Evaluating data envelopment analysis as an alternative fund performance appraisal tool to traditional composite measures of portfolio performance: A Philippine mutual fund industry risk-return analysis for the years 2003-2007
Date of Publication
2008
Document Type
Bachelor's Thesis
Degree Name
Bachelor of Science in Commerce Major in Management of Financial Institutions
Subject Categories
Finance and Financial Management
College
Ramon V. Del Rosario College of Business
Department/Unit
Financial Management
Thesis Adviser
Clive Manuel O. Wee Sit
Defense Panel Member
Rafael Ayuste
Cecilia Paz Ram
Lorenz Tan
Abstract/Summary
The proponents conducted a study on the performance of (34) Philippine mutual funds using three (3) data envelopment analysis models, namely, the CCR (basic) model, the cross-efficiency model, and the super-efficiency model, and three (3) traditional performance evaluation measures, namely, the Sharpe ratio, the Treynor index, and the Jensen's alpha. To determine the efficiency and the risk-adjusted performance of the mutual funds, 1-, 3-, and 5-time horizons were analyzed for the period 2003-2007.
The main objective of the paper is to determine whether data envelopment analysis (DEA) can be used as an alternative tool in assessing the performance of mutual funds aside from the traditional performance evaluation measures. After generating the efficiency scores of each of the mutual funds covered in the study and determining which funds are deemed as efficient, the funds were then ranked and compare using the DEA models and the three traditional performance evaluation measures.
Although the rankings obtained from the DEA models do not coincide with the rankings obtained from the traditional measures, the proponents have concluded that DEA can be used as an alternative tool for mutual fund performance appraisal simply because DEA can generate scores and rankings for fund performance evaluation. In addition, it is able to capture additional information contained in mutual funds returns and leads to an improvement in mutual fund performance measurement. Also, by considering DEA as an alternative tool for fund performance, it provides researchers and investors a multidimensional view of how to look at fund performance beside the traditional methods.
Abstract Format
html
Language
English
Format
Accession Number
TU21693
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
xii, 203 leaves : illustrations
Keywords
Mutual funds--Philippines--Management; Investments--Philippines
Recommended Citation
Chua, E., Geocanica, J., Pena, N., & Yambao, A. (2008). Evaluating data envelopment analysis as an alternative fund performance appraisal tool to traditional composite measures of portfolio performance: A Philippine mutual fund industry risk-return analysis for the years 2003-2007. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/18369
