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Optimisation of the largest US mutual funds using data envelopment analysis

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  • Greg N Gregoriou

Abstract

The relative efficiency and inefficiencies of the largest 25 US stock, bond and balanced funds is assessed using an operational research optimisation technique called data envelopment analysis. Using basic, cross- and super-efficiency models, the funds are compared with their peer funds by means of various inputs and outputs. From a practitioner's point of view, selecting mutual funds can be an arduous process because of the thousands of mutual funds available today, and the drawback of traditional regression methods may sometimes cause model misspecification and lead to incorrect conclusions.

Suggested Citation

  • Greg N Gregoriou, 2006. "Optimisation of the largest US mutual funds using data envelopment analysis," Journal of Asset Management, Palgrave Macmillan, vol. 6(6), pages 445-455, March.
    • Handle: RePEc:pal:assmgt:v:6:y:2006:i:6:d:10.1057_palgrave.jam.2240194
    DOI: 10.1057/palgrave.jam.2240194
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    Citations

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    Cited by:

    1. Kerstens, Kristiaan & Mounir, Amine & de Woestyne, Ignace Van, 2011. "Non-parametric frontier estimates of mutual fund performance using C- and L-moments: Some specification tests," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1190-1201, May.
    2. Wen-Min Lu & Qian Long Kweh & Chung-Wei Wang, 2021. "Integration and application of rough sets and data envelopment analysis for assessments of the investment trusts industry," Annals of Operations Research, Springer, vol. 296(1), pages 163-194, January.
    3. Lin, Ruiyue & Li, Zongxin, 2020. "Directional distance based diversification super-efficiency DEA models for mutual funds," Omega, Elsevier, vol. 97(C).
    4. Catarina Alexandra Neves Proença & Maria Elisabete Duarte Neves & Maria Castelo Baptista Gouveia & Mara Teresa Silva Madaleno, 2023. "Technological, healthcare and consumer funds efficiency: influence of COVID-19," Operational Research, Springer, vol. 23(2), pages 1-42, June.
    5. Solórzano-Taborga, Pablo & Alonso-Conde, Ana Belén & Rojo-Suárez, Javier, 2018. "Efficiency and Persistence of Spanish Absolute Return Funds || Eficiencia y persistencia de los fondos de retorno absolutos españoles," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 25(1), pages 186-214, Junio.
    6. 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.
    7. Glawischnig, Markus & Sommersguter-Reichmann, Margit, 2010. "Assessing the performance of alternative investments using non-parametric efficiency measurement approaches: Is it convincing?," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 295-303, February.

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