Performance Evaluation of Mutual Funds Using the Value-Based DEA Method

The purpose of this study is to investigate the impact of the financial crisis on the investment fund industry using dynamic evaluation and comparing the performance of investment funds in different years from 2012 to 2017. Value-based data envelopment analysis is used to evaluate the performance of decision-making units (investment funds) and to present changes in performance throughout the year.

 In terms of classification based on the purpose of this research is of the applied type, the purpose of which is to develop applied knowledge in a specific field. This research is of library type in terms of research design. It has been used in order to collect research data by referring to the information contained in historical financial statements. Also, this research is descriptive-correlational in terms of data collection and inference.

 The study of various models of data envelopment analysis method as well as the types of inputs and outputs of data envelopment analysis method for evaluating mutual funds have been discussed. Since the investment policies of the funds are different from each other, the tools obtained are also different from each other. Therefore, it can be useful to use a tool such as the data envelopment analysis method that examines the units under study under the same conditions. One of the tools that can be used for this purpose is the data envelopment analysis method because DEA is a non-parametric method. It considers the relationship between product outputs and its inputs and defines the boundary of efficiency. The efficiency threshold can be considered as a measure of performance in investment analysis.

Originality/Value:

The issue is related to the events that have taken place in the country, which are strongly affected by the economic recession and the banking system, which mainly include sanctions and the global financial crisis and liquidity fluctuations and exchange rate fluctuations; therefore, the conclusions in this study will be potentially useful for fund managers and investors.