Mutual fund performance evaluation: DEA method

This study takes the first step towards obtaining estimates of the effectiveness of Russian mutual funds by the DEA method. The CRS DEA “entry” efficiency evaluation model was chosen, where the “cost” orientation is analyzed with a constant return on scale, i.e. the main idea is to proportionally reduce costs without changing the output level. This is due to the fact that another model focused on “output” does not matter much, since the increase in “output data” is beyond the control of management companies. The paper presents an analysis using two variants of the CRS model - radial and non-radial measure. This was due to the fact that radial measures in some cases underestimate technical inefficiency and can mislead investors about a more optimistic and positive view of the real situation with efficiency. The results of the study show that the main part of actively managed funds in Russia does not win the market. Upon a detailed study, we saw that the main problem faced by almost all of the stock funds considered is high commissions, which reduce the investor’s profit.