Performance Evaluation of Mutual Funds: A Data Envelopment Analysis

Romana Bangash, Arif Hussain and Muhammad Hassan Azhar
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Romana Bangash: Assistant Professor, Department of Management Sciences, Institute of Management Sciences, Peshawar, KP, Pakistan.
Arif Hussain: Assistant Professor, IBL, Abdul Wali Khan University Mardan, Mardan, KP, Pakistan.
Muhammad Hassan Azhar: MS Scholar (Management Sciences), Institute of Management Sciences, Peshawar, KP, Pakistan.

Global Social Sciences Review, 2018, vol. 3, issue 2, 215-240

Abstract: This study conducts a regression analysis between the efficiency scores and the explanatory variables. Data was collected for explanatory variables like age of the mutual fund, size of fund family, number of funds in funds family, and volatility (beta). As this study used input oriented model, mutual funds were categorized and relatively evaluated on the basis of similar outcomes and inputs charged. Out of 44 mutual funds understudy, only 7 of the mutual funds were cost efficient. This indicates that nearly 37 of the mutual funds under study have more costs associated to them as compared to the return they are offering to the investors. It has been safely assumed that all the mutual funds, which are below the efficiency frontier, should compare themselves with the industry benchmark efficient mutual funds. In order to make these inefficient mutual funds reach the optimum and higher efficiency score, the fund managers should check every input and determine the slack they can afford to reduce the input without reducing the output generating from it.

Keywords: Performance Evaluation; Mutual Funds; Data Envelopment Analysis (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:gss:journl:v:3:y:2018:i:2:p:215-240

DOI: 10.31703/gssr.2018(III-II).14

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