Please use this identifier to cite or link to this item: https://hdl.handle.net/11499/46874
Title: A proposal for measuring efficiency losses of asset management companies: Frontier-based approach
Authors: Aygoren, Hakan
Uyar, Umut
Kelten, Goksal Selahatdin
Keywords: Efficiency loss
Financial performance
Mean-variance
Open-end funds
Tracking-Error
Mutual Funds
Performance
Risk
Portfolios
Publisher: Elsevier
Abstract: The performance of funds by asset management companies needs to be based on an objective benchmark. Studies related to the topic focus on measuring performance using a discrete form that cannot capture precise total efficiency losses. In this study, we propose a continuous approach to compare the performance of funds by taking advantage of the mean-variance efficient frontier with consideration of multiple risk levels. In an empirical analysis, our proposed method is applied to asset management companies with respect to open-end funds. For comparison, we use the output of an averaged Sharpe index. Because averaging the Sharpe index is inevitable for multiple risk levels, this method of calculation causes a loss of efficiency information. Hence, the proposed method has a continuous form of measuring performance, and the results of the two methods demonstrate significantly different patterns.Copyright (c) 2022 Borsa Istanbul Anonim S , irketi. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
URI: https://doi.org/10.1016/j.bir.2022.06.009
https://hdl.handle.net/11499/46874
ISSN: 2214-8450
2214-8469
Appears in Collections:İktisadi ve İdari Bilimler Fakültesi Koleksiyonu
Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection

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