Precious Metal Mutual Fund Performance Evaluation: A Series Two-Stage DEA Modeling Approach

Tsolas, Ioannis E.

doi:10.3390/jrfm13050087

Cited by 14 publications

(6 citation statements)

References 56 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The DEA-BCC model was further subdivided into input-oriented DEA-BCC model and output-oriented DEA-BCC model. 46 The input variable is the major variable during the evaluation of SLE since it is easier to regulate than the output variable. Thus, the DEA-BCC model was used for this study.…”

Section: Methodsmentioning

confidence: 99%

A quantitative simulation and verification of the sustainable and low-carbon development efficiency curves for Beijing–Tianjin–Hebei urban agglomeration

Zeng¹,

Huang²,

Tang³

et al. 2023

Indoor and Built Environment

View full text Add to dashboard Cite

The Beijing–Tianjin–Hebei urban agglomeration (BTHUA) has experienced ecological and environmental issues due to its rapid development and expansion, including air and water pollution. Examining inter-regional plans for sustainable and low-carbon sustainable development is crucial and practical for achieving ecological balance among regions and fostering the BTHUA’s commitment to collaborative innovation. This study applies the three-stage data envelopment analysis (DEA) model to 13 cities in the BTHUA between 2007 and 2020 to compute the sustainable and low-carbon development efficiency (SLE) and index, and then constructs a fundamental model of urban agglomeration growth. In this study, MATLAB software was used to predict the general evolution trend and development curve for the BTHUA’s low-carbon and green economy development. The results of the study indicate (1) the efficiency of sustainable and low-carbon development in the BTHUA has a wave-like ascending tendency, generating an overall development pattern that is centred on core cities and eventually descends toward the periphery. (2) In recent years, coordination between sustainable and low-carbon development indices and development levels within BTHUA has largely improved; however, a changing nonlinear relationship exists between the sustainable and low-carbon efficiency index and development levels. (3) The BTHUA’s sustainable and low-carbon development curve displays a tendency that is consistent with the function model’s anticipated evolution trend.

show abstract

Section: Methodsmentioning

confidence: 99%

A quantitative simulation and verification of the sustainable and low-carbon development efficiency curves for Beijing–Tianjin–Hebei urban agglomeration

Zeng¹,

Huang²,

Tang³

et al. 2023

Indoor and Built Environment

View full text Add to dashboard Cite

show abstract

“…In addition to the above models, other approaches include the minimum convex input requirement set (Chang 2004) and the concepts of order-m frontier (Daraio and Simar 2006) and quantile efficiency (Daouia and Simar 2007). Recent reviews on single DEA mutual fund performance studies are provided by Basso and Funari (2016) and Tsolas (2014Tsolas ( , 2020. The above type of study does not capture the impact of portfolio diversification and may overestimate fund efficiencies, and as a result, another type of study, namely diversification DEA-based studies, was developed firstly by Morey Matthew R. (1999).…”

Section: Literature Reviewmentioning

confidence: 99%

“…A number of works that followed Premachandra et al (2012) lie in this research strand. Recent contributions to this type of DEA modeling on fund performance evaluation are the works by Galagedera (2018Galagedera ( , 2019, Hsieh et al (2020), andTsolas (2020).…”

Section: Literature Reviewmentioning

confidence: 99%

See 1 more Smart Citation

The Determinants of the Performance of Precious Metal Mutual Funds

Tsolas

2020

JRFM

Self Cite

View full text Add to dashboard Cite

The aim of this paper is to assess the efficiency of a set of 62 precious metal mutual funds (PMMFs) and to explain performance differences between funds using weighted additive data envelopment analysis (DEA) and Tobit regression, respectively. The contribution of this paper is twofold: to provide for the first-time metrics of the relative performance of PMMFs using a particular weighted additive model, namely the range-adjusted measure (RAM), and to explain the performance of the funds by the use of a Tobit model. Results do not suggest positive linkages between RAM-based and standard fund performance metrics (Sharpe ratio and Jensen’s alpha). Moreover, for the sample inefficient funds the mean–variance performance hypothesis does not hold. In addition, fund performance based on RAM can be explained by the persistence of the fund and the beta coefficient.

show abstract

“…Lozano and Gutiérrez (2008a), Premachandra et al (2016), and Basso and Funari (2016) provide a careful assessment of the literature evaluating the performance of traditional MFs and alternative investment funds (socially responsible investment (SRI) MFs, Islamic funds, pension funds, exchange-traded funds, hedge funds, commodity trading advisors, and managed future funds) using DEA. The number of studies published on this subject over the period 2016-2020 has been considerable (see, e.g., Sánchez-González et al, 2017;Basso and Funari, 2018;Galagedera et al, 2018;Andreu et al, 2019;Solórzano-Taborga et al, 2020;Tsolas, 2020;Tuzcu and Ertugay, 2020, among others).…”

Section: Introductionmentioning

confidence: 99%

Measuring the overall efficiency of SRI and conventional mutual funds by a diversification‐consistent DEA model

Bilbao-Terol

Arenas-Parra

Bilbao‐Terol

2021

Int Trans Operational Res

View full text Add to dashboard Cite

This paper presents an application of data envelopment analysis (DEA) based approaches to assess the relative financial and nonfinancial efficiency of mutual funds (MFs). Our approach measures corporate sustainability (CS) of the MFs from the rating process carried out by social agencies on the constituent firms. We have modified the raw scores of the firms invested in by the MFs in order to overcome the compensatory effect when the MFs invested in both "good" and "bad" firms. For this purpose, we have used prospect theory in such a manner that the original scores awarded to the firms are modified by applying a value function. Three extensions of Branda's model are formulated. The first model measures financial efficiency, the second model measures CS efficiency and is an output-oriented DEA model, and, the third is a DEA model for measuring overall efficiency of the MFs. In the last step of the proposed methodology, the set of overallefficient MFs is ranked applying technique for order of preference by similarity to ideal solution to the two DEA scores corresponding to the two partial DEA models. The risk and return measures have been chosen so that the proposed models are consistent with the second-order stochastic dominance relation. Therefore, under a finite number of equiprobable scenarios for the rates of return, a set of conditional value at risk for several confidence levels are used as inputs of the models that consider the financial performance. The proposed approach is illustrated with real data on a set of 144 French MFs, 31 marketed as socially responsible investment MFs.

show abstract

Precious Metal Mutual Fund Performance Evaluation: A Series Two-Stage DEA Modeling Approach

Cited by 14 publications

References 56 publications

A quantitative simulation and verification of the sustainable and low-carbon development efficiency curves for Beijing–Tianjin–Hebei urban agglomeration

A quantitative simulation and verification of the sustainable and low-carbon development efficiency curves for Beijing–Tianjin–Hebei urban agglomeration

The Determinants of the Performance of Precious Metal Mutual Funds

Measuring the overall efficiency of SRI and conventional mutual funds by a diversification‐consistent DEA model

Contact Info

Product

Resources

About