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| Tekijä: | Choi, Y. K. Mitrthi, B. P. S. |
| Otsikko: | Relative Performance Evaluation of Mutual Funds: A Non-Parametric Approach |
| Lehti: | Journal of Business Finance and Accounting
2001 : VOL. 28:7-8, p. 853-876 |
| Asiasana: | UNIT TRUSTS PERFORMANCE APPRAISAL FINANCE |
| Kieli: | eng |
| Tiivistelmä: | The authors propose an alternative mutual fund performance index which addresses the benchmark problem and controls for economies of scale in managing mutual funds. The authors advance a new concept of 'return-cost' efficiency as another important clement in evaluating portfolio management, in addition to the mean-variance efficiency concept. The authors' index based on a non-parametric estimation is shown to be similar to the Sharpc index with multiple slopes (or factors). The authors have shown that all fund categories, except income funds, have similar average efficiency scores after controlling for economies of scale. |
SCIMA