next up previous contents
Next: Project Management of the Up: Selected Senior Design Project Previous: SMU Football Traffic Simulation

A Linked Linear Regression - Data Envelopment Analysis Model for the Long-Term Prediction of Mutual Fund Performance

(Michael McGee, Greg Higgins, Cindy Chao, 1994)

Data Envelopment Analysis (DEA) can be used to evaluate managerial efficiency of mutual funds. By extending the DEA methodology with linear regression, a new prediction tool for future efficiency is developed. The linked model was tested on a sample of fifty growth mutual funds over a three year time horizonÄresulting in accurate predictions of future efficiency with 99% confidence.


Richard S. Barr
Fri Feb 17 16:09:51 CST 2006