Abstract

In finance, portfolio performance assessment is an important area of research. The two popular indices of performance are the Jensen's alpha and the Sharpe index. However there are a number of shortcomings of the above measures that have been highlighted in the literature. We propose a new measure of performance that seeks to address the limitations of the earlier indices. The new index is calculated by employing a well known method in operations research called data envelopment analysis. We show the benefits of the proposed approach and assess the performance of mutual funds. We compare the results with traditional indices of performance. An interesting result we obtain is that the mutual funds are all approximately mean-variance efficient.

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.