Mutual fund industry performance

A network data envelopment analysis approach

I.M. Premachandra, Joe Zhu, John Watson, Don Upatissa Asoka Galagedera

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

2 Citations (Scopus)

Abstract

The objective of this chapter is twofold. First, we present a comprehensive review of the DEA literature that has evaluated mutual fund performance. Second, we propose a 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 to 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.
Original languageEnglish
Title of host publicationData Envelopment Analysis
Subtitle of host publicationA Handbook of Empirical Studies and Applications
EditorsJoe Zhu
Place of PublicationNew York
PublisherSpringer
Pages165-228
Number of pages64
ISBN (Electronic)9781489976840
ISBN (Print)9781489976826
DOIs
Publication statusPublished - 20 Apr 2016

Publication series

NameInternational Series in Operations Research & Management Science
PublisherSpringer
ISSN (Print)0884-8289
ISSN (Electronic)2214-7934

Keywords

  • Operational management efficiency
  • Portfolio management efficiency
  • Data envelopment analysis
  • Input-output models
  • Mutual fund families
  • Performance

Cite this

Premachandra, I. M., Zhu, J., Watson, J., & Galagedera, D. U. A. (2016). Mutual fund industry performance: A network data envelopment analysis approach. In J. Zhu (Ed.), Data Envelopment Analysis: A Handbook of Empirical Studies and Applications (pp. 165-228). [7] (International Series in Operations Research & Management Science). New York: Springer. https://doi.org/10.1007/978-1-4899-7684-0
Premachandra, I.M. ; Zhu, Joe ; Watson, John ; Galagedera, Don Upatissa Asoka. / Mutual fund industry performance : A network data envelopment analysis approach. Data Envelopment Analysis: A Handbook of Empirical Studies and Applications. editor / Joe Zhu. New York : Springer, 2016. pp. 165-228 (International Series in Operations Research & Management Science).
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Premachandra, IM, Zhu, J, Watson, J & Galagedera, DUA 2016, Mutual fund industry performance: A network data envelopment analysis approach. in J Zhu (ed.), Data Envelopment Analysis: A Handbook of Empirical Studies and Applications., 7, International Series in Operations Research & Management Science, Springer, New York, pp. 165-228. https://doi.org/10.1007/978-1-4899-7684-0

Mutual fund industry performance : A network data envelopment analysis approach. / Premachandra, I.M.; Zhu, Joe; Watson, John; Galagedera, Don Upatissa Asoka.

Data Envelopment Analysis: A Handbook of Empirical Studies and Applications. ed. / Joe Zhu. New York : Springer, 2016. p. 165-228 7 (International Series in Operations Research & Management Science).

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

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Premachandra IM, Zhu J, Watson J, Galagedera DUA. Mutual fund industry performance: A network data envelopment analysis approach. In Zhu J, editor, Data Envelopment Analysis: A Handbook of Empirical Studies and Applications. New York: Springer. 2016. p. 165-228. 7. (International Series in Operations Research & Management Science). https://doi.org/10.1007/978-1-4899-7684-0