Mutual Fund Performance Dynamic Evaluation Using Data Envelopment Windows Analysis

Author

Lin, Ruiyue

Author_Institution

Dept. of Math. & Inf. Sci., Wenzhou Univ., Wenzhou, China

fYear

2009

fDate

20-22 Sept. 2009

Firstpage

1

Lastpage

4

Abstract

In this paper, we mainly present data envelopment analysis (DEA) based method for evaluating portfolio performance in two aspects, (a) To reflect the pervasive fat tails and asymmetry in return distributions of mutual funds, we introduce risk measure CVaR into DEA indices for measuring relative performance of portfolios more objectively, (b) We creatively treat the same funds during different time periods as different decision making units (DMUs) to fairly observe the performance variation. Our empirical results show that our model can better evaluate mutual funds´ overall performance variation during a long time period.

Keywords

data envelopment analysis; decision making; financial management; investment; risk management; data envelopment windows analysis; decision making units; mutual fund performance dynamic evaluation; portfolio performance evaluation; risk measure CVaR; Data analysis; Data envelopment analysis; Decision making; Information analysis; Mathematics; Mutual funds; Performance analysis; Portfolios; Risk analysis; Time measurement;

fLanguage

English

Publisher

ieee

Conference_Titel

Management and Service Science, 2009. MASS '09. International Conference on

Conference_Location

Wuhan

Print_ISBN

978-1-4244-4638-4

Electronic_ISBN

978-1-4244-4639-1

Type

conf

DOI

10.1109/ICMSS.2009.5302087

Filename

5302087