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2015 Conference

du 15 au 16 October 2015

Orlando, FL

Welcome to the AFS Conference 2015 Schedule App. Please use the search features to see when your session or poster has been scheduled to take place. 

BENCHMARKING TAX EFFICIENT MUTUAL FUNDS USING DATA ENVELOPMENT ANALYSIS MODEL

jeudi 15 octobre 2015 à 08:45–10:15 EDT
2-Gallery
Keywords: 5 words maximum

Mutual Funds, Tax Efficiency, Benchmarking, and data envelopement analysis

Very short description for use in the program to help attendees understand more than a title can describe

This study illustrates the use of data envelopment analysis (DEA) to benchmark mutual funds on their tax efficiency. This study benchmarks a mutual fund on the basis of risk-adjusted performance, tax-cost ratio, turnover ratio, and expense ratio so that investor can select best performing funds on a broader basis rather than just the performance. Using the DEA methodology, efficiency score for 35 funds on a scale of 1 to 100 is computed by maximizing twelve month total return and minimizing tax cost ratio, standard deviation, expense ratio, and turnover ratio. Furthermore, the study shows the areas in which tax inefficient mutual funds are lagging behind and how they can improve their performance to bring them at par with other tax efficient mutual funds.

Lead & Corresponding Author

Dr. D K Malhotra, Philadelphia University
Job Title

Professor of Finance

Additional Authors

Dr. Rashmi Malhotra, Ph.D., Saint Joseph's University
Job Title
Dr. Vivek Bhargava, Ph.D., Alcorn State University
Job Title
Chargement en cours …