A Data Envelopment Analysis Approach to Benchmark the Performance of Mutual Funds in India
As the Indian economy grows digitally and becomes more financially inclusive, more and more investors have started to invest in the Indian capital markets. The number of retail and institutional folios with Indian mutual fund schemes have continued to rise for the 74th consecutive month. This study considers 139 mutual fund schemes (98 equity schemes) and aims to ascertain the various metrics and parameters, retail and institutional investors continue to rely on to make investment recommendations. We compare these with the results from a data envelopment analysis model that generates an efficiency frontier based on an optimal risk, cost, and return trade-off. We further put forth an iteration of the DEA model, not only considering risk, cost, and return characteristics but also incorporating metrics such as the information ratio which hold significance for retail and institutional investors. We compare these results with traditional metrics and fund rankings published by established industry rating agencies.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
A Data Envelopment Analysis Approach for Assessing Fairness in Resource Allocation: Application to Kidney Exchange Programs
Kidney exchange programs have significantly increased transplantation rates but raise pressing questions about fairness in organ allocation. We present a novel framework leveraging Data Envelopment Analysis (DEA) to eval…
Conformal PredictionFairnessPrediction IntervalsPerceptual evaluation of listener envelopment using spatial granular synthesis
Listener envelopment refers to the sensation of being surrounded by sound, either by multiple direct sound events or by a diffuse reverberant sound field. More recently, a specific attribute for the sensation of being co…
AttributeConventional and Fuzzy Data Envelopment Analysis with deaR
deaR is a recently developed R package for data envelopment analysis (DEA) that implements a large number of conventional and fuzzy models, along with super-efficiency models, cross-efficiency analysis, Malmquist index, …
Development of fully intuitionistic fuzzy data envelopment analysis model with missing data: an application to Indian police sector
Data Envelopment Analysis (DEA) is a technique used to measure the efficiency of decision-making units (DMUs). In order to measure the efficiency of DMUs, the essential requirement is input-output data. Data is usually c…
Decision MakingMissing ValuesApplication of DEA in International Market Selection for the export of products from Spain
This article presents a Benchmarking methodology to support decision-making for international market selection (IMS). In order to do so, we will be using an output-oriented Data Envelopment Analysis (DEA) model. This met…
BenchmarkingDecision Making