ارزیابی بهره وری صندوق های سهام یونانی

This study assesses the relative performance of Greek equity funds employing a non-parametric method, namely Data Envelopment Analysis (DEA). Specifically, we evaluate the funds’ total productivity change using the DEA-based Malmquist Index. Our results reveal significant losses in funds’ productivity for the period of 2003–2009, which calls for the attention of domestic policy makers and market regulators. Significant implications for the investors’ fund selection process arise from our analysis since we are able to identify potential sources of operational inefficiencies. Employing a panel logit model we document a significant negative relationship between the probability of being efficient and funds’ size, a finding which may be related to the microstructure of the domestic stock market. Furthermore, we provide evidence against the notion of funds’ mean-variance efficiency.

Open-end mutual funds are one of the most successful institutions in modern financial markets worldwide. They are collective investment vehicles that pool money from individual investors to buy the most attractive securities in order to achieve the maximum benefit in terms of risk-adjusted return. Their great popularity is mainly due to the advantages of professional management and risk reduction through portfolio diversification they offer to their shareholders (see inter alia Huang and Lin, 2011). However, the delegated nature of the fund industry can result in conflicts of interest between shareholders who wish to maximize their return and fund managers who seek to maximize their compensation that depends on the fund's assets (Chevallier and Ellison, 1997). The problem of investor's optimal portfolio selection has received a lot of attention since the pioneering work of Markowitz (1952) and Tobin (1958). In the context of modern portfolio mean-variance theory investors seek to maximize their utility choosing among all possible mean-variance efficient portfolios given their risk preferences. Mean-variance efficiency is defined as the ability of a set of assets to yield the maximum return for a given level of risk or, alternatively, to produce the minimum level of risk for a given expected return. Another issue related to portfolio efficiency is portfolio performance evaluation. The most common criteria are the Sharpe ratio (1966), that measures the excess return of a portfolio adjusted for the variability of its returns measured by their standard deviation, Treynor ratio (1965) and Jensen's alpha (1968), the latter two being based on the CAPM theory. In the last three decades, following the equilibrium model of capital market prices of Sharpe (1964) and Lintner (1965), researchers have proposed various parametric measures for portfolio performance assessment. However, almost all the employed measures have two important shortcomings that have been extensively analysed in the relevant literature. The first concerns the choice of a proper benchmark, which is closely related to what constitutes normal performance of a portfolio. In the context of modern portfolio theory, the benchmark return is defined by a strategy of comparable risk that combines investment in a risk-free asset and in the tangent portfolio that contains all risky assets. Various studies have attributed the sensitivity of portfolio performance evaluation to the employed measures (Roll, 1977 and Lehman and Modest, 1987). The second important problem with the traditional performance measures is their inability to incorporate the various costs incurred by the mutual fund shareholders. Open-end fund investors face a series of direct and indirect charges which ultimately reduce their received net return. These costs include sales charges (front and back-end loads) and other operational, administrative and marketing costs that are usually proxied by the fund's expense ratio. A series of studies (Malkiel, 1995, Carhart, 1997, Prather et al., 2004 and Babalos et al., 2009) has examined the impact of costs on fund's returns and detected a negative relationship between fund's performance and various fund's costs. The inherent disadvantages of traditional performance measures can be effectively alleviated by employing an alternative non-parametric measure that was firstly introduced by Murthi et al. (1997). This is obtained using a method known as Data Envelopment Analysis (DEA, Charnes et al., 1978), which is applied extensively in operational management research to compute relative measures of efficiency. The DEA approach allows us to gauge an individual fund's investment performance by measuring its efficiency compared to the peer group funds. DEA accomplishes this by constructing an efficient frontier from a linear combination of the perfectly efficient funds and determining fund deviations from that frontier, which represent performance inefficiencies defined as slacks. The present study addresses the important topic of portfolio performance evaluation combining financial as well as operational dimensions. In particular, we employ the non-parametric DEA method to measure the performance of a sample of Greek domestic equity funds. We further evaluate the funds’ total productivity change using Malmquist index. The DEA method allows us to compute inefficiency measures of the individual input and output factors in order to identify the source and extent of any performance inefficiency. The oligopolistic structure of the Greek mutual fund industry, combined with the small size and illiquidity of the Athens Stock Exchange (ASE), makes the Greek case an interesting one. Specifically, we are able to explore whether the percentage of fund assets under management affects the successful implementation of a fund's investment strategy given the small capitalization and illiquidity of the domestic stock market. The issue of funds’ operational efficiency is crucial for both investors and managers. Investors, in particular, are concerned that the various charges imposed by the funds are used effectively in their best interest and that funds exploit their available resources in the most productive manner. On the other hand, managers are also concerned about funds’ efficiency since long-term success of the delegated nature of active management depends crucially on adopting practices that serve effectively clients’ investment purposes. Although actively managed funds have received a lot of pressure from both the dissemination of academic findings and practitioners’ activism, the total expense ratio charged by the companies has actually experienced an upward trend (see Barber et al., 2005). Our analysis contributes to the existing literature in several ways. To our knowledge, this study constitutes the first attempt to measure relative efficiency of the Greek equity funds. We provide results for a small, developed and bank-dominated European market, with possible implications for other markets of similar size and institutional characteristics. At the same time we examine the impact on the efficiency of the domestic equity funds industry of a significant legislation change that took place in 2004 (Law 3283/2004). We use the Malmquist index in order to assess shifts in funds’ total productivity whereas we employ for the first time in the relevant literature Carhart's (1997) risk-adjusted return as an output measure. As part of the sensitivity analysis, we extend our work to investigate the relationship between fund and its size as in Coelli et al. (1998). Following previous work by Grinblatt and Titman (1989) and Murthi et al. (1997) we explore the interaction between fund's efficiency and asset size in the context of a capital market with unique characteristics such as small capitalization and illiquidity. To preview our results, we find that the majority of domestic equity funds for the period under examination exhibit significant operational inefficiencies. Inefficiency is mainly driven by funds’ expenses that inevitably reduce investor's wealth. As for portfolio diversification, domestic equity funds appear not to have eliminated effectively the non-systematic component of their portfolio riskiness since the risk variable exhibits significant inefficiencies (slacks). With respect to total productivity change we document a substantial productivity loss that is mainly driven by lack of technological advances. The second-stage evaluation of DEA efficiency scores reveal interesting aspects of funds’ inadequacies. A higher probability of being efficient is associated with a smaller fund size. A large asset base seems to be a constraint in view of the microstructure characteristics of the domestic stock market: large funds are frequently obliged to invest disproportionally in particular stocks, especially in the case of illiquid stock markets, thereby eroding fund performance.1 The remainder of the paper is organized as follows: in the next section we provide a description of the main hypotheses we test in our study. Section 3 reviews the relevant literature, while in Section 4 we present a brief description of the Greek mutual fund industry. Section 5 provides details of the variables and the sample used, and of the calculation of risk-adjusted returns; Section 6 outlines the DEA method, and Section 7 presents the empirical results. Finally, Section 8 offers some concluding remarks and possible policy implications.

The purpose of the present study is twofold. Firstly, we attempted to measure operational efficiency for a sample of Greek domestic equity funds between 2003 and 2009 by means of the non-parametric Data Envelopment Analysis (DEA) method. With regard to efficiency measurement, we have employed an original dataset spanning cost and risk characteristics of the funds analysed, whereas a sophisticated risk-adjusted return measure, namely Carhart's alpha (1997), was employed as the output measure. The empirical findings shed light on some important aspects of the domestic equity fund industry. In particular, only a small percentage of the funds in the sample are found to operate on the efficient frontier. Another interesting result which can be inferred by examining the slacks is the negative effect that expenses exert on funds’ operational efficiency. More interestingly, the evidence does not support the notion of mean-variance efficiency for the equity funds in our sample. Examining total productivity change through estimation of a DEA-based Malmquist index provides some interesting evidence with respect to the diffusion of best-practice technology in the domestic fund industry. In particular, we observed a substantial productivity loss for domestic equity funds for the period analysed. The lack of investments in leading technologies and related management techniques by fund management companies appears to have caused a significant technological regression. With regard to the determinants of funds’ operational inadequacies and as a part of a sensitivity analysis, we have employed a second-stage panel logit regression that documented the existence of a negative relationship between the probability of being efficient and assets under management. This adverse effect may be attributed to microstructure features of the domestic stock market, which is characterized by illiquidity and small market capitalization. These results have practical relevance for domestic equity fund shareholders, since investors might take into account some of the funds’ characteristics analysed here in their fund selection process. Clearly, one would expect investors to prefer a fund that provides the maximum benefit (return) at a minimum cost (in the form of charges, front-end loads etc.). In particular, investors should pay attention to fund size and expenses when selecting an equity fund investing in the domestic stock market since these variables appear to be the source of significant operational inefficiencies. Additional analysis points to a lack of predictive power of the proposed measure of performance evaluation, although further research on the robustness of this result would be advisable. However, we reckon that there is potential for upgrading funds’ operational efficiency mainly through two different channels. Firstly, fund management companies exhibiting the poorest performances should adopt a more efficient, incentive-oriented managerial policy that would allow them to cover the distance from the efficient frontier. In particular, fund companies should minimize the costs charged to shareholders exploiting in more effective ways the economies of scale and scope of the industry. The objective of achieving better levels of diversification in their managed portfolios should remain high in managers’ agenda. Secondly, their effort towards improvement should rest on technological innovations in terms of methods, techniques, launching new products and so on. Moreover, improvements in the efficiency of domestic equity funds depend indisputably on the actions of market regulatory authorities such as (1) reinforcing the implementation of its regulatory obligations, (2) requiring the disclosure of funds’ detailed operational information in order to establish greater transparency into the market, (3) providing favourable tax treatment for fund management companies and fund investors and (4) implementing ‘best practices’ introduced by other regulatory authorities in preserving investors’ best interest. Finally, technical inefficiency measures can be used for competitive benchmarking (“yardstick competition”) in which management fees are dependent on the costs of similar (in terms of input mix) but more efficient funds. Such a framework can (1) enhance the fund managers’ incentives to achieve efficiency and (2) reduce the informational asymmetry between fund managers (the agent) and regulators and investors (the principal).