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سند علمی

Assessing Mutual Funds Performance Using Data Envelopment Analysis

Rashmi Malhotra

چکیده

This study illustrates the use of data envelopment analysis to benchmark mutual funds on the basis of risk-adjusted performance, load, 12b-1 plan, and expense ratios. Using the DEA methodology, we calculate an efficiency score for 189 funds on a scale of 1 to 100 by maximizing twelve month total return and minimizing beta, standard deviation, load, 12b-1 charges, and expense ratios. This study benchmarks a mutual fund on the basis of risk-adjusted performance, load, 12b-1 plan, and expense ratio so that investor can select best performing funds on a broader basis rather than just the performance.

اسناد مشابه

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