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Avaliação e seleção de fundos de investimento: um enfoque sobre múltiplos atributos

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  • Paulo Sergio Ceretta
  • Newton C. A. da Costa Jr

Abstract

This work investigates mutual fund performance through data envelopment analysis. The data envelopment analysis has shown to be a powerful tool in the evaluation of investment performance when investor's expected utility function contains multiple attributes. Besides the traditional attributes risk and return calculated over a certain time interval, data envelopment analysis can incorporate other attributes to the investor such as expenses, capital constraints, and even the attributes risk and return calculated over different time periods. We analyzed 106 funds in the period of December 1997 to November 1999. The results identified seven dominant funds which were confronted with the less efficient ones in terms of attributes and weighted differences. We made also a comparison with the results using the Sharpe Ratio. It is worthwhile mentioning that the main objective of this paper is not to prescribe an alternative technique for the mean-variance optimization, but to describe a new application of data envelopment analysis.

Suggested Citation

  • Paulo Sergio Ceretta & Newton C. A. da Costa Jr, 2001. "Avaliação e seleção de fundos de investimento: um enfoque sobre múltiplos atributos," RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração, vol. 5(1), pages 7-22.
    • Handle: RePEc:abg:anprac:v:5:y:2001:i:1:111
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    Cited by:

    1. Isoé N. Schneider & Daniel Knebel Baggio & João S. Tusi da Silveira & Maria M. Baccin Brizolla, 2020. "Assessing Market Timing Performance of Brazilian Multi-Asset Pension Funds using the Battese and Coelli's Stochastic Frontier Model (1995)," Economics Bulletin, AccessEcon, vol. 40(1), pages 50-60.

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