Title: Mutual fund performance evaluation: a value efficiency analysis approach
Authors: Hamid Reza Khedmatgozar; Abolfazl Kazemi; Payam Hanafizadeh
Department of IT Management, Iranian Research Institute for Information Science and Technology (IRANDOC), No. 1090, Enghelab Avenue, P.O. Box 13185-1371, Tehran, Iran
Faculty of Industrial and Mechanical Engineering, Islamic Azad University, Qazvin Branch, Nokhbegan Blvd., P.O. Box 34185-1416, Qazvin, Iran
School of Management and Accounting, Allameh Tabataba'i University, Nezami Ganjavi Street, Tavanneer, Valy Asr Avenue, P.O. Box 14155-6476, Tehran, Iran
Abstract: Data envelopment analysis (DEA) is an efficient tool for evaluating mutual fund performance. It is important for investors to select the best funds for investment. In evaluation of mutual fund performance, besides quantitative elements, there are many qualitative elements that are of importance to the investors. In this paper, value efficiency analysis (VEA) was used in mutual funds performance evaluation to incorporate the investors judgements about qualitative elements into the evaluation. Also, the results of this approach were compared with those of general DEA models. This approach is based on choosing convenient variables (inputs and outputs) by reviewing the past studies. Then the input/output data are analysed using the concept of value efficiency, a novel procedure for incorporating the decision maker's preferences into DEA via the most preferred solution (MPS).
Keywords: DEA; data envelopment analysis; value efficiency analysis; VEA; mutual funds; performance evaluation; fund performance; investor judgement; investment.
Int. J. of Electronic Finance, 2013 Vol.7, No.3/4, pp.263 - 280
Submission date: 24 Feb 2013
Date of acceptance: 23 Oct 2013
Available online: 09 Jan 2014