Performance evaluation of Portuguese mutual fund portfolios using the value-based DEA method

Please note this paper has been re-typeset by Taylor & Francis from the manuscript originally provided to the previous publisher.

Abstract

The increased volatility in capital markets since the outbreak of the 2008 global financial crisis and the investor’s lack of confidence in the banking sector represented significant challenges to portfolio fund managers. The current study assesses the performance of Portuguese mutual fund portfolios considering the period 2007–2014 using the value-based DEA method. This approach combines data envelopment analysis (DEA) with multiple criteria decision aiding. A dynamic evaluation including value judgements is carried out using data from 15 Portuguese equity funds. The results unveil the impact of the global crisis in the Portuguese investment funds industry. They show that Portuguese investment funds performed better between 2011 and 2013; this suggests that equity funds investors became more confident in these vehicles due to political measures reinforcing financial markets. The methodology followed in this study contributes to help investors in the identification of the funds with the best practices according to their judgments.

Keywords:

• Data envelopment analysis
• multicriteria decision analysis
• finance
• equity funds
• uncertainty

Acknowledgements

This work has been supported by the Portuguese Foundation for Science and Technology (FCT) under project grant UID/ MULTI/00308/2013 and also by European Structural and Investment Funds in the FEDER component, through the Operational Competitiveness and Internationalization Programme (COMPETE 2020) [Project No. 006971 (UID/SOC/04011); Funding Reference: POCI-01-0145-FEDER-006971]; and national funds, through the FCT – Portuguese Foundation for Science and Technology under the project UID/SOC/04011/2013.

Notes

Please note this paper has been re-typeset by Taylor & Francis from the manuscript originally provided to the previous publisher.

1. The Troika included the European Central Bank (ECB), the European Commission (EC) and the International Monetary Fund (IMF).