Mutual Fund Industry Performance: A Network Data Envelopment Analysis Approach

I. M. Premachandra (), Joe Zhu (), John Watson () and Don Galagedera
Additional contact information
I. M. Premachandra: School of Business University of Otago
Joe Zhu: Nanjing Audit University

Chapter Chapter 7 in Data Envelopment Analysis, 2016, pp 165-228 from Springer

Abstract: 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 (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (5)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-1-4899-7684-0_7

Ordering information: This item can be ordered from
http://www.springer.com/9781489976840

DOI: 10.1007/978-1-4899-7684-0_7

Access Statistics for this chapter

More chapters in International Series in Operations Research & Management Science from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().