A new network DEA model for mutual fund performance appraisal: An application to U.S. equity mutual funds

摘要

Mutual fund is a popular investment vehicle for investors. Investors usually judge fund manager performance relative to target benchmarks. Fund managers, on the other hand, are interested in knowing how/why they perform well or poorly relative to their peers in different aspects of fund management as well. To acquire more insights about this issue and design a comprehensive performance measure, fund management function is conceptualised as a three-stage production process. To assess overall and stage level performance, a network data envelopment analysis model is developed. The stage-level processes are deemed to operate under two different environmental conditions-levels of risk exposure. Operation under different levels of risk exposure is modelled through conditions imposed on the intermediate measures. A new index proposed to assess linkage performance is demonstrated empirically to improve discriminatory power of performance. Further applications of the proposed model are discussed. (C) 2017 Elsevier Ltd. All rights reserved.