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4 edition of Mutual fund performance evaluation using DEA found in the catalog.

Mutual fund performance evaluation using DEA

Ramez T. Chehade

Mutual fund performance evaluation using DEA

  • 388 Want to read
  • 16 Currently reading

Published by National Library of Canada in Ottawa .
Written in English


Edition Notes

Thesis (M.Sc.) -- University of Toronto, 1998.

SeriesCanadian theses = -- Thèses canadiennes
The Physical Object
FormatMicroform
Pagination3 microfiches : negative. --
ID Numbers
Open LibraryOL19815897M
ISBN 100612409643
OCLC/WorldCa51153540

Mutual Fund Performance: Evidence From South Africa This paper aims to evaluate the performance of South African equity funds between January and November This study period overlaps with the study period of quantitative easing during which developing economies in financial markets have been influenced severely. Fund A: avg %, st dev 40%, beta Fund B: avg %, st dev 25%, beta Fund C: avg %, st dev 30%, beta S&P avg 12%, st dev 15%, beta 1 You want to evaluate the three mutual funds using the Jensen measure for performance evaluation. The fund with the highest Jensen measure of performance is _____. Mutual Fund Performance Measures. Use statistics from: historic frequency distribution. many periods. , price/book; market capitalization; Averaged over past three years. fund characteristics not taken into account when allocating among asset classes and categories. Net Asset Value is a mutual fund's assets less its liabilities, divided by the number of shares outstanding, and is used as a standard price measure. An exchange-traded fund (ETF) is a basket of securities that tracks an underlying index. ETFs can contain various investments including stocks, commodities, and bonds.


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Mutual fund performance evaluation using DEA by Ramez T. Chehade Download PDF EPUB FB2

Basso A, Funari S (b) DEA models with a constant input for SRI mutual funds with an application to European and Swedish funds. Basso A, Funari S (c) The role of fund size and returns to scale in the performance of mutual by: 6.

The first use of DEA to assess fund performance dates back to the pioneering work by Murthi et al. (), who developed the DEA portfolio efficiency index (DPEI) to evaluate the performance of mutual funds using costs (inputs) and returns (output).Cited by: 9.

The bulk of the relevant literature on the use of the DEA framework to measure the performance of mutual funds is growing since the end of the s. DEA applications are based on and have extended the Murthi, Choi, and Desai () pioneering work.

They presented a DEA application for appraising the perfor mance of mutual funds using costs. The variables used to evaluate mutual fund performance through DEA model are: (1) the cumulative return; the return on a mutual fund investment includes both income and capital gains or losses, (2) the standard deviation; the variability of daily returns (3) the year-end asset of the examined funds; a proxy of fund’s.

Data envelopment analysis (DEA) is an efficient tool for evaluating mutual fund performance. It is important Mutual fund performance evaluation using DEA book investors to select the best funds for investment. Mutual fund performance appraisal using DEA Background The studies that use conventional DEA models to evaluate MF performance generally consider MF management process as a single-stage production process with multiple inputs and multiple outputs (see e.g., [6,11,14,29]).

When a production process is mod-File Size: KB. The current study assesses the performance of Portuguese mutual fund portfolios considering the period – using the value-based DEA method. This approach combines data envelopment analysis (DEA) with multiple criteria decision aiding.

A dynamic Mutual fund performance evaluation using DEA book including value judgements is carried out using data from 15 Portuguese equity by: 3.

Mutual fund performance evaluation using data envelopment analysis which include leptokurtic and asymmetric distributions, are utilized in this paper to properly compute V aR and CV aR of each. Chehade () uses production models based on DEA methodology to evaluate the performance of Canadian mutual funds by computing efficiency scores.

Basso and Funari (, ) use DEA methodology to develop mutual fund performance index. Anderson, Brockman, Giannikos, and McLeod. The Mutual Fund Evaluator is a powerful tool that makes it easy for you to filter, sort, and compare funds until you find exactly what you're looking for.

Watch this video to learn more about how to get started. Read relevant legal disclosures. Next steps to consider. Research mutual funds. Start your search—filter, sort and compare funds.

Evaluating the Most Important Criteria for Selecting an Appropriate Mutual Fund David Dierking | Historical Performance. Download Free E-book Download our free report. Find out why $30 trillon is invested in mutual funds. Please Enter Your Email.

This paper documents a new series two-stage data envelopment analysis (DEA) modeling framework for mutual fund performance evaluation in terms of operational and portfolio management efficiency that is implemented to a sample of precious metal mutual.

A Study on Performance Evaluation of Select Mutual Fund Schemes: DOI: /X 72 | Page Variable returns to scale (VRS) is a type of frontier scale used in data envelopment analysis (DEA).

Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons BRUCE N. LEHMANN and DAVID M. MODEST* ABSTRACT The authors' main goal in this paper is to ascertain whether conventional measures of abnormal mutual fund performance are sensitive to the benchmark chosen to measure normal performance.

The current study assesses the performance of Portuguese mutual fund portfolios considering the period – using the value-based DEA method. This approach combines data envelopment analysis (DEA) with multiple criteria decision aiding.

A dynamic evaluation including value judgements is carried out using data from 15 Portuguese equity by: 3. We discuss sample construction, mutual fund performance measures using alternative expected return models, and test statistics under the null hypothesis of no abnormal performance.

We use some of the more commonly used measures as found in the literature, e.g., Bodie, Kane, and Marcus (, ch. 24). You should use a range of research and evaluation tools to choose the funds most likely to suit your financial goals.

Philosophy The first things to look at are the fund's stated goals and. Evaluating Mutual Fund Performance 1. Introduction This paper studies empirical properties of performance measures for mutual funds (i.e., managed equity portfolios). The portfolio performance evaluation literature is extensive, but highly controversial.

Performance measures based on the Sharpe-Lintner Capital Asset PricingFile Size: KB. Mutual fund performance evaluation using DEA. [Ramez T Chehade] Home. WorldCat Home About WorldCat Help. Search. Search for Library Items Search for Lists Search for Contacts Search for a Library.

Create lists, bibliographies and reviews: or Search WorldCat. Find items in libraries near you. (III) Objectives of the study: The primary objective of the present study entitled “Performance evaluation of mutual funds” to understand the mutual fund industry & its impact on the retail investors on one hand and its risk & return on the other.

To be specific following are the main objective of the present research study. Performance Evaluation of Mutual Fund Schemes: A Study of Selected Topper Schemes DOI: /X 2 | Page Roy, S. & Ghosh, S.K. () evaluated the performance of the open ended gilt mutual fund File Size: KB.

offered by reliance mutual fund and identify the best. Objective of the Study: • To evaluate the past performance of selected open ended Equity mutual fund schemes of Reliance.

• To carry out the risk return analysis of the sample funds selected. Research Methodology: To examine the mutual fund schemes performance, 10 schemes were selectedFile Size: KB. Downloadable. This study focuses on open-ended equity mutual funds in Thailand.

The funds’ performances were examined whether the returns significantly and persistently out-perform the market; whether the use of different measures leads funds with similar rankings.

The analyses use various metrics: the traditional fund performance evaluation measures and Data. For example, a previous study of MF performance appraisal using a single-stage DEA model reveals that inclusion of ethical level as a factor of performance show considerable improvement in DEA-based performance of SRI funds compared to non-SRI funds (an indication of change in the rankings) and the number of DEA-efficient funds roughly doubles Cited by: 4.

Performance evaluation of mutual fund. i A COMPREHENSIVE PROJECT REPORT ON “PERFORMANCE EVALUATION OF MUTUAL FUND” SUBMITTED TO INDUS INSTITUTE OF MANAGEMENT STUDIES IN PARTIAL FULLFILLMENT OF THE REQUIREMENT OF THE AWARD FOR THE DEGREE OF MASTER OF BUSINESS.

1) To analyze the performance of any mutual fund scheme offered in the selected banks like State Bank of India, Canara Bank, ICICI Bank, HDFC Bank 2) To study the performance of Mutual fund with the help different parameters such as Standard Deviation, Beta, Sharpe Ratio, Treynor Ratio, Jenson alpha and NAV Calculation mutual Size: KB.

Downloadable (with restrictions). Abstract When analyzing the relative performance of mutual funds, current data envelopment analysis (DEA) models with diversification ignore the performance change in consecutive periods or the dynamic dependence among investment periods.

This paper introduces a novel multi-period network DEA approach with diversification. Learn about mutual fund investing, and browse Morningstar's latest research in the space, to find your next great investment and build a resilient investment portfolio.

DOI: /ieis Corpus ID: A model used in mutual funds performance evaluation based on SVM @article{CuiyiAMU, title={A model used in mutual funds performance evaluation based on SVM}, author={Authors Cuiyi}, journal={ International Conference on Industrial Economics System and Industrial Security Engineering.

The open-end mutual fund offers investors a range of desirable features, including liquidity, diversification, professional management, and more. For anyone who wants to make more informed decisions about choosing funds, this collection of in-depth contributions will prove to be an essential guide/5(4).

PERFORMANCE EVALUATION OF MUTUAL FUND SEGMENTS IN INDIA With Special Reference to Sectoral Funds THESIS SUBMITTED TO KUMAUN UNIVERSITY, NAINITAL In partial fulfillment of the requirements for the award of the degree of DOCTOR OF PHILOSOPHY Author: TRIBHUVAN PRATAP SINGH Address: C, Hanuman Nagar, Line Par, Moradabad.

nrao,() evaluate the performance evaluation of Indian mutual funds in a bear market is carried out through relative performance index. The results of performance measures suggest that most of the mutual fund schemes in the sample of 58 were.

I used performance measurement ratios of Treynor‟s, Sharpe‟s, and Jensen‟s to evaluate diversified funds and gave rank accordingly. As a conclusion, I have learnt the marketing and financial aspect of mutual fund product. Here, I prepared report on performance evaluation of mutual funds on the base of what I have learnt at internship.

An easy way to do this is to simply look up your mutual fund using its’ ticker symbol at a site like Morningstar—in this example, I looked up AGTHX, American Growth Fund of America so you can Author: Mindy Crary. Large-Company Stock Funds. In the tables below, see the ten top-performing for the past 1- 3- 5- and year periods.

Click on any fund's symbol for a daily market snapshot of the fund. Although past performance is no guarantee for the future, it is a useful way of assessing how well or badly a fund has performed in comparison to its. I discuss simple ways in which a mutual fund portfolio associated with a long-term goal can be reviewed.

This is a grey area in personal finance and there is no optimal way to do this. Each individual must necessarily develop their own style of.

ordinary share price index). Gupta and Sehgal () evaluated mutual fund performance over a four year period, The sample consisted of 80 mutual fund schemes. They concluded that mutual fund industry performed well during the period of study.

The performance wasFile Size: KB. Top Mutual Fund Schemes to Invest in FY Schemes are selected on the basis of a robust selection methodology. Parameteric evaluation comprising Rolling Returns, Downside Risk and Consistency (measured by Hurst Exponent) are.

The easiest way to find out the price of a mutual fund is to look at its net asset value. NAV is the total value of a mutual fund's assets, less all of its liabilities. Many mutual funds use this Author: Investopedia Staff. In this paper the performance evaluation of Indian mutual funds in a bear market is carried out through relative performance index, risk-return analysis, Treynor's ratio, Sharp's ratio, Sharp's measure, Jensen's measure, and Fama's Cited by: performance measures for mutual funds.

After this evaluation, a small empirical study with the main contribution to give an analysis of a number of U.S. mutual funds will take place, using some previous discussed performance measures. The remaining of the paper is organized as follows.

A literature review is provided in the next. Evaluating bond funds does not have to be complex. You need only to focus on a few factors giving insight into risk and return, which will then give you a feel for the fund Author: Investopedia Staff.