Appraisal of Mutual Equity Fund Performance Using Data Envelopment Analysis

Abstract

This paper employs Data Envelopment Analysis to measure for the first time the performance of Greek domestic equity mutual funds over four different one-year horizons and for the whole four-year period. In particular, the model used examines whether fund managers employ inputs (i.e. assets, loads, and risk) efficiently to produce output (returns). The results demonstrate that the efficient funds form the smaller part of the examined sample of funds, the average efficiency rises over time, and that the mean-variance efficiency hypothesis holds for the inefficient funds over the whole period. Moreover, the evidence from the identified sources of inefficiency suggests that fund managers should put more emphasis on the management of assets and the specification of front-end and back-end loads.