Performance Evaluation of Utility Exchange-Traded Funds: A Super-Efficiency Approach

Ioannis E. Tsolas
Additional contact information
Ioannis E. Tsolas: School of Applied Mathematical and Physical Sciences, National Technical University of Athens, 15780 Athens, Greece

JRFM, 2022, vol. 15, issue 7, 1-10

Abstract: Choosing funds is a general issue for investors, with the aim of balancing potential risks and returns. The aim of this article is to use a super-efficiency approach to analyze and rank exchange-traded funds (ETFs) in order to find the best utility ETFs. The range-adjusted measure (RAM)-based data envelopment analysis (DEA) model is used in this work to evaluate a set of utility ETFs and rank inefficient funds, while the super-efficiency RAM model is used to fully rank RAM-based efficient funds. Other slack-based selected DEA models are also used to analyze the ETFs. The results show that the suggested approach delivers the same efficient funds as other slack-based selected DEA models; hence, it appears to be useful as a fund selection tool.

Keywords: utility exchange-traded funds; data envelopment analysis; range-adjusted measure (RAM); super-efficiency (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.mdpi.com/1911-8074/15/7/318/pdf (application/pdf)
https://www.mdpi.com/1911-8074/15/7/318/ (text/html)

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:gam:jjrfmx:v:15:y:2022:i:7:p:318-:d:868482

Access Statistics for this article

JRFM is currently edited by Ms. Chelthy Cheng

More articles in JRFM from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().