TY - JOUR
T1 - A new network DEA model for mutual fund performance appraisal
T2 - An application to U.S. equity mutual funds
AU - Galagedera, Don U. A.
AU - Roshdi, Israfil
AU - Fukuyama, Hirofumi
AU - Zhu, Joe
PY - 2018
Y1 - 2018
N2 - 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.
AB - 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.
KW - Efficiency decomposition
KW - Mutual fund management
KW - Network data envelopment analysis
KW - Performance appraisal
UR - http://www.scopus.com/inward/record.url?scp=85021327947&partnerID=8YFLogxK
U2 - 10.1016/j.omega.2017.06.006
DO - 10.1016/j.omega.2017.06.006
M3 - Article
AN - SCOPUS:85021327947
SN - 0305-0483
VL - 77
SP - 168
EP - 179
JO - OMEGA International Journal of Management Science
JF - OMEGA International Journal of Management Science
ER -