Mutual fund performance with a different approach to data envelopment analysis

Despite the large number of mutual funds available to investors, paying attention to their ratings is important. Many ranking approaches use subjective weights to integrate fund performance across different time horizons, which can lead to completely different ranking. So far, the efficiency of the funds has been calculated in the valuation of the funds with the help of data envelopment analysis, and then the portfolio is selected from the efficient funds. In this paper, a new approach and application of the philosophy of data envelopment analysis (input reduction and output increase) is applied and generalized to the concept of risk and return. The proposed model is a new nonparametric technique that focuses on the simultaneous estimation of contractile (risk) and expansion (return) potentials. This approach eliminates any need for mental such as the importance, weighting, and meaningfulness of actions across different time horizons. This approach, based on the performance of the underlying fund relative to other funds, assigns a score to the underlying fund, on which it can rank the funds. This model has been applied to a sample community of 26 mutual funds. The clear results and unique ratings indicate the ability of this model to evaluate and ranking.