Assessing the performance of alternative investments using non-parametric efficiency measurement approaches: Is it convincing?

Glawischnig, Markus; Sommersguter-Reichmann, Margit

doi:10.1016/j.jbankfin.2009.07.017

Cited by 47 publications

(47 citation statements)

References 33 publications

(33 reference statements)

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“…This paper presents a few models for measuring the performance of ethical mutual funds to consider their ethical components, expected returns, investment risk and subscription and redemption costs. The next two papers are Lozano2008 (Lozano & Gutiérrez, 2008), in the right-hand stream, and Glawischnig2010 (Glawischnig and Sommersguter-Reichmann 2010), in the left hand stream. Both provide critiques of DEA-based performance indexes to measure alternative investment fund performance.…”

Section: Money Market Fund Main Path Figure 4 Money Market Funds Maimentioning

confidence: 99%

Data envelopment analysis in financial services: a citations network analysis of banks, insurance companies and money market funds

Kaffash

Marra

2016

Ann Oper Res

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Development and application of the Data Envelopment Analysis (DEA) method, have been the subject of numerous reviews. In this paper, we consider the papers that apply DEA methods specifically to financial services, or which use financial services data to experiment with a newly introduced DEA model. We examine 620 papers published in journals indexed in the Web of Science database, from 1985 to April 2016. We analyse the sample applying citations network analysis. This paper investigates the DEA method and its applications in financial services. We analyse the diffusion of DEA in three sub-samples: (1) banking groups, (2) money market funds, and (3) insurance groups by identifying the main paths, that is, the main flows of the ideas underlying each area of research. This allows us to highlight the main approaches, models and efficiency types used in each research areas. No unique methodological preference emerges within these areas.Innovations in the DEA methodologies (network models, slacks based models, directional distance models and Nash bargaining game) clearly dominate recent research.For each subsample, we describe the geographical distribution of these studies, and provide some basic statistics related to the most active journals and scholars.

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Section: Money Market Fund Main Path Figure 4 Money Market Funds Maimentioning

confidence: 99%

Data envelopment analysis in financial services: a citations network analysis of banks, insurance companies and money market funds

Kaffash

Marra

2016

Ann Oper Res

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“…Most of this literature has been reviewed in the paper by Glawischnig and Sommersguter-Reichmann (2010a).…”

Section: Mutual Fund Evaluation Using Frontier Techniquesmentioning

confidence: 99%

“…The most popular among these methods is Data Envelopment Analysis (see Charnes et al, 1978). As indicated by Glawischnig and Sommersguter-Reichmann (2010a), these are increasingly used for the performance assessment of capital markets, traditional and alternative investment (particularly hedge funds) and managed future funds, but DEA estimators are sensitive to extremes and/or outliers, which can undermine the estimation of performance. Two main methods have been proposed in the literature, namely order-m (Cazals et al, 2002) and order-α (Daouia and Simar, 2007).…”

Section: Introductionmentioning

confidence: 99%

On the comparative performance of socially responsible and Islamic mutual funds

Abdelsalam

Duygun

Matallín

et al. 2014

Journal of Economic Behavior & Organization

104

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Citation for published item:edelslmD yF nd huygun pethiD wF nd wtll¡ %nD tFgF nd ortosEeusinD iF @PHIRA 9yn the omprtive performne of soilly responsile nd sslmi mutul fundsF9D tournl of eonomi ehvior nd orgniztionFD IHQ F IHVEIPVF Further information on publisher's website: Use policyThe full-text may be used and/or reproduced, and given to third parties in any format or medium, without prior permission or charge, for personal research or study, educational, or not-for-prot purposes provided that:• a full bibliographic reference is made to the original source • a link is made to the metadata record in DRO • the full-text is not changed in any way The full-text must not be sold in any format or medium without the formal permission of the copyright holders.Please consult the full DRO policy for further details. Meryem Duygun Fethi University of Leicester Juan Carlos MatallínUniversitat Jaume I Emili Tortosa-AusinaUniversitat Jaume I and Ivie May 20, 2013Abstract This is the first study to provide comprehensive analyses of the relative performance of both Socially Responsible Investment (SRI) and Islamic mutual funds. The analysis proceeds in two stages. In the first, the performance of the two categories of funds is measured using partial frontier methods. In the second stage, we use quantile regression techniques. By combining two variants of the Free Disposal Hull (FDH) methods (order-m and order-α) in the first stage of analysis and quantile regression in the second stage, we provide detailed analyses of the impact of different covariates across methods and across different quantiles. In spite of the differences in the screening criteria and portfolio management of both types of funds, variation in the performance is only found for some of the quantiles of the conditional distribution of mutual fund performance. We established that for the most inefficient funds the superior performance of SRI funds is significant. In contrast, for the best mutual funds this evidence vanished and even Islamic funds perform better than SRI. These results show the benefits of performing the analysis using quantile regression.

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“…A careful review of the literature assessing performance of traditional and alternative investment funds using DEA is provided by Glawischnig and Sommersguter-Reichmann (2010). Their survey implicitly suggests that the amount of studies applying nonparametric frontier methods such as DEA greatly outnumbers others using parametric methods.…”

Section: Mutual Fund Evaluation Using Frontier Techniquesmentioning

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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Assessing the performance of alternative investments using non-parametric efficiency measurement approaches: Is it convincing?

Cited by 47 publications

References 33 publications

Data envelopment analysis in financial services: a citations network analysis of banks, insurance companies and money market funds

Data envelopment analysis in financial services: a citations network analysis of banks, insurance companies and money market funds

On the comparative performance of socially responsible and Islamic mutual funds

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

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