A generalized performance attribution technique for mutual funds

In this contribution we propose a model which can be used to define a measure of the relative performance of mutual funds that takes into account all the different aspects considered by the traditional performance indexes. This model adopts a data envelopment analysis approach, which is an operational research technique that enables to measure the relative efficiency of a set of ‘decision making units’ and can be applied to the measurement of mutual fund performance. The model proposed synthesizes the results of the traditional risk adjusted indexes in a global performance measure which takes into account also the subscription and redemption costs of the investment.