Utility Exchange Traded Fund Performance Evaluation. A Comparative Approach Using Grey Relational Analysis and Data Envelopment Analysis Modelling

Selecting funds is a common problem for investors who use published available data on fund indicators while they are selecting the funds. Since this process deals with more than one indicator, the investing issue becomes multi-criteria decision-making (MCDM) problem for the investors. Therefore, the...

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Main Author: Ioannis E. Tsolas
Format: Article
Language:English
Published: MDPI AG 2019-11-01
Series:International Journal of Financial Studies
Subjects:
Online Access:https://www.mdpi.com/2227-7072/7/4/67
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author Ioannis E. Tsolas
author_facet Ioannis E. Tsolas
author_sort Ioannis E. Tsolas
collection DOAJ
description Selecting funds is a common problem for investors who use published available data on fund indicators while they are selecting the funds. Since this process deals with more than one indicator, the investing issue becomes multi-criteria decision-making (MCDM) problem for the investors. Therefore, the purpose of this paper is to propose an effective approach that integrates grey relational analysis (GRA) and data envelopment analysis (DEA) for selecting the best utility exchange traded funds (ETFs). The current study uses GRA for deriving the grade relational coefficients and then puts them in the output side of competing no-input DEA models to derive weighed grey relational grades. Moreover, the ETFs are also evaluated by selected DEA models. This research is implemented with real data on utility ETFs available for three consecutive years (2008−2010). The results show that the top ETFs identified by the GRA-DEA approach are also DEA efficient. The proposed GRA-DEA approach is superior to conventional DEA as regards the fund ranking and therefore, it seems to be effective as a picking fund tool.
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spelling doaj.art-da84f047e4fe43c0b8e6d4ba5761fe7a2022-12-21T17:32:19ZengMDPI AGInternational Journal of Financial Studies2227-70722019-11-01746710.3390/ijfs7040067ijfs7040067Utility Exchange Traded Fund Performance Evaluation. A Comparative Approach Using Grey Relational Analysis and Data Envelopment Analysis ModellingIoannis E. Tsolas0School of Applied Mathematical and Physical Science, National Technical University of Athens, 157 80 Athens, GreeceSelecting funds is a common problem for investors who use published available data on fund indicators while they are selecting the funds. Since this process deals with more than one indicator, the investing issue becomes multi-criteria decision-making (MCDM) problem for the investors. Therefore, the purpose of this paper is to propose an effective approach that integrates grey relational analysis (GRA) and data envelopment analysis (DEA) for selecting the best utility exchange traded funds (ETFs). The current study uses GRA for deriving the grade relational coefficients and then puts them in the output side of competing no-input DEA models to derive weighed grey relational grades. Moreover, the ETFs are also evaluated by selected DEA models. This research is implemented with real data on utility ETFs available for three consecutive years (2008−2010). The results show that the top ETFs identified by the GRA-DEA approach are also DEA efficient. The proposed GRA-DEA approach is superior to conventional DEA as regards the fund ranking and therefore, it seems to be effective as a picking fund tool.https://www.mdpi.com/2227-7072/7/4/67utility exchange traded fundsefficiencygrey relational analysisdata envelopment analysisgeneralized proportional distance function
spellingShingle Ioannis E. Tsolas
Utility Exchange Traded Fund Performance Evaluation. A Comparative Approach Using Grey Relational Analysis and Data Envelopment Analysis Modelling
International Journal of Financial Studies
utility exchange traded funds
efficiency
grey relational analysis
data envelopment analysis
generalized proportional distance function
title Utility Exchange Traded Fund Performance Evaluation. A Comparative Approach Using Grey Relational Analysis and Data Envelopment Analysis Modelling
title_full Utility Exchange Traded Fund Performance Evaluation. A Comparative Approach Using Grey Relational Analysis and Data Envelopment Analysis Modelling
title_fullStr Utility Exchange Traded Fund Performance Evaluation. A Comparative Approach Using Grey Relational Analysis and Data Envelopment Analysis Modelling
title_full_unstemmed Utility Exchange Traded Fund Performance Evaluation. A Comparative Approach Using Grey Relational Analysis and Data Envelopment Analysis Modelling
title_short Utility Exchange Traded Fund Performance Evaluation. A Comparative Approach Using Grey Relational Analysis and Data Envelopment Analysis Modelling
title_sort utility exchange traded fund performance evaluation a comparative approach using grey relational analysis and data envelopment analysis modelling
topic utility exchange traded funds
efficiency
grey relational analysis
data envelopment analysis
generalized proportional distance function
url https://www.mdpi.com/2227-7072/7/4/67
work_keys_str_mv AT ioannisetsolas utilityexchangetradedfundperformanceevaluationacomparativeapproachusinggreyrelationalanalysisanddataenvelopmentanalysismodelling