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A Study of the Identification of Efficient Mutual Funds - A Data Envelopment Analysis Approach


Affiliations
1 Department of MBA, Jain Institute of Technology, Davangere, Karnataka, India
2 Department of Management Studies, Visvesvaraya Technological University, Belagavi, Karnataka, India
3 Belagavi, Karnataka, India
     

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This paper attempts to identify efficient mutual funds, analysed on the basis of Data Envelopment Analysis (DEA). This is an endeavour to study the impact of parameters like expense ratio, asset under management, standard deviation, Sortino ratio, Sharpe ratio, beta, alpha, and R-Squared, on the performance of the mutual fund, and to identify efficient mutual funds which lie on the efficient frontier according to DEA. To specify the scope of the study, the above parameters of the open-ended equity schemes of the top 15 mutual funds were considered. A relationship between the funds’ parameters was found using the linear programming methodology, which is the DEA. It was observed that only 37 mutual fund schemes implementing the constant return to scale (CRS) and 61 mutual fund schemes implementing the variable return to scale (VRS), out of the 188 mutual fund schemes under consideration, were efficient, as per the DEA approach.

Keywords

Data Envelopment Analysis, Efficient Mutual Fund.
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  • A Study of the Identification of Efficient Mutual Funds - A Data Envelopment Analysis Approach

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Authors

Prakash M. Walavalkar
Department of MBA, Jain Institute of Technology, Davangere, Karnataka, India
K. Shivashankar
Department of Management Studies, Visvesvaraya Technological University, Belagavi, Karnataka, India
Anilkumar G. Garag
Belagavi, Karnataka, India

Abstract


This paper attempts to identify efficient mutual funds, analysed on the basis of Data Envelopment Analysis (DEA). This is an endeavour to study the impact of parameters like expense ratio, asset under management, standard deviation, Sortino ratio, Sharpe ratio, beta, alpha, and R-Squared, on the performance of the mutual fund, and to identify efficient mutual funds which lie on the efficient frontier according to DEA. To specify the scope of the study, the above parameters of the open-ended equity schemes of the top 15 mutual funds were considered. A relationship between the funds’ parameters was found using the linear programming methodology, which is the DEA. It was observed that only 37 mutual fund schemes implementing the constant return to scale (CRS) and 61 mutual fund schemes implementing the variable return to scale (VRS), out of the 188 mutual fund schemes under consideration, were efficient, as per the DEA approach.

Keywords


Data Envelopment Analysis, Efficient Mutual Fund.

References