 Precious metal mutual fund performance appraisal using DEA modelingIoannis E. Tsolas Resources Policy, 2014, vol. 39, issue C, 54-60 Abstract: The purpose of this paper is to evaluate the performance of a sample of sixty-two precious metal mutual funds by applying a two-stage procedure. In the first stage, data envelopment analysis (DEA) is used to measure the relative efficiency of funds. In the second stage, a Tobit model is employed to identify the drivers of performance. The purpose for and intended contribution of this paper is twofold: to provide consolidated measures of relative performance of precious metal mutual funds using for first time the DEA framework and to explain fund performance by employing a Tobit model. Correlation results among DEA-based performance measures and traditional indicators of fund performance (Sharpe ratio and Jensen's α) are mixed; no correlation has been found for the Sharpe ratio; whereas in the case of Jensen's α, the correlation is not high. Moreover, the mean-variance efficiency hypothesis holds for the inefficient funds of the sample. In addition, DEA-based fund performance can be explained by fund size, fund persistence, and beta coefficient. Keywords: Precious metal mutual funds; Efficiency; Data envelopment analysis (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:jrpoli:v:39:y:2014:i:c:p:54-60 DOI: 10.1016/j.resourpol.2013.11.001 Access Statistics for this article Resources Policy is currently edited by R. G. Eggert More articles in Resources Policy from Elsevier |
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