Abstract
| Original language | English |
|---|---|
| Pages (from-to) | 3302 - 3317 |
| Number of pages | 16 |
| Journal | Journal of Banking and Finance |
| Volume | 36 |
| Issue number | 12 |
| DOIs | |
| Publication status | Published - 2012 |
Cite this
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Best-performing US mutual fund families from 1993 to 2008: Evidence from a novel two-stage DEA model for efficiency decomposition. / Premachandra, I M; Zhu, Joe; Watson, John; Galagedera, Don Upatissa Asoka.
In: Journal of Banking and Finance, Vol. 36, No. 12, 2012, p. 3302 - 3317.Research output: Contribution to journal › Article › Research › peer-review
TY - JOUR
T1 - Best-performing US mutual fund families from 1993 to 2008: Evidence from a novel two-stage DEA model for efficiency decomposition
AU - Premachandra, I M
AU - Zhu, Joe
AU - Watson, John
AU - Galagedera, Don Upatissa Asoka
PY - 2012
Y1 - 2012
N2 - When analyzing relative performance, especially at the institutional level, the traditional data envelopment analysis (DEA) models do not recognize vastly different and important activities as separate functions and therefore cannot identify which function may be the main source of inefficiency. We propose a novel two-stage DEA model that decomposes the overall efficiency of a decision-making unit into two components and demonstrate its applicability by assessing the relative performance of 66 large mutual fund families in the US over the period 1993-2008. By decomposing the overall efficiency into operational management efficiency and portfolio management efficiency components, we reveal the best performers, the families that deteriorated in performance, and those that improved in their performance over the sample period. We also make frontier projections for poorly performing mutual fund families and highlight how the portfolio managers have managed their funds relative to the others during financial crisis periods.
AB - When analyzing relative performance, especially at the institutional level, the traditional data envelopment analysis (DEA) models do not recognize vastly different and important activities as separate functions and therefore cannot identify which function may be the main source of inefficiency. We propose a novel two-stage DEA model that decomposes the overall efficiency of a decision-making unit into two components and demonstrate its applicability by assessing the relative performance of 66 large mutual fund families in the US over the period 1993-2008. By decomposing the overall efficiency into operational management efficiency and portfolio management efficiency components, we reveal the best performers, the families that deteriorated in performance, and those that improved in their performance over the sample period. We also make frontier projections for poorly performing mutual fund families and highlight how the portfolio managers have managed their funds relative to the others during financial crisis periods.
U2 - 10.1016/j.jbankfin.2012.07.018
DO - 10.1016/j.jbankfin.2012.07.018
M3 - Article
VL - 36
SP - 3302
EP - 3317
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
SN - 0378-4266
IS - 12
ER -