A robust nonparametric approach to evaluate and explain the performance of mutual funds
(2004) , 35 pages
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- Authors
- Abstract
- The topic of the measurement of mutual funds’ performance is receiving an increasing interest both from an applied and a theoretical perspective. Beside the traditional financial literature, a growing body of works has started to apply the tools of frontier analysis for benchmarking comparisons in portfolio analysis. Our paper contributes to this literature proposing a robust nonparametric approach for analysing mutual funds. It is based on the concept of order−m frontier (Cazals, Florens and Simar, 2002) and on a probabilistic approach (Daraio and Simar, 2003) to find out the factors explaining mutual funds’ performance. The usefulness of this approach is illustrated by using US mutual funds data, grouped for category by ob jective. Economies of scale, slacks and market risks are investigated. A comparison of traditional, nonparametric and robust performance measures is also offered.
- Affiliations
Scuola Superiore S. Anna Laboratory of Economics and Management
Citations
Daraio, C., & Simar, L. (2004). A robust nonparametric approach to evaluate and explain the performance of mutual funds (STAT Discussion Papers 0412). https://hdl.handle.net/2078.5/34228