Evaluating mutual fund performance: an application of minimum convex input requirement set approach

Evaluating mutual fund performance: an application of minimum convex input requirement set approach

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Article ID: iaor20043453
Country: United Kingdom
Volume: 31
Issue: 6
Start Page Number: 929
End Page Number: 940
Publication Date: May 2004
Journal: Computers and Operations Research
Authors:
Keywords: financial
Abstract:

This paper has employed Chang's minimum convex input requirement set (MCIRS) approach to evaluate the performance of US mutual funds. Unlike the traditional methods, the MCIRS approach does not need to assume a particular functional form for the return generating process. The empirical results show that maximum capital gain and growth funds have done worse than growth and income funds, actively managers underperform a passive investment strategy, low risk funds outperform high risk funds, and no load funds outperform load funds. The paper also finds that funds with low beta and small assets have operated more efficiently.

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