Effciency of Mutual Fund and a Data Envelopment Analysis

Anna Zamojska

doi:https://doi.org/10.59139/ps.2009.03-04.4

Anna Zamojska Uniwersytet Gdański Przegląd Statystyczny. Statistical Review, vol. 56, 2009, 3-4, pages: 51-66 Published online: 31 December 2009 DOI https://doi.org/10.59139/ps.2009.03-04.4

489 Views 34 Downloads

ARTICLE

(Polish) PDF

ABSTRACT

The paper presents an application of the DEA method to measure the efficiency of equity mutual funds on the Polish capital market. The DEA method is an alternative measure of performance of the funds. The advantage of the DEA is that this particular method does not require any assumption concerning distributions of returns. Results showed that the DEA is a simple and very useful at the same time tool for creating the ranks of funds.

KEYWORDS

DEA, Efficiency, Mutual Fund

REFERENCES

[1] Basso A., Funari S., [2001], A data envelopment analysis approach to measure the mutual fund performance, „European Journal of Operational Research”, 135, s. 477-492.

[2] Charnes A., Cooper W.W., Rhodes E., [1978], Measuring the efficiency of decision making units, „European Journal of Operational Research”, 3, 429-444.

[3] Galagedera D., Silvapulle P., [2002], A Australian mutual fund performance appraisal using data envelopment analysis, Managerial Finance, 9, 60-73.

[4] Jensen M., [1968], The performance of mutual funds in the period 1945-1964, „Journal of Finance”, 50, 549-572.

[5] Murthi B., Choi Y., Desai P., [1997], Efficiency of Mutual Funds and Portfolio Performance Measurement: A Non-Parametric Approach, „European Journal of Operational Research”, 98, 408-418.

[6] Osiewalska A., Osiewalski J., [1999], Próba oceny efektywności kosztowej polskich bibliotek akademickich, EBIB, http://www.oss.wroc.pl/biuletyn/ebib03/efektywn.html

[7] Pawłowska M., [2005], Konkurencja i efektywność na polskim rynku bankowym na tle zmian strukturalnych i technologicznych, Materiały i Studia NBP, Zeszyt nr 192.

[8] Prędki A., [2003], Analiza efektywności za pomocą metody DEA: podstawy formalne i ilustracja ekonomiczna, „Przegląd Statystyczny”, 1, 87-100.

[9] Ruiyue L., Zhiping C., [2008], New Dea Performance Evaluation Indices and Their Application in the American Fund Market, Asia – Pacific Journal of Operational Research, 4, 421-450.

[10] Seiford L., Thrall R., [1990], Recent Developments in DEA, „Journal of Econometrics”, 46, 7-38.

[11] Sharpe W.F., [1994], The Sharpe Ratio, „Journal of Portfolio Management”, 49-59.

[12] Sharpe W.F., [1966], Mutual Fund Performance, „Journal of Business”, 34, 119-138.

[13] Treynor J.L., [1965], How to rate management investment funds, Harvard Business Review, 43, 63-75.

[14] Yun Y.B., Nakayama H., Tanino T., [2004], A generalized model for data envelopment analysis, „European Journal of Operational Research”, 157, 87-105.

[15] Zamojska A., [2006], Zastosowanie metody DEA w ocenie efektywności zarządzania portfelem funduszu, Taksonomia 13, 112-120.