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Mutual Fund Industry Performance: A Network Data Envelopment Analysis Approach

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Data Envelopment Analysis

Part of the book series: International Series in Operations Research & Management Science ((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.

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Authors and Affiliations

  1. Department of Accountancy and Finance, School of Business University of Otago, Dunedin, New Zealand

    I. M. Premachandra

  2. International Center for Auditing and Evaluation, Nanjing Audit University, Nanjing, P.R., China

    Joe Zhu

  3. School of Business, Worcester Polytechnic Institute, Worcester, MA, 01609-2247, USA

    Joe Zhu

  4. Department of Banking and Finance, Monash Business School, Monash University, Melbourne, VIC, Australia

    John Watson

  5. Department of Econometrics and Business Statistics, Monash Business School, Monash University, Melbourne, VIC, Australia

    Don U. A. Galagedera

Authors
  1. I. M. Premachandra
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  2. Joe Zhu
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  3. John Watson
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  4. Don U. A. Galagedera
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Corresponding author

Correspondence to Don U. A. Galagedera .

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Editors and Affiliations

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

    Joe Zhu

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Premachandra, I.M., Zhu, J., Watson, J., Galagedera, D.U.A. (2016). Mutual Fund Industry Performance: A Network Data Envelopment Analysis Approach. 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_7

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