Mutual fund performance appraisals: a multi-horizon perspective with endogenous benchmarking

Morey, Matthew R.; Morey, Richard C.

doi:10.1016/s0305-0483(98)00043-7

Cited by 167 publications

(120 citation statements)

References 21 publications

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“…Their contribution was to develop a generalized DEA-based performance measure that can integrate both classic performance measures (as Sharpe, Treynor, and Jensen) and the approach of Murthi et al (1997). Additional applications of DEA for measuring mutual fund performance are McMullen and Strong (1998), Bowlin (1998), Morey and Morey (1999), and Choi and Murthi (2001).…”

Section: Introductionmentioning

confidence: 99%

Performance measurement of hedge funds using data envelopment analysis

Eling

2006

Fin Mkts Portfolio Mgmt

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Data envelopment analysis (DEA) is a nonparametric method from the area of operations research that measures the relationship of produced outputs to assigned inputs and determines an efficiency score. This efficiency score can be interpreted as a performance measure in investment analysis. Recent literature contains intensive discussion of using DEA to measure the performance of hedge funds, as this approach yields some advantages compared to classic performance measures. This paper extends the current discussion in three aspects. First, we present different DEA models and analyze their suitability for hedge fund performance measurement. Second, we systematize possible inputs and outputs for DEA and again examine their suitability for hedge fund performance measurement. Third, two rules are developed to select inputs and outputs in DEA of hedge funds. Using this framework, we find a completely new ranking of hedge funds compared to classic performance measures and compared to previously proposed DEA applications. Thus, we propose that classic performance measures should be supplemented with DEA based on the suggested rules to fully capture hedge fund risk and return characteristics.

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Section: Introductionmentioning

confidence: 99%

Performance measurement of hedge funds using data envelopment analysis

Eling

2006

Fin Mkts Portfolio Mgmt

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“…which is the "return expansion" approach introduced in Morey and Morey (1999). Accordingly, the thrust is on augmenting the expected amount of perceived resource rents with no increases in the total risk.…”

Section: Resultsmentioning

confidence: 99%

“…We use an adapted version of the non-parametric portfolio rating approach proposed in Morey and Morey (1999) …”

Section: Methodsmentioning

confidence: 99%

Export diversification through resource-based industrialization: The case of natural gas

Massol

Banal‐Estañol

2014

European Journal of Operational Research

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This is the accepted version of the paper.This version of the publication may differ from the final published version. February 14, 2014 Permanent AbstractFor small resource-rich developing economies, specialization in raw exports is usually considered to be detrimental to growth and Resource-Based Industrialization (RBI) is often advocated to promote export diversification. This paper develops a new methodology to assess the performance of these RBI policies. We first formulate an adapted mean-variance portfolio model that explicitly takes into consideration: (i) a technology-based representation of the set of feasible export combinations, and (ii) the cost structure of the resource processing industries. Second, we provide a computationally tractable reformulation of the resulting mixed-integer nonlinear optimization problem.Finally, we present an application to the case of natural gas, comparing current and efficient export-oriented industrialization strategies of nine gas-rich developing countries.

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“…As the multi-horizon analysis by Morey and Morey (1999) in several ways. Joro and Na (2006) suggested a cubic-constrained mean-variance-skewness framework similarly to Briec et al (2007), who consider both skewness and mean return as outputs.…”

Section: Inputs and Outputs Selectionmentioning

confidence: 99%

“…The number of proposals, both from theoretical and empirical points of view, is now substantial, including Murthi et al (1997), McMullen and Strong (1998), Morey and Morey (1999), Wilkens and Zhu (2001), Basso and Funari (2001), or Choi and Murthi (2001), among others. Indeed, due to the now remarkable number of proposals, some initiatives have been taken to review early contributions, such as Eling (2006), Glawischnig and Sommersguter-Reichmann (2010), or the monograph by Gregoriou and Zhu (2005) in the specific fields of hedge fund and commodity trading advisor (CTAs) performance evaluation.…”

Section: Introductionmentioning

confidence: 99%

On the informativeness of persistence for evaluating mutual fund performance using partial frontiers

Matallín‐Sáez

Soler‐Domínguez

Tortosa‐Ausina

2014

Omega

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The last few years have witnessed a rapid evolution in the literature evaluating mutual fund performance using frontier techniques. The instruments applied, mostly DEA (Data Envelopment Analysis) and, to a lesser extent, FDH (Free Disposal Hull), are able to encompass several dimensions of performance, but they also have some disadvantages that might be preventing a wider acceptance. The recently developed order-m and order-α partial frontiers overcome some of the disadvantages (they are robust with respect to extreme values and noise, and do not suffer from the well-known curse of dimensionality) while keeping the main virtues of DEA and FDH (they are fully-nonparametric). In this article we apply not only the non-convex counterpart of DEA (FDH) but also order-m and order-α partial frontiers to a sample of US mutual funds. The results obtained for both order-m and order-α are useful, since a full ranking of the mutual funds' performance can be obtained. We merge these methods with the literature on mutual fund performance persistence. By combining the two literatures we derive an algorithm which establishes how the choice of m and α parameters intrinsic to order-m and order-α (respectively) relate to the existence of performance persistence and the contrarian effect.

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Mutual fund performance appraisals: a multi-horizon perspective with endogenous benchmarking

Cited by 167 publications

References 21 publications

Performance measurement of hedge funds using data envelopment analysis

Performance measurement of hedge funds using data envelopment analysis

Export diversification through resource-based industrialization: The case of natural gas

On the informativeness of persistence for evaluating mutual fund performance using partial frontiers

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