INVESTIGATION OF MUTUAL FUNDS PERFORMANCE WITH DPEI MODEL

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SADEGHI K.

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Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2013 | Volume:4 | Issue:16 Page(s): 173-195

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Information Journal Paper

Title

INVESTIGATION OF MUTUAL FUNDS PERFORMANCE WITH DPEI MODEL

Author(s)

SADEGHI K. | Issue Writer Certificate

Keywords

INVESTMENT FUNDSQ2

DATA ENVELOPMENT ANALYSISQ2

TRANSACTION COSTSQ2

FIXED-INCOMEQ2

Abstract

Individual investors do not make decisions about how a fund's assets should be invested. They simply choose which fund to invest in based on its return, risk, fees and other factors. Among the factors considered in selecting INVESTMENT FUNDS, performance of the fund is the most important one. So investors are looking for a tool in order to evaluate the performance of INVESTMENT FUNDS. The purpose of this study is comparing a new nonparametric model which also involves fund costs, with Sharpe model and two other modern models named Omega and Sortino. Therefore, the two hypotheses were defined and data related to the fund costs and the net present value of 22 stock funds and 19 fixed income funds were collected during 1391. The results using DEA show that there are significant differences between the nonparametric model, Sharp, Sortino and Omega models. At the end, by using nonparametric model, funds performance is measured and Fund performance evaluation results show that the performance of FIXED-INCOME funds have a higher of stock funds. Finally, the cost analysis was also performed for each of the funds.

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APA: Copy

SADEGHI, K.. (2013). INVESTIGATION OF MUTUAL FUNDS PERFORMANCE WITH DPEI MODEL. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 4(16), 173-195. SID. https://sid.ir/paper/197551/en

Vancouver: Copy

SADEGHI K.. INVESTIGATION OF MUTUAL FUNDS PERFORMANCE WITH DPEI MODEL. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2013;4(16):173-195. Available from: https://sid.ir/paper/197551/en

IEEE: Copy

K. SADEGHI, “INVESTIGATION OF MUTUAL FUNDS PERFORMANCE WITH DPEI MODEL,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 4, no. 16, pp. 173–195, 2013, [Online]. Available: https://sid.ir/paper/197551/en

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