Fund types effectiveness research: The application of data envelopment analysis and Malmquist index

The performance measurement of stock investment funds with accurate tools is important for optimizing portfolios and managing risks. Through performance analyses conducted on investment fund instruments, investors are able to make more informed and efficient investment decisions. Non-parametric methods such as DEA and Malmquist index, developed since the 1960s, have been observed to be more successful in explaining risk. In this study, the performance of fund instruments containing monthly fluctuation characteristics (Cash Flow Based on Fund Types) was measured accurately with the correct tools (DEA and Malmquist index) in order to fill this gap in the literature. The study was conducted on the current dataset for the year 2022 (3 input 5 output, 12 months). To explain the DEA analysis, monthly performances of 12 standard fund types over 12 months were measured with the Malmquist index. By evaluating the results of these two analyses together, an attempt was made to present an opinion that would help investors optimize their portfolio management with less risk. Since the study used current year data, it was limited to the year 2022. Researchers can replicate this study annually using data from previous years, and can conduct a broader study taking into account annual fluctuations. The first part of this three-part study provides basic concepts related to performance, followed by the introduction of performance measurement and models. In the second part, Data Envelopment Analysis (DEA), a non-parametric data analysis method based on mathematical programming, was introduced to evaluate multi-input and multi-output data sets. The theoretical foundations of the models were introduced by providing literature related to DEA. The third part, which forms the analysis section, introduces the data set (input/output headings) and the analysis program, and VZA and Malmquist index analyses were performed. The data, designed for academic users and freely accessible through the Efficiency Measurement Systems (EMS) program, enabled both DEA and Malmquist index analyses to be conducted together. These dual analyses were compared to present periodic performance evaluations of fund types. In the conclusion and recommendations section, a summary evaluation of the analyses conducted was provided.