Institutional Repository [SANDBOX]
Technical University of Crete
EN  |  EL

Search

Browse

My Space

Mutual funds performance appraisal using stochastic multicriteria acceptability analysis

Babalos, Vassilis, Philippas Nikolaos, Michael Doumpos, Zopounidis Konstantinos

Full record


URI: http://purl.tuc.gr/dl/dias/BB0E8D73-A96D-4B56-8DCD-FC9CF82DEED2
Year 2012
Type of Item Peer-Reviewed Journal Publication
License
Details
Bibliographic Citation V. Babalos, N. Philippas, M. Doumpos and C. Zopounidis, "Mutual funds performance appraisal using stochastic multicriteria acceptability analysis," Appl. Math. Comput., vol. 218, no. 9, pp. 5693-5703, Jan. 2012. doi:10.1016/j.amc.2011.11.066 https://doi.org/10.1016/j.amc.2011.11.066
Appears in Collections

Summary

Mutual fund investors are concerned with the selection of the best fund in terms of performance among the set of alternative funds. This paper proposes an innovative mutual funds performance evaluation measure in the context of multicriteria decision making. We implement a multicriteria methodology using stochastic multicriteria acceptability analysis, on Greek domestic equity funds for the period 2000–2009. Combining a unique dataset of risk-adjusted returns such as Carhart’s alpha with funds’ cost variables, we obtain a multicriteria performance evaluation and ranking of the mutual funds, by means of an additive value function model. The main conclusion is that among employed variables, the sophisticated Carhart’s alpha plays the most important role in determining fund rankings. On the other hand, funds’ rankings are affected only marginally by operational attributes. We believe that our results could have serious implications either in terms of a fund rating system or for constructing optimal combinations of portfolios.

Services

Statistics