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Mutual funds performance appraisal using stochastic multicriteria acceptability analysis

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

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URIhttp://purl.tuc.gr/dl/dias/BB0E8D73-A96D-4B56-8DCD-FC9CF82DEED2-
Identifierhttp://www.sciencedirect.com/science/article/pii/S0096300311014093-
Identifierhttps://doi.org/10.1016/j.amc.2011.11.066-
Languageen-
Extent11 pagesen
TitleMutual funds performance appraisal using stochastic multicriteria acceptability analysisen
CreatorBabalos, Vassilisen
CreatorPhilippas Nikolaosen
CreatorMichael Doumposen
CreatorΔουμπος Μιχαληςel
CreatorZopounidis Konstantinosen
CreatorΖοπουνιδης Κωνσταντινοςel
PublisherElsevieren
Content SummaryMutual 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.en
Type of ItemPeer-Reviewed Journal Publicationen
Type of ItemΔημοσίευση σε Περιοδικό με Κριτέςel
Licensehttp://creativecommons.org/licenses/by/4.0/en
Date of Item2015-11-09-
Date of Publication2012-
SubjectMutual fundsen
SubjectPerformance appraisalen
SubjectMulticriteria analysisen
SubjectSimulationen
Bibliographic CitationV. 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.2011.11.066en

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