Is size an input in the mutual fund performance evaluation with DEA?

Tuzcu, Sevgi Eda; Ertugay, Emrah

doi:10.1007/s40822-020-00141-6

Cited by 12 publications

(12 citation statements)

References 23 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The first Component privileges risk measures; component two highlights the return with relief for the Sharpe and R/R ratio and the Alpha, and component three with the high explanatory power of the correlations and R-square variables. Our choice is in line with Tuzcu and Ertugay ( 2020 ) because the risk measures should reflect the overall risk as well as the positive impacts of portfolio diversification.…”

Section: Methodological Frameworkmentioning

confidence: 99%

“…The Standard deviation was used in several studies (e.g., Chang 2004 ; Chen et al 2011 ; Gouveia et al 2018 ; Tsolas and Charles 2015 ) to assess the volatility of returns over a certain period, i.e., it represents the total risk of the portfolio (Tuzcu and Ertugay 2020 ). If this value is close to zero, it means that the data are more uniform, that is, the sampling presents return values that are closer to each other.…”

Section: Literature Reviewmentioning

confidence: 99%

See 1 more Smart Citation

Technological, healthcare and consumer funds efficiency: influence of COVID-19

et al. 2023

View full text Add to dashboard Cite

This paper aims to analyze the efficiency of the funds in technological, healthcare, and consumer cyclical sectors based on the U.S. News & World Report rankings. We employed a Principal Component Analysis to select the indicators to explain efficiency. Then, we have used an alternative approach that combines Data Envelopment Analysis (DEA) with Multiple Criteria Decision Aiding, the Value-Based DEA, to assess the efficiency of funds for 1 year (2020), 3 years (2018–2020), and 5 years (2016–2020). The results highlight that in 2020 the number of efficient funds is much smaller than in previous periods and this can be justified by the effect of the COVID-19 pandemic crisis. The sectors with the most efficient funds are technology and healthcare. The factors that determine the efficiency of funds in the health sector and the technology sector are quite different, although they have not undergone major changes in the three periods considered. For managers, health funds are seen as low risk and hardly consider the return factors in all analyzed periods, which is often considered as benchmarks for inefficient funds. In the technology sector, Beta and Alpha are generally the indicators with the greatest weight in fund efficiency, showing that these funds beat the market in terms of returns and are less risky than the benchmark. This study seeks to complete the scarce existing literature on the subject, namely in the sectors under analysis, seeking to identify the indicators that fund managers ponder most to consider a fund as efficient. As far as we know, the joint efficiency analysis of these sectors and the impact they suffered from the COVID-19 pandemic are new in the literature.

show abstract

Section: Methodological Frameworkmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Technological, healthcare and consumer funds efficiency: influence of COVID-19

et al. 2023

View full text Add to dashboard Cite

show abstract

“…The market is fairly concentrated among the top players. These retirement firms operate within an enviroment in which more than 85% of asset management companies are related to a bank group (Tuzcu & Ertugay, 2020). Capital Markets Board of Turkey (CMB) regulates the establishment and operations of pension companies.…”

Section: Turkey's Capital Markets and Pension Systemsmentioning

confidence: 99%

Voluntary Private Pension Funds and Capital Market Development

Eğrican

Kayhan

2022

aamjaf

View full text Add to dashboard Cite

We examine voluntary private pension funds and their relationship to capital market development. Using data from Turkey, we analyse depth, efficiency and liquidity indicators of capital markets after the introduction of voluntary private pension funds in 2003. Overall, our findings indicate that the introduction of voluntary private pension plans are positively associated with indicators of capital market development, focusing on market depth (such as market capitalisation and trading volume) in both debt and equity markets. We also observe that indicators for other more recently established markets are also positively associated with the introduction of voluntary pension plans. In contrast, equity market turnover shows a negative association. These findings, along with the positive association with the corporate governance index, suggest that pension funds are important for capital market development and for corporate governance of firms as they are long-term investors. However, the introduction of state contributions in 2013 is not robust to alternative specifications.

show abstract

“…Danquah et al ( 2018 ) and Delhausse et al ( 1995 ) applied parametric techniques, stochastic frontier analysis (SFA) in particular, which provide techniques for modeling the frontier within a regression framework in order to estimate efficiency. Other authors applied non-parametric techniques, which utilize linear programing techniques to estimate the frontier and provide relative assessment (Tuzcu & Ertugay, 2020 ) such as Data Envelopment Analysis (DEA) (Barros et al, 2005 ; Cummins & Turchetti, 1996 ; Hesarzadeh, 2020 ; Nguyen & Worthington, 2020 ; Nourani et al, 2020 ; Shieh et al, 2020 ), and two-stage DEA (Li et al, 2018 ). The choice of the methodology for estimating efficient frontiers has generated debates in the literature, with some scholars supporting the parametric approach (Berger, 1993 ; Greene, 2008 ) and others the nonparametric one (Cooper et al, 2011 ), with no clear conclusion.…”

Section: Literature Reviewmentioning

confidence: 99%

Translating technological innovation into efficiency: the case of US public P&C insurance companies

Lanfranchi

Grassi

2021

Eurasian Bus Rev

View full text Add to dashboard Cite

In recent years, Insurtech innovations, driven by technologies such as artificial intelligence and blockchain, emerged in the insurance industry, with the promise of improving efficiency. However, while the positive impact of technology on insurance companies’ efficiency is expected, literature assessing it empirically is scarce, when it comes to recent technological change. Focusing on the US public P&C insurance sector in the period 2012–2018 and relying on both nonparametric (two stage DEA) and parametric (SFA) approaches, it emerges that on average insurance companies were not able to leverage on technological innovations to improve their efficiency. On average a relative level of efficiency among companies, according to a two stage DEA model, was quite stable in time, while the SFA approach shows that the distance between efficient and less efficient firms slightly increased. Moreover, we found one very efficient firm, almost a leader of the market in terms of efficiency, and a homogeneous group of followers, indicating that there is vast scope for improvement for less efficient companies. Nevertheless, even the most efficient company impaired its efficiency over time, suggesting that neither the leader nor on average the followers properly leveraged technology to improve their efficiency. In a competitive scenario, with new players’ entrance and fierce competition, inertia may seriously affect their positioning. Academicians, managers and policymakers should carefully consider the effects that a non-improvement of efficiency following technological change may have on market structure, competition and regulations, potentially opening to further discussion on how technological innovations adoption should be facilitated.

show abstract

Is size an input in the mutual fund performance evaluation with DEA?

Cited by 12 publications

References 23 publications

Technological, healthcare and consumer funds efficiency: influence of COVID-19

Technological, healthcare and consumer funds efficiency: influence of COVID-19

Voluntary Private Pension Funds and Capital Market Development

Translating technological innovation into efficiency: the case of US public P&C insurance companies

Contact Info

Product

Resources

About