Evaluation of Fixed Income Mutual Funds' Performance with Data Envelopment Analysis
Subject Areas : International Journal of Mathematical Modelling & Computations
Saeid Mehrabian
1
*
,
Ali Hadi
2
,
Fatemeh Fattahi
3
1 - Department of Mathematics, Faculty of Mathematical Sciences and Computer, Kharazmi University, Tehran, Iran.
2 - Department of Mathematics, Rasht Branch Islamic Azad University, Rasht, Iran.
3 - Department of Mathematics, Faculty of Mathematical Sciences and Computer, Kharazmi University, Tehran, Iran.
Keywords: Data Envelopment Analysis, Mutual Funds, Risk Measure, Return, efficiency,
Abstract :
In this paper we apply a model to evaluate the performance of mutual funds with fixed income. This model has an input based on a risk measure and two type returns as outputs. One of these outputs is expected return and other is excess return for funds in Iranian business mutual funds. The aim of the model is maximizing return for moderate customers who have chosen this mutual fund because of risk averse behavior. We evaluated the efficiency scores of all proposed mutual funds, on the other hand, this model presents benchmark of mutual funds which use different portfolio to pay guarantee return close to deposited banking rate or bonds and extra return to support investment faced on high inflation. Also, this model evaluates power mutual funds to use free-risk market and optimize portfolio management. Finally, we represent a numerical example include an application of the model by considering risk of 15 Iranian mutual funds during the period from 2011 to 2020 that obtained from a real dataset.to demonstrate the model useful to measure efficient mutual funds which guarantee a high potential return rate close to annual banking rate and pay best exceed return.
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