Journal of Productivity Analysis

, Volume 28, Issue 1–2, pp 71–86 | Cite as

Performance measurement and best-practice benchmarking of mutual funds: combining stochastic dominance criteria with data envelopment analysis

  • Timo Kuosmanen


We propose a method for mutual fund performance measurement and best-practice benchmarking, which endogenously identifies a dominating benchmark portfolio for each evaluated mutual fund. Dominating benchmarks provide information about efficiency improvement potential as well as portfolio strategies for achieving them. Portfolio diversification possibilities are accounts for by using Data Envelopment Analysis (DEA). Portfolio risk is accounted for in terms of the full return distribution by utilizing Stochastic Dominance (SD) criteria. The approach is illustrated by an application to US based environmentally responsible mutual funds.


Activity analysis Diversification Fund management Portfolio choice Risk management 

JEL Classifications

G11 D81 C61 


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Copyright information

© Springer Science+Business Media, LLC 2007

Authors and Affiliations

  1. 1.Economic Research UnitMTT Agrifood Research FinlandHelsinkiFinland

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