Single and Multi-Criteria Ranking of Mutual Fund Schemes

We evaluate the performance of 21 equity (growth) funds using data envelopment analysis (DEA), Semi-Standard Deviation, Negative Potential Measure, and Morning Star Methodology. The results are compared with those obtained using conventional performance evaluation methods of Sharpe, Treynor, and Jensen. DEA is a multi input-output analytical tool, which includes transaction costs, diversification efficiency, and fund manager's stock selection skills in addition to risk and return. Semi-standard deviation and Negative Potential are modified risk measures which reflect a fund's downside risk only. We use two evaluation windows of 1997 - 2000 and 2001 - 2004 to analyze rank migration, and 5 investment horizons of 1, 3, 6, 12 and 24 months to include preferences of different investors.