Australian mutual fund performance appraisal using data envelopment analysis

Managerial Finance - Tập 28 Số 9 - Trang 60-73 - 2002
Don U.A.Galagedera1, ParamSilvapulle1
1Department of Econometrics and Business Statistics, Monash University, PO Box 197, Caulfield East Victoria 3145, Australia

Tóm tắt

Outlines previous research on measuring the performance of investment funds, suggesting that data envelopment analysis (DEA) techniques can overcome some of the problems of the capital asset pricing model and give pointers for improvement. Uses DEA to assess the relative performance of 257 Australian mutual funds 1995‐1999 and logistic regression to investigate the characteristics which affect it. Describes the methodology and presents the results, which suggest that scale efficiency is the main source of overall technical efficiency and that both are higher for risk‐averse funds with high positive net asset flows. Explains the ASSIRT rating system for managed funds and finds the ratings strongly associated with DEA relative efficiency scores. Believes the findings are useful to analysts, investors and managers.

Từ khóa


Tài liệu tham khảo

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Thông tin
Thông tin xuất bản

Managerial Finance

Tập 28 Số 9

60-73

Thông tin tác giả