Mutual Fund Performance Evaluation using Data Envelopment Analysis with Higher Moments

Abstract The mutual fund industry has experienced huge growth internationally, becoming one of the primary vehicles through which individuals and most institutions invest in capital markets. Thus, the evaluation of the performance of mutual funds has become a very interesting research topic both for academic researchers for managers of financial, banking and investment institutions. This paper proposes Data Envelopment Analysis, a nonparametric approach, for the evaluation of mutual fund performance. This method is applied in both mean-variance and higher moment's framework on data of Greek mutual funds over the period 2007-2010 with encouraging results. JEL classification numbers: C61, G11, G2

Evaluation of equity mutual funds’ performance using a multicriteria methodology

The evaluation of the performance of mutual funds has been a very interesting research topic for not only researchers, but also for managers of financial, banking and investment institutions. In this study a well-known MCDA method based on the theory of outranking relations, the PROMETHEE II method (Preference Ranking Organisation Method for Enrichment Evaluations; [Brans and Vincke (1985)]) is used to develop outranking models for mutual funds’ performance. This method is applied on real-world data of mutual funds derived from the Association of Greek Institutional Investors. The results of the PROMETHEE II method are indicative of ranking the funds from the best to the worst ones according to their performance.peer-reviewe

ECONOMIC CRISIS AND FIRMS’ PERFORMANCE: EMPIRICAL EVIDENCE FOR THE GREEK CHEESE INDUSTRY

The main purpose of this paper is to empirically explore the characteristics of the cheesesector that lead businesses in Greece to profitability. It is also important to evaluate theimpact of the current economic crisis on the economic performance of cheese enterprises.This study uses a panel data set that come from balance sheets and income statements ofalmost 100 companies operating in the cheese sector for the period 2006 to 2011. Thefirst results show that during this economic crisis period, the profitability of cheesebusinesses has been affected adversely. Moreover, the smaller sized businesses arepresenting the most significant efficiency and profitability losses

Portfolio performance and risk-based assessment of the portrait tool

Summarization: In this paper we evaluate and extend the PORTRAIT tool. PORTRAIT applies an argumentation based methodology for composing fund portfolios. Argumentation allows for combining different contexts and preferences in a way that can be optimized. It allows for defining a set of different investment policy scenarios and supports the investor/portfolio manager in composing efficient portfolios that meet her/his profile. The performance and risk of the constructed portfolios is compared with portfolios based on a traditional performance index under different scenarios. This approach is applied on data of Greek domestic equity mutual funds over the period from January 2006 to December 2011 with positive results. The empirical results of our study showed that argumentation is well suited for this type of applications giving answers to two important questions, i.e. which mutual funds are the most suitable to invest in, and, what portion of the available capital should be invested in each of these funds.Presented on: International Journal of Operational Researc

Constructing portfolios using argumentation based decision making and performance persistence of mutual funds

Summarization: This paper proposes an argumentation based tool for the selection of mutual funds and then the composition of efficient portfolios based on the performance persistence of the mutual funds. Argumentation allows for combining different contexts and preferences in a way that can be optimized. It allows for defining a set of different investment policy scenarios and supports the investor/portfolio manager in composing efficient portfolios that meet his profile. Moreover, the proposed methodological approach and the obtained portfolios are validated through their comparison to the return of the Market Index and with portfolios obtained using a traditional performance index. This approach is applied on data of Greek domestic equity mutual funds over the period 2000-2011 with encouraging results.Presented on