A new network DEA model for mutual fund performance appraisal: An application to U.S. equity mutual funds

Don U. A. Galagedera, Israfil Roshdi, Hirofumi Fukuyama, Joe Zhu

Research output: Contribution to journalArticle

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.

LanguageEnglish
Pages168-179
Number of pages12
JournalOmega
Volume77
DOIs
StatePublished - 2018

Keywords

  • Efficiency decomposition
  • Mutual fund management
  • Network data envelopment analysis
  • Performance appraisal

Cite this

Galagedera, Don U. A. ; Roshdi, Israfil ; Fukuyama, Hirofumi ; Zhu, Joe. / A new network DEA model for mutual fund performance appraisal : An application to U.S. equity mutual funds. In: Omega. 2018 ; Vol. 77. pp. 168-179
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A new network DEA model for mutual fund performance appraisal : An application to U.S. equity mutual funds. / Galagedera, Don U. A.; Roshdi, Israfil; Fukuyama, Hirofumi; Zhu, Joe.

In: Omega, Vol. 77, 2018, p. 168-179.

Research output: Contribution to journalArticle

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