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Precious metal mutual fund performance appraisal using DEA modeling

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  • Tsolas, Ioannis E.

Abstract

The purpose of this paper is to evaluate the performance of a sample of sixty-two precious metal mutual funds by applying a two-stage procedure. In the first stage, data envelopment analysis (DEA) is used to measure the relative efficiency of funds. In the second stage, a Tobit model is employed to identify the drivers of performance. The purpose for and intended contribution of this paper is twofold: to provide consolidated measures of relative performance of precious metal mutual funds using for first time the DEA framework and to explain fund performance by employing a Tobit model. Correlation results among DEA-based performance measures and traditional indicators of fund performance (Sharpe ratio and Jensen's α) are mixed; no correlation has been found for the Sharpe ratio; whereas in the case of Jensen's α, the correlation is not high. Moreover, the mean-variance efficiency hypothesis holds for the inefficient funds of the sample. In addition, DEA-based fund performance can be explained by fund size, fund persistence, and beta coefficient.

Suggested Citation

  • Tsolas, Ioannis E., 2014. "Precious metal mutual fund performance appraisal using DEA modeling," Resources Policy, Elsevier, vol. 39(C), pages 54-60.
    • Handle: RePEc:eee:jrpoli:v:39:y:2014:i:c:p:54-60
    DOI: 10.1016/j.resourpol.2013.11.001
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    1. H. Pierre Hsieh & Imen Tebourbi & Wen‐Min Lu & Nai‐Yu Liu, 2020. "Mutual fund performance: The decision quality and capital magnet efficiencies," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 41(5), pages 861-872, July.
    2. O'Connor, Fergal A. & Lucey, Brian M. & Batten, Jonathan A. & Baur, Dirk G., 2015. "The financial economics of gold — A survey," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 186-205.
    3. Ioannis E. Tsolas, 2020. "Precious Metal Mutual Fund Performance Evaluation: A Series Two-Stage DEA Modeling Approach," JRFM, MDPI, vol. 13(5), pages 1-13, April.
    4. Ioannis E. Tsolas, 2020. "The Determinants of the Performance of Precious Metal Mutual Funds," JRFM, MDPI, vol. 13(11), pages 1-10, November.
    5. Zhang, Guanglu & Lin, Boqiang, 2018. "Impact of structure on unified efficiency for Chinese service sector—A two-stage analysis," Applied Energy, Elsevier, vol. 231(C), pages 876-886.
    6. Otero, Luis A. & Reboredo, Juan C., 2018. "The performance of precious-metal mutual funds: Does uncertainty matter?," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 13-22.
    7. Galán, Jorge & Ramos, Sofía B. & Veiga, Helena, 2015. "An analysis of the dynamics of efficiency of mutual funds," DES - Working Papers. Statistics and Econometrics. WS ws1517, Universidad Carlos III de Madrid. Departamento de Estadística.
    8. Zhou, Zhongbao & Xiao, Helu & Jin, Qianying & Liu, Wenbin, 2018. "DEA frontier improvement and portfolio rebalancing: An application of China mutual funds on considering sustainability information disclosure," European Journal of Operational Research, Elsevier, vol. 269(1), pages 111-131.

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    More about this item

    Keywords

    Precious metal mutual funds; Efficiency; Data envelopment analysis;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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