Australian mutual fund performance appraisal using data envelopment analysis

Research output: Contribution to journalArticleResearchpeer-review

77 Citations (Scopus)

Abstract

This study uses data envelopment analysis (DEA) to measure the relative efficiency of 257 Australian mutual funds, and logistic regression to examine the dependence of efficiency on fund attributes, management strategy and the operating environment. The sensitivity of DEA efficiency to various input-output variable combinations is investigated. More funds show up efficient when DEA captures fund’s long-term growth and income distribution than a shorter time horizon. DEA ranking of funds, however, is independent of the time horizon used. Fund’s efficiency depends, to a large extent, on the ‘asset allocation score’ that we construct from the fund’s wealth distribution to various asset classes. In general, the overall technical efficiency and the scale efficiency are higher for risk-aversive funds with high positive net flow of assets.

Original languageEnglish
Pages (from-to)60-73
Number of pages14
JournalManagerial Finance
Volume28
Issue number9
DOIs
Publication statusPublished - 2002

Keywords

  • Australian mutual funds
  • Data envelopment analysis
  • Efficiency
  • Sensitivity analysis

Cite this