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Performance Evaluation of Utility Exchange-Traded Funds: A Super-Efficiency Approach

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  • Ioannis E. Tsolas

    (School of Applied Mathematical and Physical Sciences, National Technical University of Athens, 15780 Athens, Greece)

Abstract

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.

Suggested Citation

  • Ioannis E. Tsolas, 2022. "Performance Evaluation of Utility Exchange-Traded Funds: A Super-Efficiency Approach," JRFM, MDPI, vol. 15(7), pages 1-10, July.
    • Handle: RePEc:gam:jjrfmx:v:15:y:2022:i:7:p:318-:d:868482
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    References listed on IDEAS

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    1. Satya Ranjan Acharya & Amit Kumar Dwivedi & Bhumika Darshak Panchal, 2015. "Application of data envelopment analysis on Indian gold ETFs," International Journal of Business Continuity and Risk Management, Inderscience Enterprises Ltd, vol. 6(2), pages 147-161.
    2. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, May.
    3. Jordan Bowes & Marcel Ausloos, 2021. "Financial Risk and Better Returns through Smart Beta Exchange-Traded Funds?," JRFM, MDPI, vol. 14(7), pages 1-30, June.
    4. Elton, Edwin J. & Gruber, Martin J. & de Souza, Andre, 2019. "Passive mutual funds and ETFs: Performance and comparison," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 265-275.
    5. William Cooper & Kyung Park & Jesus Pastor, 1999. "RAM: A Range Adjusted Measure of Inefficiency for Use with Additive Models, and Relations to Other Models and Measures in DEA," Journal of Productivity Analysis, Springer, vol. 11(1), pages 5-42, February.
    6. Guo, I-Lung & Lee, Hsuan-Shih & Lee, Dan, 2017. "An integrated model for slack-based measure of super-efficiency in additive DEA," Omega, Elsevier, vol. 67(C), pages 160-167.
    7. Du, Juan & Liang, Liang & Zhu, Joe, 2010. "A slacks-based measure of super-efficiency in data envelopment analysis: A comment," European Journal of Operational Research, Elsevier, vol. 204(3), pages 694-697, August.
    8. Carla Oliveira Henriques & Maria Elisabete Neves & Licínio Castelão & Duc Khuong Nguyen, 2022. "Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach," Annals of Operations Research, Springer, vol. 313(1), pages 341-366, June.
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    Cited by:

    1. Valadkhani, Abbas & Moradi-Motlagh, Amir, 2023. "An empirical analysis of exchange-traded funds in the US," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 995-1009.

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