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Precious Metal Mutual Fund Performance Evaluation: A Series Two-Stage DEA Modeling Approach

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  • Ioannis E. Tsolas

    (School of Applied Mathematics and Physics, National Technical University of Athens, 15780 Athens, Greece)

Abstract

This paper documents a new series two-stage data envelopment analysis (DEA) modeling framework for mutual fund performance evaluation in terms of operational and portfolio management efficiency that is implemented to a sample of precious metal mutual funds (PMMFs). In the first and second stage, one-input/one-output and multi-input/one-output settings are used, respectively. In the light of the results, the funds assessed are inefficient in both operational and portfolio management process and in particular, they seem to be more inefficiently operated. The operational management efficiency is correlated with portfolio management efficiency and, therefore, sample funds should give more emphasis on their operational policies to ensure their success in the industry. The research framework may not only benefit PMMFs, but also funds of other classes to quantify their performance and improve their competitive advantages.

Suggested Citation

  • 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.
    • Handle: RePEc:gam:jjrfmx:v:13:y:2020:i:5:p:87-:d:352268
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    1. Tatiana Bencova & Andrea Bohacikova, 2022. "DEA in Performance Measurement of Two-Stage Processes: Comparative Overview of the Literature," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 5, pages 111-129.
    2. Ioannis E. Tsolas, 2020. "The Determinants of the Performance of Precious Metal Mutual Funds," JRFM, MDPI, vol. 13(11), pages 1-10, November.
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    4. Martha Carpinteyro & Francisco Venegas-Martínez & Alí Aali-Bujari, 2021. "Modeling Precious Metal Returns through Fractional Jump-Diffusion Processes Combined with Markov Regime-Switching Stochastic Volatility," Mathematics, MDPI, vol. 9(4), pages 1-17, February.

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