Since 2014
Mutual Fund Performance Evaluation using Data Envelopment Analysis with Higher Moments
Management and Administrative Sciences Review
View Archive Info| Field | Value | |
| Title |
Mutual Fund Performance Evaluation using Data Envelopment Analysis with Higher Moments
|
|
| Creator |
Ahmadizadeh, Foroogh
|
|
| Subject |
—
Investment funds, DEA, index, Sharpe indicator, Sortino index, Trainer index, Jensen’s alpha |
|
| Description |
This paper evaluates the performance of investment funds that are active in the country. Assessments are established using traditional criteria and data envelopment analysis (DEA). DEA considers inputs and outputs by more than traditional methods in order to evaluate the performance of these funds with a better measure. This study measured the potential of the peak moments (statistics) in a context of DEA, cooperation with investors, fund managers and their investment. As return on fund investments are not normally distributed, the peaks of DEA are a better measure of performance that is introduced. This is because it not only uses the standard deviation, but the characteristic asymmetry of the positive and statistically returnees. A fund with high sensitivity to adverse market conditions will be punished by a model with a lower efficiency rating.
|
|
| Publisher |
Academy of Business & Scientific Research
|
|
| Contributor |
—
|
|
| Date |
2014-06-18
|
|
| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
|
| Format |
application/pdf
|
|
| Identifier |
http://absronline.org/journals/index.php/masr/article/view/222
|
|
| Source |
Management and Administrative Sciences Review; Vol 3, No 4 (2014): Special Issue (June); 624-635
2308-1368 2310-872X |
|
| Language |
eng
|
|
| Relation |
http://absronline.org/journals/index.php/masr/article/view/222/243
|
|
| Rights |
Copyright (c) 2014 Management and Administrative Sciences Review
|
|