Performance evaluation of utility exchange-traded funds: A super-efficiency approach

Artikel

Choosing funds is a general issue for investors, with the aim of balancing potential risks and returns. The aim of this article is to use a super-efficiency approach to analyze and rank exchange-traded funds (ETFs) in order to find the best utility ETFs. The range-adjusted measure (RAM)-based data envelopment analysis (DEA) model is used in this work to evaluate a set of utility ETFs and rank inefficient funds, while the super-efficiency RAM model is used to fully rank RAM-based efficient funds. Other slack-based selected DEA models are also used to analyze the ETFs. The results show that the suggested approach delivers the same efficient funds as other slack-based selected DEA models; hence, it appears to be useful as a fund selection tool.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 15 ; Year: 2022 ; Issue: 7 ; Pages: 1-10

Classification and Topics

• Classification: Management
• Subject: data envelopment analysis ; range-adjusted measure (RAM) ; super-efficiency ; utility exchange-traded funds

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Tsolas, Ioannis E.
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2022

Further information

• DOI: doi:10.3390/jrfm15070318
• Handle: http://hdl.handle.net/10419/274840
• Last update: 10.03.2025, 11:41 AM CET