Article  Google Scholar 

  • Treynor JL (1965) How to rate management of investment funds. Harv Bus Rev 43:63–75

    Google Scholar 

  • Tsolas IE (2011) Natural resources exchange traded funds: performance appraisal using DEA modeling. J CENTRUM Cathedra 4:250–259

    Article  Google Scholar 

  • Tsolas IE (2014) Precious metal mutual fund performance appraisal using DEA modeling. Resour Policy 39:54–60

    Article  Google Scholar 

  • Tsolas IE, Charles V (2015) Green exchange-traded fund performance appraisal using slacks-based DEA models. Oper Res 15:51–77

    Google Scholar 

  • Wilkens K, Zhu J (2001) Portfolio evaluation and benchmark selection: a mathematical programming approach. J Altern Invest 4:9–19

    Article  Google Scholar 

  • Zamani L, Beegam R, Borzoian S (2014) Portfolio selection using data envelopment analysis (DEA): a case of select Indian investment companies. Int J Curr Res Acad Rev 2:50–55

    Google Scholar 

  • Zhao X, Shi J (2010) Evaluation of mutual funds using multi-dimensional information. Front Comput Sci China 4:237–253

    Article  Google Scholar 

  • Zhao X, Wang S-Y (2007) Empirical study on Chinese mutual funds’ performance. Syst Eng Theory Pract 27:1–11

    Article  Google Scholar 

  • Zhao X, Yue W (2008) Coned context DEA model with application to mutual funds evaluation. In: IEEE international conference on industrial engineering and engineering management, pp 805–809

    Google Scholar 

  • Zhao X, Yue W (2012) A multi-subsystem fuzzy DEA model with its application in mutual funds management companies’ competence evaluation. Proc Comput Sci 1:2469–2478

    Article  Google Scholar 

  • Zhao X, Wang S, Lai KK (2011) Mutual funds performance evaluation based on endogenous benchmarks. Expert Syst Appl 38:3663–3670

    Article  Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Department of Economics, Ca’ Foscari University of Venice, Cannaregio 873, 30121, Venice, Italy

    Antonella Basso

  2. Department of Management, Ca’ Foscari University of Venice, Cannaregio 873, 30121, Venice, Italy

    Stefania Funari

Authors
  1. Antonella Basso
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Stefania Funari
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Antonella Basso .

Editor information

Editors and Affiliations

  1. School of Business, Worcester Polytechnic Institute, Worcester, Massachusetts, USA

    Joe Zhu

Rights and permissions

Reprints and permissions

Copyright information

© 2016 Springer Science+Business Media New York

About this chapter

Cite this chapter

Basso, A., Funari, S. (2016). DEA Performance Assessment of Mutual Funds. In: Zhu, J. (eds) Data Envelopment Analysis. International Series in Operations Research & Management Science, vol 238. Springer, Boston, MA. https://doi.org/10.1007/978-1-4899-7684-0_8

Download citation

Publish with us

Policies and ethics

Search

Navigation