Data Envelopment Analysis of Morningstar's Large-Cap Mutual Funds

19 Pages Posted: 13 Jun 2012 Last revised: 14 Oct 2012

See all articles by John A. Haslem

John A. Haslem

University of Maryland - Robert H. Smith School of Business; University of Maryland - Robert H. Smith School of Business

Carl A. Scheraga

Fairfield University - Charles F. Dolan School of Business

Multiple version iconThere are 2 versions of this paper

Date Written: November 4, 2003

Abstract

What the study findings say is that there are identified input/output and profile variables that are significantly different between the Morningstar 500’s (1999) large-cap mutual funds that are DEA performance efficient and inefficient. The Sharpe Index represents the DEA output variable. That is, the findings indicate the variables that are significantly different between performance efficient and inefficient funds and the nature of their relationships. The variable values associated with efficient funds are relatively conservative in nature, not aggressive. This finding is consistent with characterizing the investment style of large cap DEA performance efficient funds as predominantly value rather than growth.

Keywords: DEA, mutual funds, Morningstar, performance efficient & inefficient, value v. growth

JEL Classification: G2, G23, G28

Suggested Citation

Haslem, John A. and Haslem, John A. and Scheraga, Carl A., Data Envelopment Analysis of Morningstar's Large-Cap Mutual Funds (November 4, 2003). Available at SSRN: https://ssrn.com/abstract=2080478 or http://dx.doi.org/10.2139/ssrn.2080478

John A. Haslem (Contact Author)

University of Maryland - Robert H. Smith School of Business ( email )

College Park, MD 20742
United States
202-387 2025 (Phone)

University of Maryland - Robert H. Smith School of Business ( email )

5901 MacArthur Blvd NW 124
Washington, DC DC 20016
United States
202-236 3172 (Phone)

Carl A. Scheraga

Fairfield University - Charles F. Dolan School of Business ( email )

N. Benson Road
Fairfield, CT 06824
United States

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
93
Abstract Views
1,545
Rank
124,700
PlumX Metrics