Mutual Fund Performance Evaluation Using DEA.

Download or read book Mutual Fund Performance Evaluation Using DEA. written by Ramez T. Chehade and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The multidimensional nature of mutual fund performance makes it a very attractive application area for Data Envelopment Analysis. The strength of this technique lies in the following attribute: its ability to handle multiple inputs and outputs, that it does not require the specification of a functional form for input-output correspondence, and that it gives a single measure of performance which takes into account the multiple dimensions of organizational activity. The goal of this work is to validate the hypothesis that DEA may be used as a tool for creating better investment portfolios while serving as a management efficiency benchmark. Production models based on the DEA methodology, with the aim of capturing the essence of fund performance, were developed to generate efficiency scores for the majority of Canadian mutual funds, in order to classify the funds into portfolios. (Abstract shortened by UMI.).