 A new network DEA model for mutual fund performance appraisal: An application to U.S. equity mutual fundsDon Galagedera, Israfil Roshdi (), Hirofumi Fukuyama () and Joe Zhu Omega, 2018, vol. 77, issue C, 168-179 Abstract: Mutual fund is a popular investment vehicle for investors. Investors usually judge fund manager performance relative to target benchmarks. Fund managers, on the other hand, are interested in knowing how/why they perform well or poorly relative to their peers in different aspects of fund management as well. To acquire more insights about this issue and design a comprehensive performance measure, fund management function is conceptualised as a three-stage production process. To assess overall and stage-level performance, a network data envelopment analysis model is developed. The stage-level processes are deemed to operate under two different environmental conditions—levels of risk exposure. Operation under different levels of risk exposure is modelled through conditions imposed on the intermediate measures. A new index proposed to assess linkage performance is demonstrated empirically to improve discriminatory power of performance. Further applications of the proposed model are discussed. Keywords: Mutual fund management; Network data envelopment analysis; Performance appraisal; Efficiency decomposition (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jomega:v:77:y:2018:i:c:p:168-179 Ordering information: This journal article can be ordered from DOI: 10.1016/j.omega.2017.06.006 Access Statistics for this article Omega is currently edited by B. Lev More articles in Omega from Elsevier |
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