Efficiency measurement of mutual fund families performance in Iran using two-stage DEA models

Subject Areas : Journal of Investment Knowledge

Maryam Masoumi Hajir ¹ , Fatemeh Rakhshan ² , Mohammad Reza Alirezaee ³

1 - Ph.D. student, Department of Mathematics, Qom University, Tehran, Iran,
2 - Ph.D. Student, School of Mathematics, Iran University of Science and Technology, Tehran, Iran.
3 - Associate professor, School of Mathematics, Iran University of Science and Technology, Tehran, Iran.

Received: 2019-11-11 Accepted : 2020-02-01 Published : 2022-06-22

Keywords: Data Envelopment Analysis, Mutual Fund Families, Portfolio Management, operational management,

Abstract :

In analyzing relative performance, especially at the institutional level, the traditional data envelopment analysis models do not recognize vastly different and important activities as separate functions and therefore cannot identify which function may be the main source of inefficiency. Mutual fund families are a group of mutual funds that are established through one investment company. The aim of this paper is to evaluate the relative performance of 18 mutual fund families in Iran during the years 1396 and 1397, by implementing a two-stage DEA model that decomposes the overall efficiency of each decision making unit into two components of operational management efficiency and portfolio management efficiency. The results show that by decomposing the overall efficiency into two components, one can determine mutual funds with good performance from those of bad or poor performance. Also, the frontier projections of mutual fund families with poor performance is calculated in order to help management in managing the relative performance of each family. According to assessment results of 18 mutual fund families in Iran, they have poor performance in operational management which means that management of costs of the funds is poor.

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