Performance Evaluation of Mutual Funds Using the Value-Based DEA Method
Purpose: This study aims to investigate the impact of the financial crisis on the investment fund industry using dynamic evaluation and comparing the performance of investment funds in different years from 2012 to 2017. Value-based data envelopment analysis is used to evaluate the performance of dec...
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| Format: | Article |
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Ayandegan Institute of Higher Education, Tonekabon,
2020-05-01
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| Series: | مدیریت نوآوری و راهبردهای عملیاتی |
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| Online Access: | http://www.journal-imos.ir/article_122921_99d5f67574d17b686e2bea47d75b4f72.pdf |
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| author | Khadijeh Ghaziyani Seyede Fatemeh Bagheri Babak Ejlali |
| author_facet | Khadijeh Ghaziyani Seyede Fatemeh Bagheri Babak Ejlali |
| author_sort | Khadijeh Ghaziyani |
| collection | DOAJ |
| description | Purpose: This study aims to investigate the impact of the financial crisis on the investment fund industry using dynamic evaluation and comparing the performance of investment funds in different years from 2012 to 2017. Value-based data envelopment analysis is used to evaluate the performance of decision-making units (investment funds) and to present changes in performance throughout the year. Methodology: In terms of classification based on the purpose of this research, the purpose of the applied type is to develop applied knowledge in a specific field. This research is of library type in terms of research design. It has been used to collect research data by referring to the information contained in historical financial statements. Also, this research is descriptive-correlational in terms of data collection and inference. Findings: The study of various models of data envelopment analysis methods and the types of inputs and outputs of data envelopment analysis methods for evaluating mutual funds have been discussed. Since the investment policies of the funds are different from each other, the tools obtained are also different from each other. Therefore, using a tool such as the data envelopment analysis method can help examine the units under study under the same conditions. One of the tools that can be used for this purpose is the data envelopment analysis method because DEA is a non-parametric method. It considers the relationship between product outputs and inputs and defines the efficiency boundary. The efficiency threshold can be viewed as a performance measure in investment analysis. Originality/Value: The issue is related to the events that have taken place in the country, which are strongly affected by the economic recession and the banking system, which mainly include sanctions and the global financial crisis and liquidity fluctuations and exchange rate fluctuations; therefore, the conclusions in this study will be potentially valuable for fund managers and investors. |
| format | Article |
| id | doaj-art-a38d97a616264b21b45cfa8ea366d890 |
| institution | Kabale University |
| issn | 2783-1345 2717-4581 |
| language | fas |
| publishDate | 2020-05-01 |
| publisher | Ayandegan Institute of Higher Education, Tonekabon, |
| record_format | Article |
| series | مدیریت نوآوری و راهبردهای عملیاتی |
| spelling | doaj-art-a38d97a616264b21b45cfa8ea366d8902025-01-30T14:59:02ZfasAyandegan Institute of Higher Education, Tonekabon,مدیریت نوآوری و راهبردهای عملیاتی2783-13452717-45812020-05-0111829710.22105/imos.2021.261345.1009122921Performance Evaluation of Mutual Funds Using the Value-Based DEA MethodKhadijeh Ghaziyani0Seyede Fatemeh Bagheri1Babak Ejlali2Faculty of Mathematical Sciences, Lahijan Branch, Islamic Azad University, Lahijan, Iran.Faculty of Mathematical Sciences, Lahijan Branch, Islamic Azad University, Lahijan, Iran.Faculty of Industry, Amirkabir University,, Tehran, Iran.Purpose: This study aims to investigate the impact of the financial crisis on the investment fund industry using dynamic evaluation and comparing the performance of investment funds in different years from 2012 to 2017. Value-based data envelopment analysis is used to evaluate the performance of decision-making units (investment funds) and to present changes in performance throughout the year. Methodology: In terms of classification based on the purpose of this research, the purpose of the applied type is to develop applied knowledge in a specific field. This research is of library type in terms of research design. It has been used to collect research data by referring to the information contained in historical financial statements. Also, this research is descriptive-correlational in terms of data collection and inference. Findings: The study of various models of data envelopment analysis methods and the types of inputs and outputs of data envelopment analysis methods for evaluating mutual funds have been discussed. Since the investment policies of the funds are different from each other, the tools obtained are also different from each other. Therefore, using a tool such as the data envelopment analysis method can help examine the units under study under the same conditions. One of the tools that can be used for this purpose is the data envelopment analysis method because DEA is a non-parametric method. It considers the relationship between product outputs and inputs and defines the efficiency boundary. The efficiency threshold can be viewed as a performance measure in investment analysis. Originality/Value: The issue is related to the events that have taken place in the country, which are strongly affected by the economic recession and the banking system, which mainly include sanctions and the global financial crisis and liquidity fluctuations and exchange rate fluctuations; therefore, the conclusions in this study will be potentially valuable for fund managers and investors.http://www.journal-imos.ir/article_122921_99d5f67574d17b686e2bea47d75b4f72.pdfperformance evaluationmutual fundsvalue-based dea method |
| spellingShingle | Khadijeh Ghaziyani Seyede Fatemeh Bagheri Babak Ejlali Performance Evaluation of Mutual Funds Using the Value-Based DEA Method مدیریت نوآوری و راهبردهای عملیاتی performance evaluation mutual funds value-based dea method |
| title | Performance Evaluation of Mutual Funds Using the Value-Based DEA Method |
| title_full | Performance Evaluation of Mutual Funds Using the Value-Based DEA Method |
| title_fullStr | Performance Evaluation of Mutual Funds Using the Value-Based DEA Method |
| title_full_unstemmed | Performance Evaluation of Mutual Funds Using the Value-Based DEA Method |
| title_short | Performance Evaluation of Mutual Funds Using the Value-Based DEA Method |
| title_sort | performance evaluation of mutual funds using the value based dea method |
| topic | performance evaluation mutual funds value-based dea method |
| url | http://www.journal-imos.ir/article_122921_99d5f67574d17b686e2bea47d75b4f72.pdf |
| work_keys_str_mv | AT khadijehghaziyani performanceevaluationofmutualfundsusingthevaluebaseddeamethod AT seyedefatemehbagheri performanceevaluationofmutualfundsusingthevaluebaseddeamethod AT babakejlali performanceevaluationofmutualfundsusingthevaluebaseddeamethod |