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

This paper has employed Chang's (Eur. J. Oper. Res. 115 (1999) 497-506) 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.

[1]  Richard A. Ippolito.  Efficiency with Costly Information: A Study of Mutual Fund Performance, 1965–1984 , 1989 .

[2]  Conrad S. Ciccotello,et al.  Information Pricing: The Evidence From Equity Mutual Funds , 1996 .

[3]  Roy. Henriksson,et al.  Market Timing and Mutual Fund Performance: An Empirical Investigation , 1984 .

[4]  Preyas S. Desai,et al.  Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach , 1997 .

[5]  Kuo-Ping Chang,et al.  Measuring efficiency with quasiconcave production frontiers , 1999, Eur. J. Oper. Res..

[6]  Sanford J. Grossman.  ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION , 1976 .

[7]  Gregory Connor,et al.  The attributes, behavior, and performance of U.S. mutual funds , 1990 .

[8]  Wilbur G. Lewellen,et al.  Market Timing and Mutual Fund Investment Performance , 1984 .

[9]  Zhiwu Chen,et al.  Portfolio Performance Measurement: Theory and Applications , 1996 .

[10]  Christopher R. Blake,et al.  Survivorship Bias and Mutual Fund Performance , 1995 .

[11]  Sheridan Titman,et al.  Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns , 1993 .

[12]  I. M. Premachandra,et al.  Measuring the relative efficiency of fund management strategies in New Zealand using a spreadsheet-based stochastic data envelopment analysis model , 1998 .

[13]  M. C. Jensen.  The Performance of Mutual Funds in the Period 1945-1964 , 1967 .

[14]  S. Siegel,et al.  Nonparametric Statistics for the Behavioral Sciences , 2022, The SAGE Encyclopedia of Research Design.

[15]  B. Malkiel.  Returns from Investing in Equity Mutual Funds 1971 to 1991 , 1995 .

[16]  Edwin J. Elton,et al.  Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios , 1993 .

[17]  Sheridan Titman,et al.  Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings , 1989 .

[18]  Sanford J. Grossman.  On the Impossibility of Informationally Efficient Markets , 1980 .