Index

Citation

Sánchez-González, C. (2018), "Index", The Efficiency of Mutual Fund Families, Emerald Publishing Limited, Leeds, pp. 235-238. https://doi.org/10.1108/978-1-78743-799-920181017

Publisher

:

Emerald Publishing Limited

Copyright © 2018 Emerald Publishing Limited

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INDEX

ADD DEA model

, 24

Agglomerative approach

, 145–147

Agglomerative nesting (AGNES) technique

, 146–149

Asset approach

, 29, 31–33, 35, 36

BCC DEA model

, 13, 16–18, 24, 123, 125

Bisecting K-means

, 148

Bond mutual funds, persistence in

, 167

CCR DEA model

, 13, 14–16, 18, 24, 123

Chi-square test

, 186, 188, 190, 192

CLARA (Clustering Large Applications) technique

, 145

Clustering

, 143–163, 169–184

facets search

, 202

Cobb–Douglas production function

, 11

Cochran’s test

, 187, 190–191, 203

Constant returns to scale (CRS)

, 13, 16, 20, 23, 29, 36, 53–83, 100–115, 125, 206–223

Contingency tables

, 168–169, 186, 187, 189–194, 203

CRS-Slacks-based measures of efficiency

, 86, 87

CVaR (Conditional Value at Risk)

, 43

Data Development Analysis

, 12

Data Envelopment Analysis (DEA)

, 5–6, 26–30, 33, 36, 42, 119, 123, 124

basic models

, 11–23

‘best practice’ frontier

, 120–121

persistence of mutual fund performance

, 168

DEA-Malmquist index

, 5

Decision-making units (DMUs)

, 11, 12, 14–19, 21–23, 29, 32, 36, 119, 121, 123, 126, 162

Dendrogram

, 147, 151–155, 170–184

Deposits, role in bank production process

, 36

DIANA (Divisive Analysis) technique

, 147–157, 169–184, 188

Distribution-free approach (DFA)

, 13, 26, 27

Diversification

, 4, 25

Divisive approach

, 147–148

DPEI index

, 29

Economic efficiency

, 7–8

Effectiveness

, 8, 9

Efficiency

, 9, 31

of MFMC

, 100–115

data

, 47–52

empirical analysis

, 52–88

robustness of variables

, 91–95

variable-returns-to-scale on the efficiency rankings, influence of

, 88–91

productive

, 11

price

, 11

overall

, 11

scale

, 16

technical

, 10, 11, 16

economic

, 7–8

Empirical analysis

, 52–88

Equity mutual funds, persistence in

, 167

European Fund and Asset Management Association (EFAMA)

, 3

European Union

, 27

FANNY technique

, 145, 148

Fractional programming problem

, 14

Free disposal hull (FDH)

, 13, 26, 27

persistence of mutual fund performance

, 168

Frontier-efficiency study, applications to financial institutions

, 23–33

asset approach

, 31–33

context of

, 23–25

production approach

, 31

review of

, 25–30

Fuzzy analysis

, 145

Growth-oriented funds, persistence in

, 166

Haberman’s test

, 188

Hierarchical techniques

, 144–148

Hot hands phenomenon

, 166

Iberian Balance Sheets Analysis System (SABI)

, 42

Income-oriented funds, persistence in

, 166

Institutional portfolios performance

, 6

Intermediation approach

, 31–33

Jensen ratio

, 29

Kernel K-means

, 148

Linear programming model

, 15

Marketing and service

, 39, 40, 43–44, 52, 84, 97, 119–120, 132, 133, 135, 136, 138, 160, 162, 195, 199, 202–204

Money market funds, persistence in

, 167

Multi-management stages model, in MFMC

, 35–45

portfolio management competence

, 37

variables of

, 39–45

Multiplier model

, 15

MVaR (Modified Value at Risk)

, 43

Network DEA model

, 36

Non-oriented frontier approach

, 120

Nonparaeff

, 53, 132

Non-radial model

, 123

Official Business Registries

, 37

OR ratio

, 185, 186

Overall efficiency

, 11, 41, 44, 52, 84, 86, 94–95, 97, 120, 132, 133–136, 138, 167, 194, 198, 202–204

PAM (Partitioning around Medoids) technique

, 144–145, 148

Pareto–Koopmans (PK) model

, 13, 18, 126

Partitioning

, 144, 145

Persistence of mutual fund performance

, 165–199, 203

bond mutual funds

, 167

efficiency, empirical results of

, 188–199

equity mutual funds

, 167

growth-oriented funds

, 166

income-oriented funds

, 166

methodology of

, 167–188

money market funds

, 167

Polyhedral convex set

, 124

Portfolio management

, 38–39, 40, 42, 43–44, 52, 84–87, 91–93, 97, 119, 120, 132, 134, 136, 138, 142, 160, 167, 194–195, 202, 203

competence

, 37

Price efficiency

, 11

Production approach

, 29, 31, 35, 36

Production frontier

, 9, 10

Production function

, 9–11

Productive efficiency

, 11

Productivity

, 7–9, 31

ratio

, 8

Profit approach

, 31–32

Property-liability insurance industries

, 27

Random searches for facets

, 136–143, 202

Recursive portfolios

, 168

Residual analysis

, 188

Risk-bearing

, 28

Risk-management approach

, 32

Risk-pooling

, 28

Scale efficiencies

, 16, 88

Sharpe index

, 29

Slacks-based measure (SBM)

, 13, 18–23, 24, 30, 53–83, 100–115, 120–122, 201–203

of efficiency, variations of

, 123–163

locally efficient companies applying Variation III, search for

, 143–163

new measures, basic concepts of

, 123–132

random searches for facets (Variation IV)

, 136–143

SBM original model and SBM Variation I, comparative evaluation between

, 132–136

persistence of mutual fund performance

, 167

Spanish Official Business Registry (Registro Mercantil)

, 42

Spanish Securities Exchange Commission (CNMV)

, 41, 42, 47

Stakeholder approach

, 36–37

Stochastic frontier analysis (SFA)

, 13, 26–28

Subprime mortgage financial crisis

, 3

Survivorship bias

, 166, 186

Technical efficiency

, 10, 11, 16

Technological relationship

, 10

Thick frontier approach (TFA)

, 13, 26, 27

Total factor productivity (TFP)

, 11, 27

Total productivity factor (TPF)

, 8

Unoriented sub-stages model

, 52

Variable returns to scale (VRS)

, 13, 16, 17, 23, 29, 36, 121

on efficiency rankings, influence of

, 88–91

Z-test

, 185, 186, 189