DEA performance assessment of mutual funds

Abstract

The objectives of this paper aremanyfold. Firstwe present a comprehensive review of the literature of DEA models for the performance assessment of mutual funds. Then we discuss the problem of the presence of negative returns in DEA modeling for mutual funds and we identify a DEA model that is financially justified and tackles the issue of negative returns in a natural way. Moreover, we present an empirical application on real market data, considering different risk measures. We consider also different holding periods, which include both a period of financial crisis and one of financial recovery. Moreover, we compare the results of the DEA performance measure with those obtained with traditional financial indicators.