This study uses data envelopment analysis (DEA) to measure the relative efficiency of 257 Australian mutual funds, and logistic regression to examine the dependence of efficiency on fund attributes, management strategy and the operating environment. The sensitivity of DEA efficiency to various input-output variable combinations is investigated. More funds show up efficient when DEA captures fund's long-term growth and income distribution than a shorter time horizon. DEA ranking of funds, however, is independent of the time horizon used. Fund's efficiency depends, to a large extent, on the asset allocation score that is constructed from the fund's wealth distribution to various asset classes. In general, the overall technical efficiency and the scale efficiency are higher for risk-aversive funds with high positive net flow of assets.
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